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IBlackScholes

StockSharp.Algo.Derivatives

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

Eigenschaften

Dividend : decimal

The dividend amount on shares.

Option : Security

Options contract.

RiskFree : decimal

The risk free interest rate.

Methoden

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.

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.

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.