BasketBlackScholes

StockSharp.Algo.Derivatives

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

Constructors

public BasketBlackScholes(IMarketDataProvider dataProvider, IPositionProvider positionProvider, DateTime? expirationTime)

basketBlackScholes = BasketBlackScholes(dataProvider, positionProvider, expirationTime)

Initializes a new instance of the BasketBlackScholes.

dataProvider: The market data provider.
positionProvider: The position provider.
expirationTime: Explicit options expiration moment for the whole basket. If null, models' own settings are used.

BasketBlackScholes

public BasketBlackScholes(Security underlyingAsset, IMarketDataProvider dataProvider, IPositionProvider positionProvider, DateTime? expirationTime)

basketBlackScholes = BasketBlackScholes(underlyingAsset, dataProvider, positionProvider, expirationTime)

Initializes a new instance of the BasketBlackScholes with explicit underlying.

underlyingAsset: Underlying asset.
dataProvider: The market data provider.
positionProvider: The position provider.
expirationTime: Explicit options expiration moment for the whole basket.

Properties

ExpirationTime

public override DateTime? ExpirationTime { get; set; }

value = basketBlackScholes.ExpirationTime
basketBlackScholes.ExpirationTime = value

Explicit expiration moment. If null, ExpiryDate is used when available: with its time of day, or at the board's expiry time for a date alone.

InnerModels

public IInnerModelList InnerModels { get; }

value = basketBlackScholes.InnerModels

Information about options.

Option

public override Security Option { get; }

value = basketBlackScholes.Option

Options contract.

PositionProvider

public IPositionProvider PositionProvider { get; set; }

value = basketBlackScholes.PositionProvider
basketBlackScholes.PositionProvider = value

The position provider.

RoundDecimals

public override int RoundDecimals { set; }

basketBlackScholes.RoundDecimals = value

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

UnderlyingAsset

public override Security UnderlyingAsset { get; }

value = basketBlackScholes.UnderlyingAsset

Underlying asset.

Methods

Delta

public override decimal? Delta(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = basketBlackScholes.Delta(currentTime, deviation, assetPrice)

To calculate the option delta.

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

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

Gamma

public override decimal? Gamma(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = basketBlackScholes.Gamma(currentTime, deviation, assetPrice)

To calculate the option gamma.

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

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

GetExpirationTimeLine

public override double? GetExpirationTimeLine(DateTime currentTime)

result = basketBlackScholes.GetExpirationTimeLine(currentTime)

The time before expiration calculation.

currentTime: The current time.

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

ImpliedVolatility

public override decimal? ImpliedVolatility(DateTime currentTime, decimal premium, decimal? assetPrice)

result = basketBlackScholes.ImpliedVolatility(currentTime, premium, assetPrice)

To calculate the implied volatility.

currentTime: The current time.
premium: The option premium.
assetPrice: Underlying asset price.

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

Premium

public override decimal? Premium(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = basketBlackScholes.Premium(currentTime, deviation, assetPrice)

To calculate the option premium.

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

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

ProcessOptions

private decimal? ProcessOptions(Func<BlackScholes, decimal?> func)

result = basketBlackScholes.ProcessOptions(func)

To sum a value over the options of the basket, each weighted by the position in it.

func: The value of one option.

Returns: The sum; when an option the book holds cannot be valued, for the sum of the others is not the book's.

Rho

public override decimal? Rho(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = basketBlackScholes.Rho(currentTime, deviation, assetPrice)

To calculate the option rho.

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

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

Theta

public override decimal? Theta(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = basketBlackScholes.Theta(currentTime, deviation, assetPrice)

To calculate the option theta.

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

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

Vega

public override decimal? Vega(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = basketBlackScholes.Vega(currentTime, deviation, assetPrice)

To calculate the option vega.

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

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