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DerivativesHelperImpliedVolatility Method (MarketDepth, BlackScholes, DateTimeOffset)

To create the volatility order book from usual order book.

Namespace:  StockSharp.Algo.Derivatives
Assembly:  StockSharp.Algo (in StockSharp.Algo.dll) Version: 4.4.16.0 (4.4.16)
Syntax
C#
public static MarketDepth ImpliedVolatility(
	this MarketDepth depth,
	BlackScholes model,
	DateTimeOffset currentTime
)

Parameters

depth
Type: StockSharp.BusinessEntitiesMarketDepth
The order book quotes of which will be changed to volatility quotes.
model
Type: StockSharp.Algo.DerivativesBlackScholes
The model for calculating Greeks values by the Black-Scholes formula.
currentTime
Type: SystemDateTimeOffset
The current time.

Return Value

Type: MarketDepth
The order book volatility.

Usage Note

In Visual Basic and C#, you can call this method as an instance method on any object of type MarketDepth. When you use instance method syntax to call this method, omit the first parameter. For more information, see Extension Methods (Visual Basic) or Extension Methods (C# Programming Guide).
See Also