DerivativesHelper
StockSharp.Algo.Derivatives
Extension class for derivatives.
Methods
D1
public static double D1(decimal assetPrice, decimal strike, decimal riskFree, decimal dividend, decimal deviation, double timeToExp)result = DerivativesHelper.D1(assetPrice, strike, riskFree, dividend, deviation, timeToExp)To calculate the d1 parameter of the option fulfilment probability estimating.
- assetPrice
- Underlying asset price.
- strike
- The strike price.
- riskFree
- The risk free interest rate.
- dividend
- The dividend amount on shares.
- deviation
- Standard deviation.
- timeToExp
- The option period before the expiration.
Returns: The d1 parameter of the option fulfilment probability estimating.
D2
public static double D2(double d1, decimal deviation, double timeToExp)result = DerivativesHelper.D2(d1, deviation, timeToExp)To calculate the d2 parameter of the option fulfilment probability estimating.
- d1
- The d1 parameter of the option fulfilment probability estimating.
- deviation
- Standard deviation.
- timeToExp
- The option period before the expiration.
Returns: The d2 parameter of the option fulfilment probability estimating.
Delta
public static decimal Delta(OptionTypes optionType, decimal assetPrice, double d1)result = DerivativesHelper.Delta(optionType, assetPrice, d1)To calculate the option delta.
- optionType
- Option type.
- assetPrice
- Underlying asset price.
- d1
- The d1 parameter of the option fulfilment probability estimating.
Returns: Option delta.
ExpRate
public static double ExpRate(decimal riskFree, double timeToExp)result = DerivativesHelper.ExpRate(riskFree, timeToExp)To calculate the time exhibitor.
- riskFree
- The risk free interest rate.
- timeToExp
- The option period before the expiration.
Returns: The time exhibitor.
Filter
public static IEnumerable<Security> Filter(IEnumerable<Security> options, decimal strike)result = DerivativesHelper.Filter(options, strike)To filter options by the strike Strike.
- options
- Options to be filtered.
- strike
- The strike price.
Returns: Filtered options.
Filter
public static IEnumerable<Security> Filter(IEnumerable<Security> options, OptionTypes type)result = DerivativesHelper.Filter(options, type)To filter options by type OptionType.
- options
- Options to be filtered.
- type
- Option type.
Returns: Filtered options.
Filter
public static IEnumerable<Security> Filter(IEnumerable<Security> securities, DateTime? expirationDate)result = DerivativesHelper.Filter(securities, expirationDate)To filter instruments by the expiration date ExpiryDate.
- securities
- Instruments to be filtered.
- expirationDate
- The expiration date.
Returns: Instruments filtered.
FilterByStrikes
public static IEnumerable<Security> FilterByStrikes(IEnumerable<Security> options, decimal centralStrike, int? below, int? above)result = DerivativesHelper.FilterByStrikes(options, centralStrike, below, above)To filter options by the strikes around the central one.
- options
- Options to be filtered.
- centralStrike
- The central strike.
- below
- How many of the listed strikes below the central one to keep; keeps all of them.
- above
- How many of the listed strikes above the central one to keep; keeps all of them.
Returns: The options listed at the central strike and at the kept ones, of every type and expiry listed there.
FilterByUnderlying
public static IEnumerable<Security> FilterByUnderlying(IEnumerable<Security> securities, Security asset)result = DerivativesHelper.FilterByUnderlying(securities, asset)To filter instruments by the underlying asset.
- securities
- Instruments to be filtered.
- asset
- Underlying asset.
Returns: Instruments filtered.
Gamma
public static decimal Gamma(decimal assetPrice, decimal deviation, double timeToExp, double d1)result = DerivativesHelper.Gamma(assetPrice, deviation, timeToExp, d1)To calculate the option gamma.
- assetPrice
- Underlying asset price.
- deviation
- Standard deviation.
- timeToExp
- The option period before the expiration.
- d1
- The d1 parameter of the option fulfilment probability estimating.
Returns: Option gamma.
GetAsset
public static Security GetAsset(Security derivative, ISecurityProvider provider)result = DerivativesHelper.GetAsset(derivative, provider)To get the underlying asset.
- derivative
- The derivative.
- provider
- The provider of information about instruments.
