BlackScholes

StockSharp.Algo.Derivatives

El modelo para calcular los valores griegos por la fórmula Black-Scholes.

Constructores

protected BlackScholes(IMarketDataProvider dataProvider, DateTime? expirationTime)

blackScholes = BlackScholes(dataProvider, expirationTime)

Constructor de base para modelos heredados.

dataProvider: El proveedor de datos del mercado.
expirationTime: Explicit option expiration moment. Si null, la medianoche de ExpiryDate se utiliza cuando está disponible.

BlackScholes

public BlackScholes(Security option, Security underlyingAsset, IMarketDataProvider dataProvider, DateTime? expirationTime)

blackScholes = BlackScholes(option, underlyingAsset, dataProvider, expirationTime)

Inicia una nueva instancia de BlackScholes@ para una opción específica con su activo subyacente.

option: Contrato de opciones.
underlyingAsset: Activo subyacente.
dataProvider: El proveedor de datos del mercado.
expirationTime: Explicit option expiration moment. Si null, la medianoche de ExpiryDate se utiliza cuando está disponible.

BlackScholes

protected BlackScholes(Security underlyingAsset, IMarketDataProvider dataProvider, DateTime? expirationTime)

blackScholes = BlackScholes(underlyingAsset, dataProvider, expirationTime)

Inicia una nueva instancia de BlackScholes para un activo subyacente (modelos no operativos).

underlyingAsset: Activo subyacente.
dataProvider: El proveedor de datos del mercado.
expirationTime: Explicit option expiration moment. Si null, la medianoche de ExpiryDate se utiliza cuando está disponible.

Propiedades

DataProvider

public virtual IMarketDataProvider DataProvider { get; }

value = blackScholes.DataProvider

El proveedor de datos del mercado.

DefaultDeviation

public decimal? DefaultDeviation { get; }

value = blackScholes.DefaultDeviation

La desviación estándar por defecto.

Dividend

public virtual decimal Dividend { get; set; }

value = blackScholes.Dividend
blackScholes.Dividend = value

El importe de dividendo en acciones.

ExpirationTime

public virtual DateTime? ExpirationTime { get; set; }

value = blackScholes.ExpirationTime
blackScholes.ExpirationTime = value

Explicit expiration moment. Si null, la medianoche de ExpiryDate se utiliza cuando está disponible.

Option

public virtual Security Option { get; }

value = blackScholes.Option

Contrato de opciones.

OptionType

protected OptionTypes OptionType { get; }

value = blackScholes.OptionType

Tipo de opción.

RiskFree

public decimal RiskFree { get; set; }

value = blackScholes.RiskFree
blackScholes.RiskFree = value

La tasa de interés libre de riesgo.

RoundDecimals

public virtual int RoundDecimals { get; set; }

value = blackScholes.RoundDecimals
blackScholes.RoundDecimals = value

El número de lugares decimales a valores calculados. El valor predeterminado es -1, lo que significa que no hay redondeo de valores.

UnderlyingAsset

public virtual Security UnderlyingAsset { get; set; }

value = blackScholes.UnderlyingAsset
blackScholes.UnderlyingAsset = value

Activo subyacente.

Métodos

CalcDelta

protected virtual decimal CalcDelta(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcDelta(deviation, assetPrice, timeToExp)

To calculate the option delta from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Devuelve: Option delta.

CalcGamma

protected virtual decimal CalcGamma(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcGamma(deviation, assetPrice, timeToExp)

To calculate the option gamma from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Devuelve: Option gamma.

CalcPremium

protected virtual decimal CalcPremium(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcPremium(deviation, assetPrice, timeToExp)

To calculate the option premium from the model inputs already resolved by Decimal}).

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Devuelve: The option premium.

CalcRho

protected virtual decimal CalcRho(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcRho(deviation, assetPrice, timeToExp)

To calculate the option rho from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Devuelve: Option rho.

CalcTheta

protected virtual decimal CalcTheta(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcTheta(deviation, assetPrice, timeToExp)

To calculate the option theta from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Devuelve: Option theta.

CalcVega

protected virtual decimal CalcVega(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcVega(deviation, assetPrice, timeToExp)

To calculate the option vega from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

Devuelve: Option vega.

protected virtual double D1(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.D1(deviation, assetPrice, timeToExp)

Para calcular el parámetro d1 de la estimación de probabilidad de realización de la opción.

deviation: Desviación estándar.
assetPrice: Precio de activos subyacente.
timeToExp: El período de opción antes de la expiración.

Devuelve: El parámetro d1.

