DerivativesHelper
Extension class for derivatives.
Methods
D1(decimal, decimal, decimal, decimal, decimal, double) : double
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(double, decimal, double) : double
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(OptionTypes, decimal, double) : decimal
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(decimal, double) : double
To calculate the time exhibitor.
- riskFree
- The risk free interest rate.
- timeToExp
- The option period before the expiration.
Returns: The time exhibitor.
Filter(IEnumerable<Security>, decimal) : IEnumerable<Security>
To filter options by the strike Strike.
- options
- Options to be filtered.
- strike
- The strike price.
Returns: Filtered options.
Filter(IEnumerable<Security>, OptionTypes) : IEnumerable<Security>
To filter options by type OptionType.
- options
- Options to be filtered.
- type
- Option type.
Returns: Filtered options.
Filter(IEnumerable<Security>, DateTime?) : IEnumerable<Security>
To filter instruments by the expiration date ExpiryDate.
- securities
- Instruments to be filtered.
- expirationDate
- The expiration date.
Returns: Instruments filtered.
FilterByUnderlying(IEnumerable<Security>, Security) : IEnumerable<Security>
To filter instruments by the underlying asset.
- securities
- Instruments to be filtered.
- asset
- Underlying asset.
Returns: Instruments filtered.
Gamma(decimal, decimal, double, double) : decimal
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(Security, ISecurityProvider) : Security
To get the underlying asset.
- derivative
- The derivative.
- provider
- The provider of information about instruments.
Returns: Underlying asset.
GetAtTheMoney(Security, ISecurityProvider, decimal) : IEnumerable<Security>
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(Security, IEnumerable<Security>, decimal) : IEnumerable<Security>
To get at the money options (ATM).
- underlyingAsset
- Underlying asset.
- allStrikes
- All strikes.
- assetPrice
- The asset price.
Returns: At the money options.
GetCall(Security, ISecurityProvider, decimal, DateTime) : Security
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(Security, ISecurityProvider, DateTime, OptionTypes, decimal) : Security
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(IEnumerable<Security>, decimal) : Security
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(Security, ISecurityProvider, DateTime?) : IEnumerable<Security>
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(DateTime, DateTime, TimeSpan) : double?
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(DateTime, DateTime) : double?
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(string, string, ExchangeBoard) : SecurityMessage
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(Security, ISecurityProvider, decimal) : IEnumerable<Security>
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(Security, IEnumerable<Security>, decimal) : IEnumerable<Security>
To get in the money options (ITM).
- underlyingAsset
- Underlying asset.
- allStrikes
- All strikes.
- assetPrice
- The asset price.
Returns: In the money options.
GetIntrinsicValue(Security, decimal) : decimal
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(Security, ISecurityProvider) : Security
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(Security, ISecurityProvider, decimal, DateTime, OptionTypes) : Security
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(string, ExchangeBoard) : Security
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(Security, ISecurityProvider, decimal) : IEnumerable<Security>
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(Security, IEnumerable<Security>, decimal) : IEnumerable<Security>
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(Security, ISecurityProvider, decimal, DateTime) : Security
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(Security, ISecurityProvider, DateTime?) : decimal
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(Security, decimal, decimal) : decimal
To get the timed option value.
- option
- Options contract.
- currentPrice
- The contract price.
- assetPrice
- The underlying asset price.
Returns: The timed value.
GetUnderlyingAsset(Security, ISecurityProvider) : Security
To get the underlying asset by the derivative.
- derivative
- The derivative.
- provider
- The provider of information about instruments.
Returns: Underlying asset.
ImpliedVolatility(IOrderBookMessage, ISecurityProvider, IMarketDataProvider, DateTime, decimal, decimal) : QuoteChangeMessage
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(IOrderBookMessage, IBlackScholes, DateTime) : QuoteChangeMessage
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(decimal, Func<decimal, decimal?>) : decimal?
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(OptionTypes) : OptionTypes
To change the option type for opposite.
- type
- The initial value.
Returns: The opposite value.
IsExpired(Security, IExchangeInfoProvider, DateTime) : bool
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(OptionTypes, decimal, decimal, decimal, decimal, decimal, double, double) : decimal
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(OptionTypes, decimal, decimal, decimal, decimal, double, double) : decimal
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(OptionTypes, decimal, decimal, decimal, decimal, double, double, decimal) : decimal
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.