Returns: Underlying asset.
GetAssetAsync
public static ValueTask<Security> GetAssetAsync(Security derivative, ISecurityProvider provider, CancellationToken cancellationToken)result = DerivativesHelper.GetAssetAsync(derivative, provider, cancellationToken)To get the underlying asset.
- derivative
- The derivative.
- provider
- The provider of information about instruments.
- cancellationToken
- CancellationToken
Returns: Underlying asset.
GetAtTheMoney
public static IEnumerable<Security> GetAtTheMoney(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice)result = DerivativesHelper.GetAtTheMoney(underlyingAsset, securityProvider, assetPrice)To get at the money options (ATM).
- underlyingAsset
- Underlying asset.
- securityProvider
- The provider of information about instruments.
- assetPrice
- The asset price.
Returns: At the money options.
GetAtTheMoney
public static IEnumerable<Security> GetAtTheMoney(Security underlyingAsset, IEnumerable<Security> allStrikes, decimal assetPrice)result = DerivativesHelper.GetAtTheMoney(underlyingAsset, allStrikes, assetPrice)To get at the money options (ATM).
- underlyingAsset
- Underlying asset.
- allStrikes
- All strikes.
- assetPrice
- The asset price.
Returns: At the money options.
GetAtTheMoneyAsync
public static ValueTask<IEnumerable<Security>> GetAtTheMoneyAsync(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice, CancellationToken cancellationToken)result = DerivativesHelper.GetAtTheMoneyAsync(underlyingAsset, securityProvider, assetPrice, cancellationToken)To get at the money options (ATM).
- underlyingAsset
- Underlying asset.
- securityProvider
- The provider of information about instruments.
- assetPrice
- The asset price.
- cancellationToken
- CancellationToken
Returns: At the money options.
GetCall
public static Security GetCall(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate)result = DerivativesHelper.GetCall(future, provider, strike, expirationDate)To get Call for the underlying futures.
- future
- Underlying futures.
- provider
- The provider of information about instruments.
- strike
- Strike.
- expirationDate
- The date of the option expiration.
Returns: The Call option.
GetCallAsync
public static ValueTask<Security> GetCallAsync(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate, CancellationToken cancellationToken)result = DerivativesHelper.GetCallAsync(future, provider, strike, expirationDate, cancellationToken)To get Call for the underlying futures.
- future
- Underlying futures.
- provider
- The provider of information about instruments.
- strike
- Strike.
- expirationDate
- The date of the option expiration.
- cancellationToken
- CancellationToken
Returns: The Call option.
GetCentralStrike
public static Security GetCentralStrike(Security underlyingAsset, ISecurityProvider securityProvider, DateTime expirationDate, OptionTypes optionType, decimal assetPrice)result = DerivativesHelper.GetCentralStrike(underlyingAsset, securityProvider, expirationDate, optionType, assetPrice)To get the main strike.
- underlyingAsset
- Underlying asset.
- securityProvider
- The provider of information about instruments.
- expirationDate
- The options expiration date.
- optionType
- Option type.
- assetPrice
- The current market price of the asset. It is used to calculate the main strike.
Returns: The main strike.
GetCentralStrike
public static Security GetCentralStrike(IEnumerable<Security> allStrikes, decimal assetPrice)result = DerivativesHelper.GetCentralStrike(allStrikes, assetPrice)To get the main strike.
- allStrikes
- All strikes.
- assetPrice
- The current market price of the asset. It is used to calculate the main strike.
Returns: The main strike. If it is impossible to get the current market price of the asset then the will be returned.
GetCentralStrikeAsync
public static ValueTask<Security> GetCentralStrikeAsync(Security underlyingAsset, ISecurityProvider securityProvider, DateTime expirationDate, OptionTypes optionType, decimal assetPrice, CancellationToken cancellationToken)result = DerivativesHelper.GetCentralStrikeAsync(underlyingAsset, securityProvider, expirationDate, optionType, assetPrice, cancellationToken)To get the main strike.
- underlyingAsset
- Underlying asset.
- securityProvider
- The provider of information about instruments.
- expirationDate
- The options expiration date.
- optionType
- Option type.
- assetPrice
- The asset price.
- cancellationToken
- CancellationToken
Returns: The main strike.
