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, midnight of ExpiryDate is used when available.

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, midnight of ExpiryDate is used when available.

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, midnight of ExpiryDate is used when available.

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 by default.

Dividend

public virtual decimal Dividend { get; set; }

value = blackScholes.Dividend
blackScholes.Dividend = value

The dividend amount on shares.

ExpirationTime

public DateTime? ExpirationTime { get; set; }

value = blackScholes.ExpirationTime
blackScholes.ExpirationTime = value

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

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

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.

ImpliedVolatility

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

result = blackScholes.ImpliedVolatility(currentTime, premium)

To calculate the implied volatility.

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

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

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.