BlackScholes

StockSharp.Algo.Derivatives

由"黑-朔方"计算出希腊值的模型.

构造函数

protected BlackScholes(IMarketDataProvider dataProvider, DateTime? expirationTime)

blackScholes = BlackScholes(dataProvider, expirationTime)

继承模型的基础构造器.

dataProvider: 市场数据提供者.
expirationTime: 明确选项过期时刻。如果无效, 则使用 ExpiryDate 的午夜。

BlackScholes

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

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

初始化 BlackScholes 的一个新实例,用于具有其基本资产的特定选项。

option: 选择合同。
underlyingAsset: 基础资产。
dataProvider: 市场数据提供者.
expirationTime: 明确选项过期时刻。如果无效, 则使用 ExpiryDate 的午夜。

BlackScholes

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

blackScholes = BlackScholes(underlyingAsset, dataProvider, expirationTime)

初始化 & #% BlackScholes QQ 的新实例, 仅用于一个基础资产( 非选项模式) 。

underlyingAsset: 基础资产。
dataProvider: 市场数据提供者.
expirationTime: 明确选项过期时刻。如果无效, 则使用 ExpiryDate 的午夜。

属性

DataProvider

public virtual IMarketDataProvider DataProvider { get; }

value = blackScholes.DataProvider

市场数据提供者.

DefaultDeviation

public decimal? DefaultDeviation { get; }

value = blackScholes.DefaultDeviation

默认的标准偏差。

Dividend

public virtual decimal Dividend { get; set; }

value = blackScholes.Dividend
blackScholes.Dividend = value

股息数额。

ExpirationTime

public virtual DateTime? ExpirationTime { get; set; }

value = blackScholes.ExpirationTime
blackScholes.ExpirationTime = value

明确过期时刻。如果无效, 则使用% 1 ExpiryDate +% 的午夜。

Option

public virtual Security Option { get; }

value = blackScholes.Option

选择合同。

OptionType

protected OptionTypes OptionType { get; }

value = blackScholes.OptionType

选择类型。

RiskFree

public decimal RiskFree { get; set; }

value = blackScholes.RiskFree
blackScholes.RiskFree = value

风险免息利率.

RoundDecimals

public virtual int RoundDecimals { get; set; }

value = blackScholes.RoundDecimals
blackScholes.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 virtual Security UnderlyingAsset { get; set; }

value = blackScholes.UnderlyingAsset
blackScholes.UnderlyingAsset = value

基础资产。

方法

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.

返回值: 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.

返回值: 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.

返回值: 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.

返回值: 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.

返回值: 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.

返回值: Option vega.

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

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

计算选项实现概率估计的d1参数.

deviation: 标准偏差。
assetPrice: 基础资产价格.
timeToExp: 期终前的期权期.

返回值: d1 参数.

Delta

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

result = blackScholes.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 virtual decimal? Gamma(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.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。

GetAssetPrice

public decimal? GetAssetPrice(decimal? assetPrice)

result = blackScholes.GetAssetPrice(assetPrice)

以取入底物之价.

assetPrice: 具体指明的,该基础资产的价格.

返回值: 基础资产的价格。如果价值等于 ,那么目前不可能计算价值。

GetExpirationTimeLine

public virtual double? GetExpirationTimeLine(DateTime currentTime)

result = blackScholes.GetExpirationTimeLine(currentTime)

过期前的计算时间.

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

返回值: 剩余时间直到到期。如果值等于 , 那么目前无法计算值。

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.

返回值: 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.

返回值: 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.

返回值: 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.

返回值: 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.

返回值: 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)

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。

Rho

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

result = blackScholes.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 virtual decimal? Theta(DateTime currentTime, decimal? deviation, decimal? assetPrice)

result = blackScholes.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。

TryRound

protected decimal? TryRound(decimal? value)

result = blackScholes.TryRound(value)

To round to RoundDecimals.

value: 初标相相相相相.

返回值: 圆相值.

Vega

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

result = blackScholes.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。