GetDerivatives
public static IEnumerable<Security> GetDerivatives(Security asset, ISecurityProvider provider, DateTime? expirationDate)result = DerivativesHelper.GetDerivatives(asset, provider, expirationDate)To get derivatives by the underlying asset.
- asset
- Underlying asset.
- provider
- The provider of information about instruments.
- expirationDate
- The expiration date.
Returns: The list of derivatives.
GetDerivativesAsync
public static IAsyncEnumerable<Security> GetDerivativesAsync(Security asset, ISecurityProvider provider, DateTime? expirationDate)result = DerivativesHelper.GetDerivativesAsync(asset, provider, expirationDate)To get derivatives by the underlying asset.
- asset
- Underlying asset.
- provider
- The provider of information about instruments.
- expirationDate
- The expiration date.
Returns: The derivatives, or none when there are none.
GetExpirationMoment
internal static DateTime GetExpirationMoment(DateTime expiryDate, ExchangeBoard board)result = DerivativesHelper.GetExpirationMoment(expiryDate, board)The moment an instrument expires: its expiry date as given when that carries a time of day, otherwise the board's expiry time on that date, which is the board's local time.
- expiryDate
- The expiry date of the instrument, UTC.
- board
- The board the instrument trades on, or when it is not known.
Returns: The expiry moment, UTC.
GetExpirationTimeLine
public static double? GetExpirationTimeLine(DateTime expirationTime, DateTime currentTime)result = DerivativesHelper.GetExpirationTimeLine(expirationTime, currentTime)To get the option period before expiration.
- expirationTime
- The option expiration time.
- currentTime
- The current time.
Returns: The option period before expiration. If the value is equal to , then the value calculation currently is impossible.
GetExpirationTimeLine
public static double? GetExpirationTimeLine(DateTime expirationTime, DateTime currentTime, TimeSpan timeLine)result = DerivativesHelper.GetExpirationTimeLine(expirationTime, currentTime, timeLine)To get the option period before expiration.
- expirationTime
- The option expiration time.
- currentTime
- The current time.
- timeLine
- The length of the total period.
Returns: The option period before expiration. If the value is equal to , then the value calculation currently is impossible.
GetFutureInfo
public static SecurityMessage GetFutureInfo(string futureName, string optionCode, ExchangeBoard board)result = DerivativesHelper.GetFutureInfo(futureName, optionCode, board)To get the information about the futures from its name (underlying asset, expiration date, etc.).
- futureName
- The futures name.
- optionCode
- The option code.
- board
- Board info.
Returns: Information about futures.
GetInTheMoney
public static IEnumerable<Security> GetInTheMoney(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice)result = DerivativesHelper.GetInTheMoney(underlyingAsset, securityProvider, assetPrice)To get in the money options (ITM).
- underlyingAsset
- Underlying asset.
- securityProvider
- The provider of information about instruments.
- assetPrice
- The asset price.
Returns: In the money options.
GetInTheMoney
public static IEnumerable<Security> GetInTheMoney(Security underlyingAsset, IEnumerable<Security> allStrikes, decimal assetPrice)result = DerivativesHelper.GetInTheMoney(underlyingAsset, allStrikes, assetPrice)To get in the money options (ITM).
- underlyingAsset
- Underlying asset.
- allStrikes
- All strikes.
- assetPrice
- The asset price.
Returns: In the money options.
GetInTheMoneyAsync
public static ValueTask<IEnumerable<Security>> GetInTheMoneyAsync(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice, CancellationToken cancellationToken)result = DerivativesHelper.GetInTheMoneyAsync(underlyingAsset, securityProvider, assetPrice, cancellationToken)To get in the money options (ITM).
- underlyingAsset
- Underlying asset.
- securityProvider
- The provider of information about instruments.
- assetPrice
- The asset price.
- cancellationToken
- CancellationToken
Returns: In the money options.
GetIntrinsicValue
public static decimal GetIntrinsicValue(Security option, decimal assetPrice)result = DerivativesHelper.GetIntrinsicValue(option, assetPrice)To get the internal option value.
- option
- Options contract.
- assetPrice
- The underlying asset price.
Returns: The internal value. If it is impossible to get the current market price of the asset then the will be returned.
