DerivativesHelper
StockSharp.Algo.Derivatives
衍生品的扩展类.
方法
D1
public static double D1(decimal assetPrice, decimal strike, decimal riskFree, decimal dividend, decimal deviation, double timeToExp)result = DerivativesHelper.D1(assetPrice, strike, riskFree, dividend, deviation, timeToExp)计算选项实现概率估计的d1参数.
- assetPrice
- 基础资产价格.
- strike
- 罢工价格。
- riskFree
- 风险免息利率.
- dividend
- 股息数额。
- deviation
- 标准偏差。
- timeToExp
- 期终前的期权期.
返回值: 选项实现概率估计的d1参数.
D2
public static double D2(double d1, decimal deviation, double timeToExp)result = DerivativesHelper.D2(d1, deviation, timeToExp)计算选项实现概率估计的d2参数。
- d1
- 选项实现概率估计的d1参数.
- deviation
- 标准偏差。
- timeToExp
- 期终前的期权期.
返回值: 选项实现概率估计的d2参数.
Delta
public static decimal Delta(OptionTypes optionType, decimal assetPrice, double d1)result = DerivativesHelper.Delta(optionType, assetPrice, d1)用来计算选项三角洲。
- optionType
- 选择类型。
- assetPrice
- 基础资产价格.
- d1
- 选项实现概率估计的d1参数.
返回值: 选择三角洲。
ExpRate
public static double ExpRate(decimal riskFree, double timeToExp)result = DerivativesHelper.ExpRate(riskFree, timeToExp)用来计算时间显示器.
- riskFree
- 风险免息利率.
- timeToExp
- 期终前的期权期.
返回值: 时展出者.
Filter
public static IEnumerable<Security> Filter(IEnumerable<Security> options, decimal strike)result = DerivativesHelper.Filter(options, strike)以罢工过滤选项。
- options
- 要过滤的选项 。
- strike
- 罢工价格。
返回值: 过滤的选项 。
Filter
public static IEnumerable<Security> Filter(IEnumerable<Security> options, OptionTypes type)result = DerivativesHelper.Filter(options, type)To filter options by type OptionType.
- options
- 要过滤的选项 。
- type
- 选择类型。
返回值: 过滤的选项 。
Filter
public static IEnumerable<Security> Filter(IEnumerable<Security> securities, DateTime? expirationDate)result = DerivativesHelper.Filter(securities, expirationDate)于过期日期ExpiryDate之前过滤仪器。
- securities
- 取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取..
- expirationDate
- 寿终相会.
返回值: 仪器被过滤。
FilterByStrikes
public static IEnumerable<Security> FilterByStrikes(IEnumerable<Security> options, decimal centralStrike, int? below, int? above)result = DerivativesHelper.FilterByStrikes(options, centralStrike, below, above)To filter options by the strikes around the central one.
- options
- Options to be filtered.
- centralStrike
- The central strike.
- below
- How many of the listed strikes below the central one to keep; keeps all of them.
- above
- How many of the listed strikes above the central one to keep; keeps all of them.
返回值: The options listed at the central strike and at the kept ones, of every type and expiry listed there.
FilterByUnderlying
public static IEnumerable<Security> FilterByUnderlying(IEnumerable<Security> securities, Security asset)result = DerivativesHelper.FilterByUnderlying(securities, asset)由基本资产过滤仪器。
- securities
- 取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取取..
- asset
- 基础资产。
返回值: 仪器被过滤。
Gamma
public static decimal Gamma(decimal assetPrice, decimal deviation, double timeToExp, double d1)result = DerivativesHelper.Gamma(assetPrice, deviation, timeToExp, d1)计算选项伽马。
- assetPrice
- 基础资产价格.
- deviation
- 标准偏差。
- timeToExp
- 期终前的期权期.
- d1
- 选项实现概率估计的d1参数.
