DerivativesHelper — StockSharp Documentação

D1(decimal, decimal, decimal, decimal, decimal, double) : double

To calculate the d1 parameter of the option fulfilment probability estimating.

assetPrice: Underlying asset price.
strike: The strike price.
riskFree: The risk free interest rate.
dividend: The dividend amount on shares.
deviation: Standard deviation.
timeToExp: The option period before the expiration.

Retorna: The d1 parameter of the option fulfilment probability estimating.

D2(double, decimal, double) : double

To calculate the d2 parameter of the option fulfilment probability estimating.

d1: The d1 parameter of the option fulfilment probability estimating.
deviation: Standard deviation.
timeToExp: The option period before the expiration.

Retorna: The d2 parameter of the option fulfilment probability estimating.

Delta(OptionTypes, decimal, double) : decimal

To calculate the option delta.

optionType: Option type.
assetPrice: Underlying asset price.
d1: The d1 parameter of the option fulfilment probability estimating.

Retorna: Option delta.

ExpRate(decimal, double) : double

To calculate the time exhibitor.

riskFree: The risk free interest rate.
timeToExp: The option period before the expiration.

Retorna: The time exhibitor.

Filter(IEnumerable<Security>, decimal) : IEnumerable<Security>

To filter options by the strike Strike.

options: Options to be filtered.
strike: The strike price.

Retorna: Filtered options.

Filter(IEnumerable<Security>, OptionTypes) : IEnumerable<Security>

To filter options by type OptionType.

options: Options to be filtered.
type: Option type.

Retorna: Filtered options.

Filter(IEnumerable<Security>, DateTime?) : IEnumerable<Security>

To filter instruments by the expiration date ExpiryDate.

securities: Instruments to be filtered.
expirationDate: The expiration date.

Retorna: Instruments filtered.

FilterByUnderlying(IEnumerable<Security>, Security) : IEnumerable<Security>

To filter instruments by the underlying asset.

securities: Instruments to be filtered.
asset: Underlying asset.

Retorna: Instruments filtered.

Gamma(decimal, decimal, double, double) : decimal

To calculate the option gamma.

assetPrice: Underlying asset price.
deviation: Standard deviation.
timeToExp: The option period before the expiration.
d1: The d1 parameter of the option fulfilment probability estimating.

Retorna: Option gamma.

GetAsset(Security, ISecurityProvider) : Security

To get the underlying asset.

derivative: The derivative.
provider: The provider of information about instruments.

Retorna: Underlying asset.

GetAtTheMoney(Security, ISecurityProvider, decimal) : IEnumerable<Security>

To get at the money options (ATM).

underlyingAsset: Underlying asset.
securityProvider: The provider of information about instruments.
assetPrice: The asset price.

Retorna: At the money options.

GetAtTheMoney(Security, IEnumerable<Security>, decimal) : IEnumerable<Security>

To get at the money options (ATM).

underlyingAsset: Underlying asset.
allStrikes: All strikes.
assetPrice: The asset price.

Retorna: At the money options.

GetCall(Security, ISecurityProvider, decimal, DateTime) : Security

To get Call for the underlying futures.

future: Underlying futures.
provider: The provider of information about instruments.
strike: Strike.
expirationDate: The date of the option expiration.

Retorna: The Call option.

GetCentralStrike(Security, ISecurityProvider, DateTime, OptionTypes, decimal) : Security

To get the main strike.

underlyingAsset: Underlying asset.
securityProvider: The provider of information about instruments.
expirationDate: The options expiration date.
optionType: Option type.
assetPrice: The current market price of the asset. It is used to calculate the main strike.

Retorna: The main strike.

GetCentralStrike(IEnumerable<Security>, decimal) : Security

To get the main strike.

allStrikes: All strikes.
assetPrice: The current market price of the asset. It is used to calculate the main strike.

Retorna: The main strike. If it is impossible to get the current market price of the asset then the will be returned.

GetDerivatives(Security, ISecurityProvider, DateTime?) : IEnumerable<Security>

To get derivatives by the underlying asset.

asset: Underlying asset.
provider: The provider of information about instruments.
expirationDate: The expiration date.

Retorna: The list of derivatives.

GetExpirationTimeLine(DateTime, DateTime, TimeSpan) : double?

To get the option period before expiration.

expirationTime: The option expiration time.
currentTime: The current time.
timeLine: The length of the total period.

Retorna: The option period before expiration. If the value is equal to , then the value calculation currently is impossible.

GetExpirationTimeLine(DateTime, DateTime) : double?

To get the option period before expiration.

expirationTime: The option expiration time.
currentTime: The current time.

Retorna: The option period before expiration. If the value is equal to , then the value calculation currently is impossible.

GetFutureInfo(string, string, ExchangeBoard) : SecurityMessage

To get the information about the futures from its name (underlying asset, expiration date, etc.).

futureName: The futures name.
optionCode: The option code.
board: Board info.

Retorna: Information about futures.

GetInTheMoney(Security, ISecurityProvider, decimal) : IEnumerable<Security>

To get in the money options (ITM).

underlyingAsset: Underlying asset.
securityProvider: The provider of information about instruments.
assetPrice: The asset price.

Retorna: In the money options.

GetInTheMoney(Security, IEnumerable<Security>, decimal) : IEnumerable<Security>

To get in the money options (ITM).

underlyingAsset: Underlying asset.
allStrikes: All strikes.
assetPrice: The asset price.

