BlackScholes

StockSharp.Algo.Derivatives

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

Constructors

protected BlackScholes(IMarketDataProvider dataProvider, DateTime? expirationTime)

blackScholes = BlackScholes(dataProvider, expirationTime)

Base constructor for inherited models.

dataProvider: The market data provider.
expirationTime: Explicit option 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.

BlackScholes

public BlackScholes(Security option, Security underlyingAsset, IMarketDataProvider dataProvider, DateTime? expirationTime)

blackScholes = BlackScholes(option, underlyingAsset, dataProvider, expirationTime)

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

BlackScholes

protected BlackScholes(Security underlyingAsset, IMarketDataProvider dataProvider, DateTime? expirationTime)

blackScholes = BlackScholes(underlyingAsset, dataProvider, expirationTime)

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

Properties

DataProvider

public virtual IMarketDataProvider DataProvider { get; }

value = blackScholes.DataProvider

The market data provider.

DefaultDeviation

public decimal? DefaultDeviation { get; }

value = blackScholes.DefaultDeviation

The standard deviation the option is quoted at: its implied volatility as a fraction. while no volatility is quoted, and then the model computes nothing for which the caller gives no deviation.

Dividend

public virtual decimal Dividend { get; set; }

value = blackScholes.Dividend
blackScholes.Dividend = value

The dividend amount on shares.

ExpirationTime

public virtual DateTime? ExpirationTime { get; set; }

value = blackScholes.ExpirationTime
blackScholes.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.

Option

public virtual Security Option { get; }

value = blackScholes.Option

Options contract.

OptionType

protected OptionTypes OptionType { get; }

value = blackScholes.OptionType

Option type.

RiskFree

public decimal RiskFree { get; set; }

value = blackScholes.RiskFree
blackScholes.RiskFree = value

The risk free interest rate.

RoundDecimals

public virtual int RoundDecimals { get; set; }

value = blackScholes.RoundDecimals
blackScholes.RoundDecimals = value

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

UnderlyingAsset

public virtual Security UnderlyingAsset { get; set; }

value = blackScholes.UnderlyingAsset
blackScholes.UnderlyingAsset = value

Underlying asset.

Methods

CalcDelta

protected virtual decimal CalcDelta(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcDelta(deviation, assetPrice, timeToExp)

To calculate the option delta from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Returns: Option delta.

CalcGamma

protected virtual decimal CalcGamma(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcGamma(deviation, assetPrice, timeToExp)

To calculate the option gamma from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Returns: Option gamma.

CalcPremium

protected virtual decimal CalcPremium(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcPremium(deviation, assetPrice, timeToExp)

To calculate the option premium from the model inputs already resolved by Decimal}).

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Returns: The option premium.

CalcRho

protected virtual decimal CalcRho(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcRho(deviation, assetPrice, timeToExp)

To calculate the option rho from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Returns: Option rho.

CalcTheta

protected virtual decimal CalcTheta(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcTheta(deviation, assetPrice, timeToExp)

To calculate the option theta from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Returns: Option theta.

CalcVega

protected virtual decimal CalcVega(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcVega(deviation, assetPrice, timeToExp)

To calculate the option vega from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Returns: Option vega.

protected virtual double D1(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.D1(deviation, assetPrice, timeToExp)

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.

Returns: The d1 parameter.

Delta

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

result = blackScholes.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 virtual decimal? Gamma(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.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.

GetAssetPrice

public decimal? GetAssetPrice(decimal? assetPrice)

result = blackScholes.GetAssetPrice(assetPrice)

To get the price of the underlying asset.

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

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

GetExpirationTimeLine

public virtual double? GetExpirationTimeLine(DateTime currentTime)

result = blackScholes.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.

GetInputs

protected ValueTuple<decimal, decimal, double>? GetInputs(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.GetInputs(currentTime, deviation, assetPrice)

What every value of the model is computed from: the deviation the caller gives or the one quoted, the asset price the caller gives or the last trade, and the time left to expiry.

currentTime: The current time.
deviation: The standard deviation, or for the quoted one.
assetPrice: The price of the underlying asset, or for its last trade.

Returns: The inputs, or when one of them is not known.

ImpliedVolatility

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

result = blackScholes.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.

IsExpired

internal bool IsExpired(DateTime currentTime)

result = blackScholes.IsExpired(currentTime)

Whether the option has expired by the given moment, as the model takes its expiry.

currentTime: The current time.

Returns: when the expiry is known and is not later than .

Payoff

internal decimal? Payoff(decimal? assetPrice)

result = blackScholes.Payoff(assetPrice)

What the option pays at its expiry, before rounding: its intrinsic value at the price of the underlying asset.

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

Returns: The payoff. If the value is equal to , then the price of the underlying asset is unknown.

PayoffDelta

internal decimal? PayoffDelta(decimal? assetPrice)

result = blackScholes.PayoffDelta(assetPrice)

The slope of what the option pays at its expiry: the asset it delivers, one for one while it is in the money.

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

Returns: The delta of the payoff. If the value is equal to , then the price of the underlying asset is unknown.

Premium

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

result = blackScholes.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.

Rho

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

result = blackScholes.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 virtual decimal? Theta(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.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.

TryRound

protected decimal? TryRound(decimal? value)

result = blackScholes.TryRound(value)

To round to RoundDecimals.

value: The initial value.

Returns: The rounded value.

Vega

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

result = blackScholes.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.