Delta

public virtual decimal? Delta(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Delta(currentTime, deviation, assetPrice)

Para calcular la opción delta.

currentTime: El momento actual.
deviation: Desviación estándar.
assetPrice: Precio de activos subyacente.

Devuelve: La opción delta. Si el valor es igual a , entonces el cálculo de valor actualmente es imposible.

Gamma

public virtual decimal? Gamma(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Gamma(currentTime, deviation, assetPrice)

Para calcular la gamma de opción.

currentTime: El momento actual.
deviation: Desviación estándar.
assetPrice: Precio de activos subyacente.

Devuelve: La opción gamma. Si el valor es igual a , entonces el cálculo de valor actualmente es imposible.

GetAssetPrice

public decimal? GetAssetPrice(decimal? assetPrice)

result = blackScholes.GetAssetPrice(assetPrice)

Para obtener el precio del activo subyacente.

assetPrice: El precio del activo subyacente si se especifica.

Devuelve: El precio del activo subyacente. Si el valor es igual a , entonces el cálculo de valor actualmente es imposible.

GetExpirationTimeLine

public virtual double? GetExpirationTimeLine(DateTime currentTime)

result = blackScholes.GetExpirationTimeLine(currentTime)

El tiempo antes del cálculo de caducidad.

currentTime: El momento actual.

Devuelve: El tiempo restante hasta la expiración. Si el valor es igual a , entonces el cálculo de valor actualmente es imposible.

GetInputs

protected ValueTuple<decimal, decimal, double>? GetInputs(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.GetInputs(currentTime, deviation, assetPrice)

What every value of the model is computed from: the deviation the caller gives or the one quoted, the asset price the caller gives or the last trade, and the time left to expiry.

currentTime: The current time.
deviation: The standard deviation, or for the quoted one.
assetPrice: The price of the underlying asset, or for its last trade.

Devuelve: The inputs, or when one of them is not known.

ImpliedVolatility

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

result = blackScholes.ImpliedVolatility(currentTime, premium, assetPrice)

To calculate the implied volatility.

currentTime: The current time.
premium: The option premium.
assetPrice: Underlying asset price.

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

IsExpired

internal bool IsExpired(DateTime currentTime)

result = blackScholes.IsExpired(currentTime)

Whether the option has expired by the given moment, as the model takes its expiry.

currentTime: The current time.

Devuelve: when the expiry is known and is not later than .

Payoff

internal decimal? Payoff(decimal? assetPrice)

result = blackScholes.Payoff(assetPrice)

What the option pays at its expiry, before rounding: its intrinsic value at the price of the underlying asset.

assetPrice: The price of the underlying asset if it is specified.

Devuelve: The payoff. If the value is equal to , then the price of the underlying asset is unknown.

PayoffDelta

internal decimal? PayoffDelta(decimal? assetPrice)

result = blackScholes.PayoffDelta(assetPrice)

The slope of what the option pays at its expiry: the asset it delivers, one for one while it is in the money.

assetPrice: The price of the underlying asset if it is specified.

Devuelve: The delta of the payoff. If the value is equal to , then the price of the underlying asset is unknown.

Premium

public virtual decimal? Premium(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Premium(currentTime, deviation, assetPrice)

Para calcular la prima de opción.

currentTime: El momento actual.
deviation: Desviación estándar.
assetPrice: Precio de activos subyacente.

Devuelve: La prima de opción. Si el valor es igual a , entonces el cálculo de valor actualmente es imposible.

Rho

public virtual decimal? Rho(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Rho(currentTime, deviation, assetPrice)

Para calcular la opción rho.

currentTime: El momento actual.
deviation: Desviación estándar.
assetPrice: Precio de activos subyacente.

Devuelve: La opción rho. Si el valor es igual a , entonces el cálculo de valor actualmente es imposible.

Theta

public virtual decimal? Theta(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Theta(currentTime, deviation, assetPrice)

Para calcular la opción theta.

currentTime: El momento actual.
deviation: Desviación estándar.
assetPrice: Precio de activos subyacente.

Devuelve: La opción theta. Si el valor es igual a , entonces el cálculo de valor actualmente es imposible.

TryRound

protected decimal? TryRound(decimal? value)

result = blackScholes.TryRound(value)

A la vuelta a RoundDecimals@.

value: El valor inicial.

Devuelve: El valor redondeado.

Vega

public virtual decimal? Vega(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Vega(currentTime, deviation, assetPrice)

Para calcular la opción vega.

currentTime: El momento actual.
deviation: Desviación estándar.
assetPrice: Precio de activos subyacente.

Devuelve: La opción vega. Si el valor es igual a , entonces el cálculo de valor actualmente es imposible.