Interface IBlackScholes
The interface of the model for calculating Greeks values by the Black-Scholes formula.
Namespace: StockSharp.Algo.Derivatives
Assembly: StockSharp.Algo.dll
Syntax
public interface IBlackScholesProperties
Dividend
The dividend amount on shares.
Declaration
Decimal Dividend { get; set; }Property Value
| Type | Description |
|---|---|
| Decimal |
Option
Options contract.
Declaration
Security Option { get; }Property Value
| Type | Description |
|---|---|
| Security |
RiskFree
The risk free interest rate.
Declaration
Decimal RiskFree { get; set; }Property Value
| Type | Description |
|---|---|
| Decimal |
Methods
Delta(DateTimeOffset, Nullable<Decimal>, Nullable<Decimal>)
To calculate the option delta.
Declaration
Nullable<Decimal> Delta(DateTimeOffset currentTime, Nullable<Decimal> deviation = null, Nullable<Decimal> assetPrice = null)Parameters
| Type | Name | Description |
|---|---|---|
| DateTimeOffset | currentTime | The current time. |
| Nullable<Decimal> | deviation | Standard deviation. |
| Nullable<Decimal> | assetPrice | Underlying asset price. |
Returns
| Type | Description |
|---|---|
| Nullable<Decimal> | The option delta. If the value is equal to null, then the value calculation currently is impossible. |
Gamma(DateTimeOffset, Nullable<Decimal>, Nullable<Decimal>)
To calculate the option gamma.
Declaration
Nullable<Decimal> Gamma(DateTimeOffset currentTime, Nullable<Decimal> deviation = null, Nullable<Decimal> assetPrice = null)Parameters
| Type | Name | Description |
|---|---|---|
| DateTimeOffset | currentTime | The current time. |
| Nullable<Decimal> | deviation | Standard deviation. |
| Nullable<Decimal> | assetPrice | Underlying asset price. |
Returns
| Type | Description |
|---|---|
| Nullable<Decimal> | The option gamma. If the value is equal to null, then the value calculation currently is impossible. |
ImpliedVolatility(DateTimeOffset, Decimal)
To calculate the implied volatility.
Declaration
Nullable<Decimal> ImpliedVolatility(DateTimeOffset currentTime, Decimal premium)Parameters
| Type | Name | Description |
|---|---|---|
| DateTimeOffset | currentTime | The current time. |
| Decimal | premium | The option premium. |
Returns
| Type | Description |
|---|---|
| Nullable<Decimal> | The implied volatility. If the value is equal to null, then the value calculation currently is impossible. |
Premium(DateTimeOffset, Nullable<Decimal>, Nullable<Decimal>)
To calculate the option premium.
Declaration
Nullable<Decimal> Premium(DateTimeOffset currentTime, Nullable<Decimal> deviation = null, Nullable<Decimal> assetPrice = null)Parameters
| Type | Name | Description |
|---|---|---|
| DateTimeOffset | currentTime | The current time. |
| Nullable<Decimal> | deviation | Standard deviation. |
| Nullable<Decimal> | assetPrice | Underlying asset price. |
Returns
| Type | Description |
|---|---|
| Nullable<Decimal> | The option premium. If the value is equal to null, then the value calculation currently is impossible. |
Rho(DateTimeOffset, Nullable<Decimal>, Nullable<Decimal>)
To calculate the option rho.
Declaration
Nullable<Decimal> Rho(DateTimeOffset currentTime, Nullable<Decimal> deviation = null, Nullable<Decimal> assetPrice = null)Parameters
| Type | Name | Description |
|---|---|---|
| DateTimeOffset | currentTime | The current time. |
| Nullable<Decimal> | deviation | Standard deviation. |
| Nullable<Decimal> | assetPrice | Underlying asset price. |
Returns
| Type | Description |
|---|---|
| Nullable<Decimal> | The option rho. If the value is equal to null, then the value calculation currently is impossible. |
Theta(DateTimeOffset, Nullable<Decimal>, Nullable<Decimal>)
To calculate the option theta.
Declaration
Nullable<Decimal> Theta(DateTimeOffset currentTime, Nullable<Decimal> deviation = null, Nullable<Decimal> assetPrice = null)Parameters
| Type | Name | Description |
|---|---|---|
| DateTimeOffset | currentTime | The current time. |
| Nullable<Decimal> | deviation | Standard deviation. |
| Nullable<Decimal> | assetPrice | Underlying asset price. |
Returns
| Type | Description |
|---|---|
| Nullable<Decimal> | The option theta. If the value is equal to null, then the value calculation currently is impossible. |
Vega(DateTimeOffset, Nullable<Decimal>, Nullable<Decimal>)
To calculate the option vega.
Declaration
Nullable<Decimal> Vega(DateTimeOffset currentTime, Nullable<Decimal> deviation = null, Nullable<Decimal> assetPrice = null)Parameters
| Type | Name | Description |
|---|---|---|
| DateTimeOffset | currentTime | The current time. |
| Nullable<Decimal> | deviation | Standard deviation. |
| Nullable<Decimal> | assetPrice | Underlying asset price. |
Returns
| Type | Description |
|---|---|
| Nullable<Decimal> | The option vega. If the value is equal to null, then the value calculation currently is impossible. |