BasketBlackScholes

BasketBlackScholes

public BasketBlackScholes(IMarketDataProvider dataProvider, IPositionProvider positionProvider, DateTime? expirationTime)

basketBlackScholes = BasketBlackScholes(dataProvider, positionProvider, expirationTime)

初始化了 & ##BasketBlackScholes+#的新实例.

dataProvider

市场数据提供者.

positionProvider

位置提供商.

expirationTime

整个篮子的清晰选项过期时间。 如果无效, 则使用模型自己的设置 。

BasketBlackScholes

public BasketBlackScholes(Security underlyingAsset, IMarketDataProvider dataProvider, IPositionProvider positionProvider, DateTime? expirationTime)

basketBlackScholes = BasketBlackScholes(underlyingAsset, dataProvider, positionProvider, expirationTime)

初始化了 & # ###BasketBlackScholes+# #的新实例, 并有明确的基础 。

underlyingAsset

基础资产。

dataProvider

市场数据提供者.

positionProvider

位置提供商.

expirationTime

整个篮子的清晰选项到期时刻.

ExpirationTime

public override DateTime? ExpirationTime { get; set; }

value = basketBlackScholes.ExpirationTime
basketBlackScholes.ExpirationTime = value

Explicit expiration moment. If null, ExpiryDate is used when available: with its time of day, or at the board's expiry time for a date alone.

InnerModels

public IInnerModelList InnerModels { get; }

value = basketBlackScholes.InnerModels

有关选项的信息。

Option

public override Security Option { get; }

value = basketBlackScholes.Option

选择合同。

PositionProvider

public IPositionProvider PositionProvider { get; set; }

value = basketBlackScholes.PositionProvider
basketBlackScholes.PositionProvider = value

位置提供商.

RoundDecimals

public override int RoundDecimals { set; }

basketBlackScholes.RoundDecimals = value

计算值时小数位数。 默认值为 - 1, 这意味着没有值四舍五入 。

UnderlyingAsset

public override Security UnderlyingAsset { get; }

value = basketBlackScholes.UnderlyingAsset

基础资产。

Delta

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

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

用来计算选项三角洲。

currentTime

现相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相

deviation

标准偏差。

assetPrice

基础资产价格.

返回值: 选项三角洲。如果值等于 ,那么目前不可能计算值。

Gamma

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

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

计算选项伽马。

currentTime

现相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相

deviation

标准偏差。

assetPrice

基础资产价格.

返回值: 选项γ。如果数值等于 ,那么目前不可能计算数值。

GetExpirationTimeLine

public override double? GetExpirationTimeLine(DateTime currentTime)

result = basketBlackScholes.GetExpirationTimeLine(currentTime)

The time before expiration calculation.

currentTime

The current time.

返回值: The time remaining until expiration. If the value is equal to , then the value calculation currently is impossible.

ImpliedVolatility

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

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

To calculate the implied volatility.

currentTime

The current time.

premium

The option premium.

assetPrice

Underlying asset price.

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

Premium

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

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

计算选项溢价。

currentTime

现相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相

deviation

标准偏差。

assetPrice

基础资产价格.

返回值: 选项溢价。 如果值等于 , 那么目前无法计算值 。

ProcessOptions

private decimal? ProcessOptions(Func<BlackScholes, decimal?> func)

result = basketBlackScholes.ProcessOptions(func)

To sum a value over the options of the basket, each weighted by the position in it.

func

The value of one option.

返回值: The sum; when an option the book holds cannot be valued, for the sum of the others is not the book's.

Rho

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

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

用来计算选项 ro。

currentTime

现相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相

deviation

标准偏差。

assetPrice

基础资产价格.

返回值: 选项 ro。 如果值等于 , 那么目前无法计算值 。

Theta

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

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

计算选项Theta。

currentTime

现相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相

deviation

标准偏差。

assetPrice

基础资产价格.

返回值: 选项 seta。 如果值等于 , 那么目前无法计算值 。

Vega

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

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

计算选项 vega.

currentTime

现相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相

deviation

标准偏差。

assetPrice

基础资产价格.

返回值: 选项 vega。 如果值等于 , 那么目前无法计算值 。