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BlackScholes Class

The model for calculating Greeks values by the Black-Scholes formula.
Inheritance Hierarchy

Namespace:  StockSharp.Algo.Derivatives
Assembly:  StockSharp.Algo (in StockSharp.Algo.dll) Version: 4.4.16.0 (4.4.16)
Syntax
C#
public class BlackScholes : IBlackScholes

The BlackScholes type exposes the following members.

Constructors
  NameDescription
Protected methodBlackScholes(ISecurityProvider, IMarketDataProvider)
Initialize BlackScholes.
Protected methodBlackScholes(Security, IMarketDataProvider)
Initializes a new instance of the BlackScholes.
Public methodBlackScholes(Security, ISecurityProvider, IMarketDataProvider)
Initializes a new instance of the BlackScholes.
Public methodBlackScholes(Security, Security, IMarketDataProvider)
Initializes a new instance of the BlackScholes.
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Properties
  NameDescription
Public propertyDataProvider
The market data provider.
Public propertyDefaultDeviation
The standard deviation by default.
Public propertyDividend
The dividend amount on shares.
Public propertyOption
Options contract.
Protected propertyOptionType
Option type.
Public propertyRiskFree
The risk free interest rate.
Public propertyRoundDecimals
The number of decimal places at calculated values. The default is -1, which means no values rounding.
Public propertySecurityProvider
The provider of information about instruments.
Public propertyUnderlyingAsset
Underlying asset.
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Methods
  NameDescription
Protected methodD1
To calculate the d1 parameter of the option fulfilment probability estimating.
Public methodDelta
To calculate the option delta.
Public methodEquals
Determines whether the specified object is equal to the current object.
(Inherited from Object.)
Protected methodFinalize
Allows an object to try to free resources and perform other cleanup operations before it is reclaimed by garbage collection.
(Inherited from Object.)
Public methodGamma
To calculate the option gamma.
Public methodGetAssetPrice
To get the price of the underlying asset.
Public methodGetExpirationTimeLine
The time before expiration calculation.
Public methodGetHashCode
Serves as a hash function for a particular type.
(Inherited from Object.)
Public methodGetType
Gets the Type of the current instance.
(Inherited from Object.)
Public methodImpliedVolatility(DateTimeOffset)
To create the order book of volatility.
Public methodImpliedVolatility(DateTimeOffset, Decimal)
To calculate the implied volatility.
Protected methodMemberwiseClone
Creates a shallow copy of the current Object.
(Inherited from Object.)
Public methodPremium
To calculate the option premium.
Public methodRho
To calculate the option rho.
Public methodTheta
To calculate the option theta.
Public methodToString
Returns a string that represents the current object.
(Inherited from Object.)
Protected methodTryRound
To round to RoundDecimals.
Public methodVega
To calculate the option vega.
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See Also