返回值: 选择伽马。
GetAsset
public static Security GetAsset(Security derivative, ISecurityProvider provider)result = DerivativesHelper.GetAsset(derivative, provider)以得到基本资产。
- derivative
- 衍生品
- provider
- 提供各种文书的信息。
返回值: 基础资产。
GetAssetAsync
public static ValueTask<Security> GetAssetAsync(Security derivative, ISecurityProvider provider, CancellationToken cancellationToken)result = DerivativesHelper.GetAssetAsync(derivative, provider, cancellationToken)To get the underlying asset.
- derivative
- The derivative.
- provider
- The provider of information about instruments.
- cancellationToken
- CancellationToken
返回值: Underlying asset.
GetAtTheMoney
public static IEnumerable<Security> GetAtTheMoney(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice)result = DerivativesHelper.GetAtTheMoney(underlyingAsset, securityProvider, assetPrice)获得资金选择(ATM).
- underlyingAsset
- 基础资产。
- securityProvider
- 提供各种文书的信息。
- assetPrice
- 资产价格。
返回值: 钱的选择
GetAtTheMoney
public static IEnumerable<Security> GetAtTheMoney(Security underlyingAsset, IEnumerable<Security> allStrikes, decimal assetPrice)result = DerivativesHelper.GetAtTheMoney(underlyingAsset, allStrikes, assetPrice)获得资金选择(ATM).
- underlyingAsset
- 基础资产。
- allStrikes
- 全部击出.
- assetPrice
- 资产价格。
返回值: 钱的选择
GetAtTheMoneyAsync
public static ValueTask<IEnumerable<Security>> GetAtTheMoneyAsync(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice, CancellationToken cancellationToken)result = DerivativesHelper.GetAtTheMoneyAsync(underlyingAsset, securityProvider, assetPrice, cancellationToken)To get at the money options (ATM).
- underlyingAsset
- Underlying asset.
- securityProvider
- The provider of information about instruments.
- assetPrice
- The asset price.
- cancellationToken
- CancellationToken
返回值: At the money options.
GetCall
public static Security GetCall(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate)result = DerivativesHelper.GetCall(future, provider, strike, expirationDate)获得召唤来寻找未来
- future
- 地底未来.
- provider
- 提供各种文书的信息。
- strike
- 击出.
- expirationDate
- 选择日期已终止。
返回值: 呼叫选项。
GetCallAsync
public static ValueTask<Security> GetCallAsync(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate, CancellationToken cancellationToken)result = DerivativesHelper.GetCallAsync(future, provider, strike, expirationDate, cancellationToken)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.
- cancellationToken
- CancellationToken
返回值: The Call option.
GetCentralStrike
public static Security GetCentralStrike(Security underlyingAsset, ISecurityProvider securityProvider, DateTime expirationDate, OptionTypes optionType, decimal assetPrice)result = DerivativesHelper.GetCentralStrike(underlyingAsset, securityProvider, expirationDate, optionType, assetPrice)以取主击.
- underlyingAsset
- 基础资产。
- securityProvider
- 提供各种文书的信息。
- expirationDate
- 选项到期日。
- optionType
- 选择类型。
- assetPrice
- 资产目前的市场价格,用于计算主打.
返回值: 主击.
GetCentralStrike
public static Security GetCentralStrike(IEnumerable<Security> allStrikes, decimal assetPrice)result = DerivativesHelper.GetCentralStrike(allStrikes, assetPrice)以取主击.
- allStrikes
- 全部击出.
- assetPrice
- 资产目前的市场价格,用于计算主打.
返回值: 主体罢工 如果无法获得资产目前的市场价格,则将归还。
GetCentralStrikeAsync
public static ValueTask<Security> GetCentralStrikeAsync(Security underlyingAsset, ISecurityProvider securityProvider, DateTime expirationDate, OptionTypes optionType, decimal assetPrice, CancellationToken cancellationToken)result = DerivativesHelper.GetCentralStrikeAsync(underlyingAsset, securityProvider, expirationDate, optionType, assetPrice, cancellationToken)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 asset price.