Retorna: In the money options.

GetIntrinsicValue(Security, decimal) : decimal

To get the internal option value.

option: Options contract.
assetPrice: The underlying asset price.

Retorna: The internal value. If it is impossible to get the current market price of the asset then the will be returned.

GetOppositeOption(Security, ISecurityProvider) : Security

To get opposite option (for Call to get Put, for Put to get Call).

option: Options contract.
provider: The provider of information about instruments.

Retorna: The opposite option.

GetOption(Security, ISecurityProvider, decimal, DateTime, OptionTypes) : Security

To get an option for the underlying futures.

future: Underlying futures.
provider: The provider of information about instruments.
strike: Strike.
expirationDate: The options expiration date.
optionType: Option type.

Retorna: Options contract.

GetOptionInfo(string, ExchangeBoard) : Security

To get the information about the option from its name (underlying asset, strike, expiration date, etc.).

optionName: The option name.
board: Board info.

Retorna: Information about the option.

GetOutOfTheMoney(Security, ISecurityProvider, decimal) : IEnumerable<Security>

To get out of the money options (OTM).

underlyingAsset: Underlying asset.
securityProvider: The provider of information about instruments.
assetPrice: The asset price.

Retorna: Out of the money options.

GetOutOfTheMoney(Security, IEnumerable<Security>, decimal) : IEnumerable<Security>

To get out of the money options (OTM).

underlyingAsset: Underlying asset.
allStrikes: All strikes.
assetPrice: The asset price.

Retorna: Out of the money options.

GetPut(Security, ISecurityProvider, decimal, DateTime) : Security

To get Put for the underlying futures.

future: Underlying futures.
provider: The provider of information about instruments.
strike: Strike.
expirationDate: The date of the option expiration.

Retorna: The Put option.

GetStrikeStep(Security, ISecurityProvider, DateTime?) : decimal

To get the strike step size.

provider: The provider of information about instruments.
underlyingAsset: Underlying asset.
expirationDate: The options expiration date (to specify a particular series).

Retorna: The strike step size.

GetTimeValue(Security, decimal, decimal) : decimal

To get the timed option value.

option: Options contract.
currentPrice: The contract price.
assetPrice: The underlying asset price.

Retorna: The timed value.

GetUnderlyingAsset(Security, ISecurityProvider) : Security

To get the underlying asset by the derivative.

derivative: The derivative.
provider: The provider of information about instruments.

Retorna: Underlying asset.

ImpliedVolatility(IOrderBookMessage, ISecurityProvider, IMarketDataProvider, DateTime, decimal, decimal) : QuoteChangeMessage

To create the volatility order book from usual order book.

depth: The order book quotes of which will be changed to volatility quotes.
securityProvider: The provider of information about instruments.
dataProvider: The market data provider.
currentTime: The current time.
riskFree: The risk free interest rate.
dividend: The dividend amount on shares.

Retorna: The order book volatility.

ImpliedVolatility(IOrderBookMessage, IBlackScholes, DateTime) : QuoteChangeMessage

To create the volatility order book from usual order book.

depth: The order book quotes of which will be changed to volatility quotes.
model: The model for calculating Greeks values by the Black-Scholes formula.
currentTime: The current time.

Retorna: The order book volatility.

ImpliedVolatility(decimal, Func<decimal, decimal?>) : decimal?

To calculate the implied volatility.

premium: The option premium.
getPremium: To calculate the premium by volatility.

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

Invert(OptionTypes) : OptionTypes

To change the option type for opposite.

type: The initial value.

Retorna: The opposite value.

IsExpired(Security, IExchangeInfoProvider, DateTime) : bool

To check whether the instrument has finished the action.

security: Security.
exchangeInfoProvider: Exchanges and trading boards provider.
currentTime: The current time.

Retorna: if the instrument has finished its action.

Premium(OptionTypes, decimal, decimal, decimal, decimal, decimal, double, double) : decimal

To calculate the option premium.

optionType: Option type.
strike: The strike price.
assetPrice: Underlying asset price.
riskFree: The risk free interest rate.
dividend: The dividend amount on shares.
deviation: Standard deviation.
timeToExp: The option period before the expiration.
d1: The d1 parameter of the option fulfilment probability estimating.

Retorna: The option premium.

Rho(OptionTypes, decimal, decimal, decimal, decimal, double, double) : decimal

To calculate the option rho.

optionType: Option type.
strike: The strike price.
assetPrice: Underlying asset price.
riskFree: The risk free interest rate.
deviation: Standard deviation.
timeToExp: The option period before the expiration.
d1: The d1 parameter of the option fulfilment probability estimating.

Retorna: Option rho.

Theta(OptionTypes, decimal, decimal, decimal, decimal, double, double, decimal) : decimal

To calculate the option theta.

optionType: Option type.
strike: The strike price.
assetPrice: Underlying asset price.
riskFree: The risk free interest rate.
deviation: Standard deviation.
timeToExp: The option period before the expiration.
d1: The d1 parameter of the option fulfilment probability estimating.
daysInYear: Days per year.

Retorna: Option theta.

Vega(decimal, double, double) : decimal

To calculate the option vega.

assetPrice: Underlying asset price.
timeToExp: The option period before the expiration.
d1: The d1 parameter of the option fulfilment probability estimating.

Retorna: Option vega.