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DerivativesHelperD1 Method

To calculate the d1 parameter of the option fulfilment probability estimating.

Namespace:  StockSharp.Algo.Derivatives
Assembly:  StockSharp.Algo (in StockSharp.Algo.dll) Version: 4.4.16.0 (4.4.16)
Syntax
C#
public static double D1(
	decimal assetPrice,
	decimal strike,
	decimal riskFree,
	decimal dividend,
	decimal deviation,
	double timeToExp
)

Parameters

assetPrice
Type: SystemDecimal
Underlying asset price.
strike
Type: SystemDecimal
The strike price.
riskFree
Type: SystemDecimal
The risk free interest rate.
dividend
Type: SystemDecimal
The dividend amount on shares.
deviation
Type: SystemDecimal
Standard deviation.
timeToExp
Type: SystemDouble
The option period before the expiration.

Return Value

Type: Double
The d1 parameter of the option fulfilment probability estimating.
See Also