BlackScholes

StockSharp.Algo.Derivatives

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

Implementiert: IBlackScholes

Konstruktoren

BlackScholes(IMarketDataProvider, DateTime?)

Base constructor for inherited models.

dataProvider: The market data provider.
expirationTime: Explicit option expiration moment. If null, midnight of ExpiryDate is used when available.

BlackScholes(Security, Security, IMarketDataProvider, DateTime?)

Initializes a new instance of BlackScholes for a specific option with its underlying asset.

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.

BlackScholes(Security, IMarketDataProvider, DateTime?)

Initializes a new instance of the BlackScholes for an underlying asset only (non-option models).

underlyingAsset: Underlying asset.
dataProvider: The market data provider.
expirationTime: Explicit option expiration moment. If null, midnight of ExpiryDate is used when available.

Eigenschaften

DataProvider : IMarketDataProvider

The market data provider.

DefaultDeviation : decimal

The standard deviation by default.

Dividend : decimal

The dividend amount on shares.

ExpirationTime : DateTime?

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

Option : Security

Options contract.

OptionType : OptionTypes

Option type.

RiskFree : decimal

The risk free interest rate.

RoundDecimals : int

The number of decimal places at calculated values. The default is -1, which means no values rounding.

UnderlyingAsset : Security

Underlying asset.

Methoden

D1(decimal, decimal, double) : double

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.

Rückgabe: The d1 parameter.

Delta(DateTime, decimal?, decimal?) : decimal?

To calculate the option delta.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

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

Gamma(DateTime, decimal?, decimal?) : decimal?

To calculate the option gamma.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

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

GetAssetPrice(decimal?) : decimal?

To get the price of the underlying asset.

assetPrice: The price of the underlying asset if it is specified.

Rückgabe: The price of the underlying asset. If the value is equal to , then the value calculation currently is impossible.

GetExpirationTimeLine(DateTime) : double?

The time before expiration calculation.

currentTime: The current time.

Rückgabe: The time remaining until expiration. If the value is equal to , then the value calculation currently is impossible.

ImpliedVolatility(DateTime, decimal) : decimal?

To calculate the implied volatility.

currentTime: The current time.
premium: The option premium.

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

Premium(DateTime, decimal?, decimal?) : decimal?

To calculate the option premium.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

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

Rho(DateTime, decimal?, decimal?) : decimal?

To calculate the option rho.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

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

Theta(DateTime, decimal?, decimal?) : decimal?

To calculate the option theta.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

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

TryRound(decimal?) : decimal?

To round to RoundDecimals.

value: The initial value.

Rückgabe: The rounded value.

Vega(DateTime, decimal?, decimal?) : decimal?

To calculate the option vega.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

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