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DerivativesHelperTheta Method

To calculate the option theta.

Namespace:  StockSharp.Algo.Derivatives
Assembly:  StockSharp.Algo (in StockSharp.Algo.dll) Version: 4.4.16.0 (4.4.16)
Syntax
C#
public static decimal Theta(
	OptionTypes optionType,
	decimal strike,
	decimal assetPrice,
	decimal riskFree,
	decimal deviation,
	double timeToExp,
	double d1,
	[OptionalAttribute] decimal daysInYear
)

Parameters

optionType
Type: StockSharp.MessagesOptionTypes
Option type.
strike
Type: SystemDecimal
The strike price.
assetPrice
Type: SystemDecimal
Underlying asset price.
riskFree
Type: SystemDecimal
The risk free interest rate.
deviation
Type: SystemDecimal
Standard deviation.
timeToExp
Type: SystemDouble
The option period before the expiration.
d1
Type: SystemDouble
The d1 parameter of the option fulfilment probability estimating.
daysInYear (Optional)
Type: SystemDecimal
Days per year.

Return Value

Type: Decimal
Option theta.
See Also