BlackScholes

StockSharp.Algo.Derivatives

黒い小胞の公式によってギリシャの値を計算するためのモデル。

コンストラクター

protected BlackScholes(IMarketDataProvider dataProvider, DateTime? expirationTime)

blackScholes = BlackScholes(dataProvider, expirationTime)

継承されたモデルのベースコンストラクタ。

dataProvider: 市場データプロバイダ。
expirationTime: 有効期限切れオプションの有効期限。null の場合、ExpiryDate の深夜は使用可能に使用されます。

BlackScholes

public BlackScholes(Security option, Security underlyingAsset, IMarketDataProvider dataProvider, DateTime? expirationTime)

blackScholes = BlackScholes(option, underlyingAsset, dataProvider, expirationTime)

基底資産を特定のオプションとしてBlackScholesの新規インスタンスを初期化します。

option: オプション契約。
underlyingAsset: 資産の状況
dataProvider: 市場データプロバイダ。
expirationTime: 有効期限切れオプションの有効期限。null の場合、ExpiryDate の深夜は使用可能に使用されます。

BlackScholes

protected BlackScholes(Security underlyingAsset, IMarketDataProvider dataProvider, DateTime? expirationTime)

blackScholes = BlackScholes(underlyingAsset, dataProvider, expirationTime)

基底資産のみ(非オプションモデル)のBlackScholesの新規インスタンスを初期化します。

underlyingAsset: 資産の状況
dataProvider: 市場データプロバイダ。
expirationTime: 有効期限切れオプションの有効期限。null の場合、ExpiryDate の深夜は使用可能に使用されます。

プロパティ

DataProvider

public virtual IMarketDataProvider DataProvider { get; }

value = blackScholes.DataProvider

市場データプロバイダ。

DefaultDeviation

public decimal? DefaultDeviation { get; }

value = blackScholes.DefaultDeviation

デフォルトで標準偏差。

Dividend

public virtual decimal Dividend { get; set; }

value = blackScholes.Dividend
blackScholes.Dividend = value

株式の配当額

ExpirationTime

public virtual DateTime? ExpirationTime { get; set; }

value = blackScholes.ExpirationTime
blackScholes.ExpirationTime = value

有効期限切れの瞬間。null なら、ExpiryDate の真夜は使用可能に使用されます。

Option

public virtual Security Option { get; }

value = blackScholes.Option

オプション契約。

OptionType

protected OptionTypes OptionType { get; }

value = blackScholes.OptionType

オプションタイプ。

RiskFree

public decimal RiskFree { get; set; }

value = blackScholes.RiskFree
blackScholes.RiskFree = value

リスクフリー金利。

RoundDecimals

public virtual int RoundDecimals { get; set; }

value = blackScholes.RoundDecimals
blackScholes.RoundDecimals = value

計算値の小数点数。デフォルトは-1で、値の丸みがないことを示します。

UnderlyingAsset

public virtual Security UnderlyingAsset { get; set; }

value = blackScholes.UnderlyingAsset
blackScholes.UnderlyingAsset = value

資産の状況

メソッド

CalcDelta

protected virtual decimal CalcDelta(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcDelta(deviation, assetPrice, timeToExp)

To calculate the option delta from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

戻り値: Option delta.

CalcGamma

protected virtual decimal CalcGamma(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcGamma(deviation, assetPrice, timeToExp)

To calculate the option gamma from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

戻り値: Option gamma.

CalcPremium

protected virtual decimal CalcPremium(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcPremium(deviation, assetPrice, timeToExp)

To calculate the option premium from the model inputs already resolved by Decimal}).

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

戻り値: The option premium.

CalcRho

protected virtual decimal CalcRho(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcRho(deviation, assetPrice, timeToExp)

To calculate the option rho from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

戻り値: Option rho.

CalcTheta

protected virtual decimal CalcTheta(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcTheta(deviation, assetPrice, timeToExp)

To calculate the option theta from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

戻り値: Option theta.

CalcVega

protected virtual decimal CalcVega(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.CalcVega(deviation, assetPrice, timeToExp)

To calculate the option vega from resolved inputs, before rounding.

deviation: Standard deviation.
assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.

