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The formula of Black–Scholes model is realized in the S# to calculate the basic “Greeks”: delta, gamma, vega, theta and rho. The volatility trading and Delta-hedging strategies are realized on the basis of this formula. Also S# allows you to calculate the option premium and IV.

The following code shows the BlackScholes class methods to calculate the “Greeks”.

var bs = new BlackScholes(option, _connector, _connector);

DateTimeOffset currentTime = DateTimeOffset.Now;

decimal delta = bs.Delta(currentTime);
decimal gamma = bs.Gamma(currentTime);
decimal vega = bs.Vega(currentTime);
decimal theta = bs.Theta(currentTime);
decimal rho = bs.Rho(currentTime);
decimal iv = bs.ImpliedVolatility(currentTime, premium);  // premium is premium of the option contract

In addition the installation package includes the OptionCalculator example, in which all the “Greeks” are calculated and visualized using the OptionDesk graphical component. See Graphic components.