Black
StockSharp.Algo.Derivatives
The Greeks values calculating model by the Black formula.
継承元: BlackScholes
コンストラクター
Black(Security, Security, IMarketDataProvider, DateTime?)
Initializes a new instance of the Black.
- option
- Options contract.
- underlyingAsset
- Underlying asset.
- dataProvider
- The market data provider.
- expirationTime
- Explicit option expiration moment. If null, midnight of ExpiryDate is used when available.
プロパティ
メソッド
D1(decimal, decimal, double) : double
To calculate the d1 parameter of the option fulfilment probability estimating.
- deviation
- Standard deviation.
- assetPrice
- Underlying asset price.
- timeToExp
- The option period before the expiration.
戻り値: The d1 parameter.
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.
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.