戻り値: Option vega.

protected virtual double D1(decimal deviation, decimal assetPrice, double timeToExp)

result = blackScholes.D1(deviation, assetPrice, timeToExp)

選択の d1 パラメータを計算するには fulfilment 推定確率.

deviation: 標準的な偏差。
assetPrice: 資産価格の把握
timeToExp: 期限前のオプション期間。

戻り値: d1 パラメータ。

Delta

public virtual decimal? Delta(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Delta(currentTime, deviation, assetPrice)

デルタのオプションを計算するには.

currentTime: 現行時刻
deviation: 標準的な偏差。
assetPrice: 資産価格の把握

戻り値: デルタオプション。値が等しい場合は、現在値の計算は不可能です。

Gamma

public virtual decimal? Gamma(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Gamma(currentTime, deviation, assetPrice)

オプションのガンマを計算するには.

currentTime: 現行時刻
deviation: 標準的な偏差。
assetPrice: 資産価格の把握

戻り値: オプション gamma。値が等しい場合は、現在値の計算は不可能です。

GetAssetPrice

public decimal? GetAssetPrice(decimal? assetPrice)

result = blackScholes.GetAssetPrice(assetPrice)

資産の価格は下地資産の入手に役立ちます。

assetPrice: 指定された場合、資産の原資産の価格は。

戻り値: 基礎資産の価格は、値が等しい場合、現在値の計算は不可能です。

GetExpirationTimeLine

public virtual double? GetExpirationTimeLine(DateTime currentTime)

result = blackScholes.GetExpirationTimeLine(currentTime)

満了前の計算の時間。

currentTime: 現行時刻

戻り値: 有効期限が切れるまで残ります。値が等しい場合は、現在値の計算は不可能です。

GetInputs

protected ValueTuple<decimal, decimal, double>? GetInputs(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.GetInputs(currentTime, deviation, assetPrice)

What every value of the model is computed from: the deviation the caller gives or the one quoted, the asset price the caller gives or the last trade, and the time left to expiry.

currentTime: The current time.
deviation: The standard deviation, or for the quoted one.
assetPrice: The price of the underlying asset, or for its last trade.

戻り値: The inputs, or when one of them is not known.

ImpliedVolatility

public virtual decimal? ImpliedVolatility(DateTime currentTime, decimal premium, decimal? assetPrice)

result = blackScholes.ImpliedVolatility(currentTime, premium, assetPrice)

To calculate the implied volatility.

currentTime: The current time.
premium: The option premium.
assetPrice: Underlying asset price.

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

IsExpired

internal bool IsExpired(DateTime currentTime)

result = blackScholes.IsExpired(currentTime)

Whether the option has expired by the given moment, as the model takes its expiry.

currentTime: The current time.

戻り値: when the expiry is known and is not later than .

Payoff

internal decimal? Payoff(decimal? assetPrice)

result = blackScholes.Payoff(assetPrice)

What the option pays at its expiry, before rounding: its intrinsic value at the price of the underlying asset.

assetPrice: The price of the underlying asset if it is specified.

戻り値: The payoff. If the value is equal to , then the price of the underlying asset is unknown.

PayoffDelta

internal decimal? PayoffDelta(decimal? assetPrice)

result = blackScholes.PayoffDelta(assetPrice)

The slope of what the option pays at its expiry: the asset it delivers, one for one while it is in the money.

assetPrice: The price of the underlying asset if it is specified.

戻り値: The delta of the payoff. If the value is equal to , then the price of the underlying asset is unknown.

Premium

public virtual decimal? Premium(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Premium(currentTime, deviation, assetPrice)

オプションのプレミアムを計算するには.

currentTime: 現行時刻
deviation: 標準的な偏差。
assetPrice: 資産価格の把握

戻り値: オプションのプレミアム。値が等しい場合は、現在値の計算は不可能です。

Rho

public virtual decimal? Rho(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Rho(currentTime, deviation, assetPrice)

オプションのrhoを計算するには.

currentTime: 現行時刻
deviation: 標準的な偏差。
assetPrice: 資産価格の把握

戻り値: rho オプション。値が等しい場合、現在値の計算は不可能です。

Theta

public virtual decimal? Theta(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Theta(currentTime, deviation, assetPrice)

選択の ta を計算するため。

currentTime: 現行時刻
deviation: 標準的な偏差。
assetPrice: 資産価格の把握

戻り値: は、そのオプションの ta です。値が等しい場合は、現在値の計算は不可能です。

TryRound

protected decimal? TryRound(decimal? value)

result = blackScholes.TryRound(value)

To round to RoundDecimals.

value: 初期値。

戻り値: 丸みのある値。

Vega

public virtual decimal? Vega(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.Vega(currentTime, deviation, assetPrice)

vegaオプションを計算するには。

currentTime: 現行時刻
deviation: 標準的な偏差。
assetPrice: 資産価格の把握

戻り値: vega オプション。値が等しい場合、現在値の計算は不可能です。