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.

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.

InnerModels

public IInnerModelList InnerModels { get; }

value = basketBlackScholes.InnerModels

Information about options.

Option

public override Security Option { get; }

value = basketBlackScholes.Option

Options contract.

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.

public override Security UnderlyingAsset { get; }

value = basketBlackScholes.UnderlyingAsset

Underlying asset.

Delta

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

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

To calculate the option delta.

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.

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

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

result = basketBlackScholes.ImpliedVolatility(currentTime, premium)

To calculate the implied volatility.

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.

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

Rho

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

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

To calculate the option rho.

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.

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.

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