DerivativesHelper — StockSharp Documentation

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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, 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.

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.

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.

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.

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.

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. If the value is equal to , then the value calculation currently is impossible.

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.

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.