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DerivativesHelper Class

Extension class for derivatives.
Inheritance Hierarchy
SystemObject
  StockSharp.Algo.DerivativesDerivativesHelper

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

The DerivativesHelper type exposes the following members.

Methods
  NameDescription
Public methodStatic memberD1
To calculate the d1 parameter of the option fulfilment probability estimating.
Public methodStatic memberD2
To calculate the d2 parameter of the option fulfilment probability estimating.
Public methodStatic memberDelta
To calculate the option delta.
Public methodStatic memberExpRate
To calculate the time exhibitor.
Public methodStatic memberFilter(IEnumerableSecurity, OptionTypes)
To filter options by type OptionType.
Public methodStatic memberFilter(IEnumerableSecurity, Decimal)
To filter options by the strike Strike.
Public methodStatic memberFilter(IEnumerableSecurity, NullableDateTimeOffset)
To filter instruments by the expiration date ExpiryDate.
Public methodStatic memberFilterByUnderlying
To filter instruments by the underlying asset.
Public methodStatic memberGamma
To calculate the option gamma.
Public methodStatic memberGetAsset
To get the underlying asset.
Public methodStatic memberGetAtTheMoney(Security, IMarketDataProvider, IEnumerableSecurity)
To get at the money options (ATM).
Public methodStatic memberGetAtTheMoney(Security, ISecurityProvider, IMarketDataProvider)
To get at the money options (ATM).
Public methodStatic memberGetCall
To get Call for the underlying futures.
Public methodStatic memberGetCentralStrike(Security, IMarketDataProvider, IEnumerableSecurity)
To get the main strike.
Public methodStatic memberGetCentralStrike(Security, ISecurityProvider, IMarketDataProvider, DateTimeOffset, OptionTypes)
To get the main strike.
Public methodStatic memberGetDerivatives
To get derivatives by the underlying asset.
Public methodStatic memberGetExpirationTimeLine(DateTimeOffset, DateTimeOffset)
To get the option period before expiration.
Public methodStatic memberGetExpirationTimeLine(DateTimeOffset, DateTimeOffset, TimeSpan)
To get the option period before expiration.
Public methodStatic memberGetFutureInfo
To get the information about the futures from its name (underlying asset, expiration date, etc.).
Public methodStatic memberGetInTheMoney(Security, IMarketDataProvider, IEnumerableSecurity)
To get in the money options (ITM).
Public methodStatic memberGetInTheMoney(Security, ISecurityProvider, IMarketDataProvider)
To get in the money options (ITM).
Public methodStatic memberGetIntrinsicValue
To get the internal option value.
Public methodStatic memberGetOppositeOption
To get opposite option (for Call to get Put, for Put to get Call).
Public methodStatic memberGetOption
To get an option for the underlying futures.
Public methodStatic memberGetOptionInfo
To get the information about the option from its name (underlying asset, strike, expiration date, etc.).
Public methodStatic memberGetOutOfTheMoney(Security, IMarketDataProvider, IEnumerableSecurity)
To get out of the money options (OTM).
Public methodStatic memberGetOutOfTheMoney(Security, ISecurityProvider, IMarketDataProvider)
To get out of the money options (OTM).
Public methodStatic memberGetPut
To get Put for the underlying futures.
Public methodStatic memberGetStrikeStep
To get the strike step size.
Public methodStatic memberGetTimeValue
To get the timed option value.
Public methodStatic memberGetUnderlyingAsset
To get the underlying asset by the derivative.
Public methodStatic memberImpliedVolatility(Decimal, FuncDecimal, NullableDecimal)
To calculate the implied volatility.
Public methodStatic memberImpliedVolatility(MarketDepth, BlackScholes, DateTimeOffset)
To create the volatility order book from usual order book.
Public methodStatic memberImpliedVolatility(MarketDepth, ISecurityProvider, IMarketDataProvider, DateTimeOffset, Decimal, Decimal)
To create the volatility order book from usual order book.
Public methodStatic memberInvert
To change the option type for opposite.
Public methodStatic memberIsExpired
To check whether the instrument has finished the action.
Public methodStatic memberPremium
To calculate the option premium.
Public methodStatic memberRho
To calculate the option rho.
Public methodStatic memberTheta
To calculate the option theta.
Public methodStatic memberVega
To calculate the option vega.
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See Also