Interface IBlackScholes

Namespace

StockSharp.Algo.Derivatives

Assembly

StockSharp.Algo.dll

The interface of the model for calculating Greeks values by the Black-Scholes formula.

public interface IBlackScholes

Extension Methods

XamlHelper.CopyToClipboard<T>(T)

Paths.SerializeToString<T>(T, bool)

Paths.Serialize<T>(T, bool)

Paths.Serialize<T>(T, string, bool)

EditorExtensions.ToItemsSource(object, Type, bool?, ListSortDirection?, Func<IItemsSourceItem, bool>, Func<object, string>, Func<object, string>)

XamlHelper.EnsureUIThread(object)

XamlHelper.ShowModel<TWindow>(object, DependencyObject)

XamlHelper.WpfCast<T>(object)

VirtualPropertyRegistry.TryGetVirtualValue(object, string, out object)

Properties

Dividend

The dividend amount on shares.

decimal Dividend { get; set; }

Property Value

decimal

Option

Options contract.

Security Option { get; }

Property Value

Security

RiskFree

The risk free interest rate.

decimal RiskFree { get; set; }

Property Value

decimal

Methods

Delta(DateTimeOffset, decimal?, decimal?)

To calculate the option delta.

decimal? Delta(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

decimal?

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

Gamma(DateTimeOffset, decimal?, decimal?)

To calculate the option gamma.

decimal? Gamma(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

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.

decimal? ImpliedVolatility(DateTimeOffset currentTime, decimal premium)

Parameters

currentTime DateTimeOffset

The current time.

premium decimal

The option premium.

Returns

decimal?

The implied volatility. If the value is equal to null, then the value calculation currently is impossible.

Premium(DateTimeOffset, decimal?, decimal?)

To calculate the option premium.

decimal? Premium(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

decimal?

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

Rho(DateTimeOffset, decimal?, decimal?)

To calculate the option rho.

decimal? Rho(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

decimal?

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

Theta(DateTimeOffset, decimal?, decimal?)

To calculate the option theta.

decimal? Theta(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

decimal?

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

Vega(DateTimeOffset, decimal?, decimal?)

To calculate the option vega.

decimal? Vega(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

decimal?

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