Class DeltaHedgeStrategy
- Namespace
- StockSharp.Algo.Strategies.Derivatives
- Assembly
- StockSharp.Algo.dll
The options delta hedging strategy.
public class DeltaHedgeStrategy : HedgeStrategy, IPersistable, INotifyPropertyChangedEx, INotifyPropertyChanged, IMarketRuleContainer, ILogReceiver, ILogSource, IDisposable, ICloneable<Strategy>, ICloneable, IMarketDataProvider, ISubscriptionProvider, ISecurityProvider, ISecurityMessageProvider, ITransactionProvider, IPositionProvider, IPortfolioProvider, IScheduledTask- Inheritance
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DeltaHedgeStrategy
- Implements
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IPersistableINotifyPropertyChangedExICloneable<Strategy>
- Inherited Members
- Extension Methods
Constructors
DeltaHedgeStrategy(BasketBlackScholes)
Initializes a new instance of the DeltaHedgeStrategy.
public DeltaHedgeStrategy(BasketBlackScholes blackScholes)Parameters
blackScholesBasketBlackScholes
Properties
PositionOffset
Shift in position for underlying asset, allowing not to hedge part of the options position.
[Display(ResourceType = typeof(LocalizedStrings), Name = "PositionOffset", Description = "PositionOffsetDesc", GroupName = "Hedging", Order = 0)]
public decimal PositionOffset { get; set; }Property Value
Methods
GetReHedgeOrders(DateTimeOffset)
To get a list of orders rehedging the option position.
protected override IEnumerable<Order> GetReHedgeOrders(DateTimeOffset currentTime)Parameters
currentTimeDateTimeOffsetCurrent time.
Returns
- IEnumerable<Order>
Rehedging orders.