GetOppositeOption
public static Security GetOppositeOption(Security option, ISecurityProvider provider)result = DerivativesHelper.GetOppositeOption(option, provider)To get opposite option (for Call to get Put, for Put to get Call).
- option
- Options contract.
- provider
- The provider of information about instruments.
Returns: The opposite option.
GetOppositeOptionAsync
public static ValueTask<Security> GetOppositeOptionAsync(Security option, ISecurityProvider provider, CancellationToken cancellationToken)result = DerivativesHelper.GetOppositeOptionAsync(option, provider, cancellationToken)To get opposite option (for Call to get Put, for Put to get Call).
- option
- Options contract.
- provider
- The provider of information about instruments.
- cancellationToken
- CancellationToken
Returns: The opposite option.
GetOption
public static Security GetOption(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate, OptionTypes optionType)result = DerivativesHelper.GetOption(future, provider, strike, expirationDate, optionType)To get an option for the underlying futures.
- future
- Underlying futures.
- provider
- The provider of information about instruments.
- strike
- Strike.
- expirationDate
- The options expiration date.
- optionType
- Option type.
Returns: Options contract.
GetOptionAsync
public static ValueTask<Security> GetOptionAsync(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate, OptionTypes optionType, CancellationToken cancellationToken)result = DerivativesHelper.GetOptionAsync(future, provider, strike, expirationDate, optionType, cancellationToken)To get an option for the underlying futures.
- future
- Underlying futures.
- provider
- The provider of information about instruments.
- strike
- Strike.
- expirationDate
- The options expiration date.
- optionType
- Option type.
- cancellationToken
- CancellationToken
Returns: Options contract.
GetOptionInfo
public static Security GetOptionInfo(string optionName, ExchangeBoard board)result = DerivativesHelper.GetOptionInfo(optionName, board)To get the information about the option from its name (underlying asset, strike, expiration date, etc.).
- optionName
- The option name.
- board
- Board info.
Returns: Information about the option.
GetOutOfTheMoney
public static IEnumerable<Security> GetOutOfTheMoney(Security underlyingAsset, IEnumerable<Security> allStrikes, decimal assetPrice)result = DerivativesHelper.GetOutOfTheMoney(underlyingAsset, allStrikes, assetPrice)To get out of the money options (OTM).
- underlyingAsset
- Underlying asset.
- allStrikes
- All strikes.
- assetPrice
- The asset price.
Returns: Out of the money options.
GetOutOfTheMoney
public static IEnumerable<Security> GetOutOfTheMoney(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice)result = DerivativesHelper.GetOutOfTheMoney(underlyingAsset, securityProvider, assetPrice)To get out of the money options (OTM).
- underlyingAsset
- Underlying asset.
- securityProvider
- The provider of information about instruments.
- assetPrice
- The asset price.
Returns: Out of the money options.
GetOutOfTheMoneyAsync
public static ValueTask<IEnumerable<Security>> GetOutOfTheMoneyAsync(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice, CancellationToken cancellationToken)result = DerivativesHelper.GetOutOfTheMoneyAsync(underlyingAsset, securityProvider, assetPrice, cancellationToken)To get out of the money options (OTM).
- underlyingAsset
- Underlying asset.
- securityProvider
- The provider of information about instruments.
- assetPrice
- The asset price.
- cancellationToken
- CancellationToken
Returns: Out of the money options.
GetPut
public static Security GetPut(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate)result = DerivativesHelper.GetPut(future, provider, strike, expirationDate)To get Put for the underlying futures.
- future
- Underlying futures.
- provider
- The provider of information about instruments.
- strike
- Strike.
- expirationDate
- The date of the option expiration.
Returns: The Put option.
GetPutAsync
public static ValueTask<Security> GetPutAsync(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate, CancellationToken cancellationToken)result = DerivativesHelper.GetPutAsync(future, provider, strike, expirationDate, cancellationToken)To get Put for the underlying futures.
- future
- Underlying futures.
- provider
- The provider of information about instruments.
- strike
- Strike.
- expirationDate
- The date of the option expiration.
- cancellationToken
- CancellationToken
Returns: The Put option.
