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BlackScholesGamma Method

To calculate the option gamma.

Namespace:  StockSharp.Algo.Derivatives
Assembly:  StockSharp.Algo (in StockSharp.Algo.dll) Version: 4.4.16.0 (4.4.16)
Syntax
C#
public virtual Nullable<decimal> Gamma(
	DateTimeOffset currentTime,
	Nullable<decimal> deviation = null,
	Nullable<decimal> assetPrice = null
)

Parameters

currentTime
Type: SystemDateTimeOffset
The current time.
deviation (Optional)
Type: SystemNullableDecimal
The standard deviation. If it is not specified, then DefaultDeviation is used.
assetPrice (Optional)
Type: SystemNullableDecimal
The price of the underlying asset. If the price is not specified, then the last trade price getting from UnderlyingAsset.

Return Value

Type: NullableDecimal
The option gamma. If the value is equal to , then the value calculation currently is impossible.

Implements

IBlackScholesGamma(DateTimeOffset, NullableDecimal, NullableDecimal)
See Also