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IBlackScholes

StockSharp.Algo.Derivatives

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

Properties

Dividend 
public decimal Dividend { get; set; }
value = iBlackScholes.Dividend
iBlackScholes.Dividend = value

The dividend amount on shares.

Option 
public Security Option { get; }
value = iBlackScholes.Option

Options contract.

RiskFree 
public decimal RiskFree { get; set; }
value = iBlackScholes.RiskFree
iBlackScholes.RiskFree = value

The risk free interest rate.

Methods

Delta 
public decimal? Delta(DateTime currentTime, decimal? deviation, decimal? assetPrice)
result = iBlackScholes.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 decimal? Gamma(DateTime currentTime, decimal? deviation, decimal? assetPrice)
result = iBlackScholes.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.

ImpliedVolatility 
public decimal? ImpliedVolatility(DateTime currentTime, decimal premium)
result = iBlackScholes.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 decimal? Premium(DateTime currentTime, decimal? deviation, decimal? assetPrice)
result = iBlackScholes.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 decimal? Rho(DateTime currentTime, decimal? deviation, decimal? assetPrice)
result = iBlackScholes.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 decimal? Theta(DateTime currentTime, decimal? deviation, decimal? assetPrice)
result = iBlackScholes.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.

Vega 
public decimal? Vega(DateTime currentTime, decimal? deviation, decimal? assetPrice)
result = iBlackScholes.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.