BasketBlackScholes

StockSharp.Algo.Derivatives

Portfolio model for calculating the values of Greeks by the Black-Scholes formula.

継承元: BlackScholes

コンストラクター

BasketBlackScholes(IMarketDataProvider, IPositionProvider, DateTime?)

Initializes a new instance of the BasketBlackScholes.

dataProvider: The market data provider.
positionProvider: The position provider.
expirationTime: Explicit options expiration moment for the whole basket. If null, models' own settings are used.

BasketBlackScholes(Security, IMarketDataProvider, IPositionProvider, DateTime?)

Initializes a new instance of the BasketBlackScholes with explicit underlying.

underlyingAsset: Underlying asset.
dataProvider: The market data provider.
positionProvider: The position provider.
expirationTime: Explicit options expiration moment for the whole basket.

プロパティ

InnerModels : IInnerModelList

Information about options.

Option : Security

Options contract.

PositionProvider : IPositionProvider

The position provider.

RoundDecimals : int

The number of decimal places at calculated values. The default is -1, which means no values rounding.

UnderlyingAsset : Security

Underlying asset.

メソッド

Delta(DateTime, decimal?, decimal?) : decimal?

To calculate the option delta.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

戻り値: The option delta. If the value is equal to , then the value calculation currently is impossible.

Gamma(DateTime, decimal?, decimal?) : decimal?

To calculate the option gamma.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

戻り値: The option gamma. If the value is equal to , then the value calculation currently is impossible.

ImpliedVolatility(DateTime, decimal) : decimal?

To calculate the implied volatility.

currentTime: The current time.
premium: The option premium.

戻り値: The implied volatility. If the value is equal to , then the value calculation currently is impossible.

Premium(DateTime, decimal?, decimal?) : decimal?

To calculate the option premium.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

戻り値: The option premium. If the value is equal to , then the value calculation currently is impossible.

Rho(DateTime, decimal?, decimal?) : decimal?

To calculate the option rho.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

戻り値: The option rho. If the value is equal to , then the value calculation currently is impossible.

Theta(DateTime, decimal?, decimal?) : decimal?

To calculate the option theta.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

戻り値: The option theta. If the value is equal to , then the value calculation currently is impossible.

Vega(DateTime, decimal?, decimal?) : decimal?

To calculate the option vega.

currentTime: The current time.
deviation: Standard deviation.
assetPrice: Underlying asset price.

戻り値: The option vega. If the value is equal to , then the value calculation currently is impossible.