Black

Black

public Black(Security option, Security underlyingAsset, IMarketDataProvider dataProvider, DateTime? expirationTime)

black = Black(option, underlyingAsset, dataProvider, expirationTime)

Initializes a new instance of the Black.

option

Options contract.

underlyingAsset

Underlying asset.

dataProvider

The market data provider.

expirationTime

Explicit option expiration moment. If null, midnight of ExpiryDate is used when available.

Dividend

public override decimal Dividend { set; }

black.Dividend = value

The dividend amount on shares.

D1

protected override double D1(decimal deviation, decimal assetPrice, double timeToExp)

result = black.D1(deviation, assetPrice, timeToExp)

To calculate the d1 parameter of the option fulfilment probability estimating.

deviation

Standard deviation.

assetPrice

Underlying asset price.

timeToExp

The option period before the expiration.

Returns: The d1 parameter.

Delta

public override decimal? Delta(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = black.Delta(currentTime, deviation, assetPrice)

To calculate the option delta.

currentTime

The current time.

deviation

Standard deviation.

assetPrice

Underlying asset price.

Returns: The option delta. If the value is equal to , then the value calculation currently is impossible.

Gamma

public override decimal? Gamma(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = black.Gamma(currentTime, deviation, assetPrice)

To calculate the option gamma.

currentTime

The current time.

deviation

Standard deviation.

assetPrice

Underlying asset price.

Returns: The option gamma. If the value is equal to , then the value calculation currently is impossible.

Premium

public override decimal? Premium(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = black.Premium(currentTime, deviation, assetPrice)

To calculate the option premium.

currentTime

The current time.

deviation

Standard deviation.

assetPrice

Underlying asset price.

Returns: The option premium. If the value is equal to , then the value calculation currently is impossible.

Rho

public override decimal? Rho(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = black.Rho(currentTime, deviation, assetPrice)

To calculate the option rho.

currentTime

The current time.

deviation

Standard deviation.

assetPrice

Underlying asset price.

Returns: The option rho. If the value is equal to , then the value calculation currently is impossible.

Theta

public override decimal? Theta(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = black.Theta(currentTime, deviation, assetPrice)

To calculate the option theta.

currentTime

The current time.

deviation

Standard deviation.

assetPrice

Underlying asset price.

Returns: The option theta. If the value is equal to , then the value calculation currently is impossible.

Vega

public override decimal? Vega(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = black.Vega(currentTime, deviation, assetPrice)

To calculate the option vega.

currentTime

The current time.

deviation

Standard deviation.

assetPrice

Underlying asset price.

Returns: The option vega. If the value is equal to , then the value calculation currently is impossible.