GetStrikeStep
public static decimal GetStrikeStep(Security underlyingAsset, ISecurityProvider provider, DateTime? expirationDate)result = DerivativesHelper.GetStrikeStep(underlyingAsset, provider, expirationDate)To get the strike step size.
- provider
- The provider of information about instruments.
- underlyingAsset
- Underlying asset.
- expirationDate
- The options expiration date (to specify a particular series).
Returns: The strike step size.
GetStrikeStep
public static decimal GetStrikeStep(IEnumerable<Security> derivatives)result = DerivativesHelper.GetStrikeStep(derivatives)To get the strike step size.
- derivatives
- Derivatives of the underlying asset.
Returns: The strike step size.
GetStrikeStepAsync
public static ValueTask<decimal> GetStrikeStepAsync(Security underlyingAsset, ISecurityProvider provider, DateTime? expirationDate, CancellationToken cancellationToken)result = DerivativesHelper.GetStrikeStepAsync(underlyingAsset, provider, expirationDate, cancellationToken)To get the strike step size.
- underlyingAsset
- Underlying asset.
- provider
- The provider of information about instruments.
- expirationDate
- The options expiration date (to specify a particular series).
- cancellationToken
- CancellationToken
Returns: The strike step size.
GetTimeValue
public static decimal GetTimeValue(Security option, decimal currentPrice, decimal assetPrice)result = DerivativesHelper.GetTimeValue(option, currentPrice, assetPrice)To get the timed option value.
- option
- Options contract.
- currentPrice
- The contract price.
- assetPrice
- The underlying asset price.
Returns: The timed value.
GetUnderlyingAsset
public static Security GetUnderlyingAsset(Security derivative, ISecurityProvider provider)result = DerivativesHelper.GetUnderlyingAsset(derivative, provider)To get the underlying asset by the derivative.
- derivative
- The derivative.
- provider
- The provider of information about instruments.
Returns: Underlying asset.
GetUnderlyingAssetAsync
public static ValueTask<Security> GetUnderlyingAssetAsync(Security derivative, ISecurityProvider provider, CancellationToken cancellationToken)result = DerivativesHelper.GetUnderlyingAssetAsync(derivative, provider, cancellationToken)To get the underlying asset by the derivative.
- derivative
- The derivative.
- provider
- The provider of information about instruments.
- cancellationToken
- CancellationToken
Returns: Underlying asset.
ImpliedVolatility
public static QuoteChangeMessage ImpliedVolatility(IOrderBookMessage depth, ISecurityProvider securityProvider, IMarketDataProvider dataProvider, DateTime currentTime, decimal riskFree, decimal dividend)result = DerivativesHelper.ImpliedVolatility(depth, securityProvider, dataProvider, currentTime, riskFree, dividend)To create the volatility order book from usual order book.
- depth
- The order book quotes of which will be changed to volatility quotes.
- securityProvider
- The provider of information about instruments.
- dataProvider
- The market data provider.
- currentTime
- The current time.
- riskFree
- The risk free interest rate.
- dividend
- The dividend amount on shares.
Returns: The order book volatility.
ImpliedVolatility
public static QuoteChangeMessage ImpliedVolatility(IOrderBookMessage depth, IBlackScholes model, DateTime currentTime)result = DerivativesHelper.ImpliedVolatility(depth, model, currentTime)To create the volatility order book from usual order book.
- depth
- The order book quotes of which will be changed to volatility quotes.
- model
- The model for calculating Greeks values by the Black-Scholes formula.
- currentTime
- The current time.
Returns: The order book volatility.
ImpliedVolatility
public static decimal? ImpliedVolatility(decimal premium, Func<decimal, decimal?> getPremium)result = DerivativesHelper.ImpliedVolatility(premium, getPremium)To calculate the implied volatility.
- premium
- The option premium.
- getPremium
- To calculate the premium by volatility.
Returns: The implied volatility, in percent. If the value is equal to , then the value calculation currently is impossible.
ImpliedVolatilityAsync
public static ValueTask<QuoteChangeMessage> ImpliedVolatilityAsync(IOrderBookMessage depth, ISecurityProvider securityProvider, IMarketDataProvider dataProvider, DateTime currentTime, decimal riskFree, decimal dividend, CancellationToken cancellationToken)result = DerivativesHelper.ImpliedVolatilityAsync(depth, securityProvider, dataProvider, currentTime, riskFree, dividend, cancellationToken)To create the volatility order book from usual order book.
