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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 IBlackScholes

Properties

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.

Extension Methods

Paths.Serialize<T>(T, String)
Paths.Serialize<T>(T)
EditorExtensions.ToItemsSource(Object, Type, Nullable<Boolean>, Nullable<ListSortDirection>, Func<IItemsSourceItem, Boolean>, Func<Object, String>, Func<Object, String>)
XamlHelper.WpfCast<T>(Object)
XamlHelper.CopyToClipboard<T>(T)
XamlHelper.EnsureUIThread(Object)
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