- depth
- The order book quotes of which will be changed to volatility quotes.
- securityProvider
- The provider of information about instruments.
- dataProvider
- The market data provider.
- currentTime
- The current time.
- riskFree
- The risk free interest rate.
- dividend
- The dividend amount on shares.
- cancellationToken
- CancellationToken
Returns: The order book volatility.
Invert
public static OptionTypes Invert(OptionTypes type)result = DerivativesHelper.Invert(type)To change the option type for opposite.
- type
- The initial value.
Returns: The opposite value.
IsExpired
public static bool IsExpired(Security security, IExchangeInfoProvider exchangeInfoProvider, DateTime currentTime)result = DerivativesHelper.IsExpired(security, exchangeInfoProvider, currentTime)To check whether the instrument has finished the action.
- security
- Security.
- exchangeInfoProvider
- Exchanges and trading boards provider.
- currentTime
- The current time.
Returns: if the instrument has finished its action.
Premium
public static decimal Premium(OptionTypes optionType, decimal strike, decimal assetPrice, decimal riskFree, decimal dividend, decimal deviation, double timeToExp, double d1)result = DerivativesHelper.Premium(optionType, strike, assetPrice, riskFree, dividend, deviation, timeToExp, d1)To calculate the option premium.
- optionType
- Option type.
- strike
- The strike price.
- assetPrice
- Underlying asset price.
- riskFree
- The risk free interest rate.
- dividend
- The dividend amount on shares.
- deviation
- Standard deviation.
- timeToExp
- The option period before the expiration.
- d1
- The d1 parameter of the option fulfilment probability estimating.
Returns: The option premium.
Rho
public static decimal Rho(OptionTypes optionType, decimal strike, decimal assetPrice, decimal riskFree, decimal deviation, double timeToExp, double d1)result = DerivativesHelper.Rho(optionType, strike, assetPrice, riskFree, deviation, timeToExp, d1)To calculate the option rho.
- optionType
- Option type.
- strike
- The strike price.
- assetPrice
- Underlying asset price.
- riskFree
- The risk free interest rate.
- deviation
- Standard deviation.
- timeToExp
- The option period before the expiration.
- d1
- The d1 parameter of the option fulfilment probability estimating.
Returns: Option rho.
Theta
public static decimal Theta(OptionTypes optionType, decimal strike, decimal assetPrice, decimal riskFree, decimal deviation, double timeToExp, double d1, decimal daysInYear)result = DerivativesHelper.Theta(optionType, strike, assetPrice, riskFree, deviation, timeToExp, d1, daysInYear)To calculate the option theta.
- optionType
- Option type.
- strike
- The strike price.
- assetPrice
- Underlying asset price.
- riskFree
- The risk free interest rate.
- deviation
- Standard deviation.
- timeToExp
- The option period before the expiration.
- d1
- The d1 parameter of the option fulfilment probability estimating.
- daysInYear
- Days per year.
Returns: Option theta.
Theta
public static decimal Theta(OptionTypes optionType, decimal strike, decimal assetPrice, decimal riskFree, decimal dividend, decimal deviation, double timeToExp, double d1, decimal daysInYear)result = DerivativesHelper.Theta(optionType, strike, assetPrice, riskFree, dividend, deviation, timeToExp, d1, daysInYear)To calculate the option theta with a continuous dividend yield.
- optionType
- Option type.
- strike
- The strike price.
- assetPrice
- Underlying asset price.
- riskFree
- The risk free interest rate.
- dividend
- The continuous dividend yield.
- deviation
- Standard deviation.
- timeToExp
- The option period before the expiration.
- d1
- The d1 parameter of the option fulfilment probability estimating.
- daysInYear
- Days per year.
Returns: Option theta.
Vega
public static decimal Vega(decimal assetPrice, double timeToExp, double d1)result = DerivativesHelper.Vega(assetPrice, timeToExp, d1)To calculate the option vega.
- assetPrice
- Underlying asset price.
- timeToExp
- The option period before the expiration.
- d1
- The d1 parameter of the option fulfilment probability estimating.
Returns: Option vega.