- cancellationToken
- CancellationToken
返回值: The main strike.
GetDerivatives
public static IEnumerable<Security> GetDerivatives(Security asset, ISecurityProvider provider, DateTime? expirationDate)result = DerivativesHelper.GetDerivatives(asset, provider, expirationDate)以基础资产获取衍生工具.
- asset
- 基础资产。
- provider
- 提供各种文书的信息。
- expirationDate
- 寿终相会.
返回值: 出品人列表.
GetDerivativesAsync
public static IAsyncEnumerable<Security> GetDerivativesAsync(Security asset, ISecurityProvider provider, DateTime? expirationDate)result = DerivativesHelper.GetDerivativesAsync(asset, provider, expirationDate)To get derivatives by the underlying asset.
- asset
- Underlying asset.
- provider
- The provider of information about instruments.
- expirationDate
- The expiration date.
返回值: The derivatives, or none when there are none.
GetExpirationMoment
internal static DateTime GetExpirationMoment(DateTime expiryDate, ExchangeBoard board)result = DerivativesHelper.GetExpirationMoment(expiryDate, board)The moment an instrument expires: its expiry date as given when that carries a time of day, otherwise the board's expiry time on that date, which is the board's local time.
- expiryDate
- The expiry date of the instrument, UTC.
- board
- The board the instrument trades on, or when it is not known.
返回值: The expiry moment, UTC.
GetExpirationTimeLine
public static double? GetExpirationTimeLine(DateTime expirationTime, DateTime currentTime)result = DerivativesHelper.GetExpirationTimeLine(expirationTime, currentTime)以在期满前获得期权。
- expirationTime
- 选项过期时间 。
- 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: 到期前的选项期。如果值等于 ,那么目前无法计算值。
GetExpirationTimeLine
public static double? GetExpirationTimeLine(DateTime expirationTime, DateTime currentTime, TimeSpan timeLine)result = DerivativesHelper.GetExpirationTimeLine(expirationTime, currentTime, timeLine)以在期满前获得期权。
- expirationTime
- 选项过期时间 。
- 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
- timeLine
- 总相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相相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: 到期前的选项期。如果值等于 ,那么目前无法计算值。
GetFutureInfo
public static SecurityMessage GetFutureInfo(string futureName, string optionCode, ExchangeBoard board)result = DerivativesHelper.GetFutureInfo(futureName, optionCode, board)以从名称(基础资产,到期日等)获取期货信息.
- futureName
- 后世名相.
- optionCode
- 选项代码。
- board
- 董事会信息.
返回值: 后世资讯.
GetInTheMoney
public static IEnumerable<Security> GetInTheMoney(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice)result = DerivativesHelper.GetInTheMoney(underlyingAsset, securityProvider, assetPrice)以获得金钱选择权(ITM).
- underlyingAsset
- 基础资产。
- securityProvider
- 提供各种文书的信息。
- assetPrice
- 资产价格。
返回值: 钱的选择
GetInTheMoney
public static IEnumerable<Security> GetInTheMoney(Security underlyingAsset, IEnumerable<Security> allStrikes, decimal assetPrice)result = DerivativesHelper.GetInTheMoney(underlyingAsset, allStrikes, assetPrice)以获得金钱选择权(ITM).
- underlyingAsset
- 基础资产。
- allStrikes
- 全部击出.
- assetPrice
- 资产价格。
返回值: 钱的选择
GetInTheMoneyAsync
public static ValueTask<IEnumerable<Security>> GetInTheMoneyAsync(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice, CancellationToken cancellationToken)result = DerivativesHelper.GetInTheMoneyAsync(underlyingAsset, securityProvider, assetPrice, cancellationToken)To get in the money options (ITM).
- underlyingAsset
- Underlying asset.
- securityProvider
- The provider of information about instruments.
- assetPrice
- The asset price.
- cancellationToken
- CancellationToken
返回值: In the money options.
GetIntrinsicValue
public static decimal GetIntrinsicValue(Security option, decimal assetPrice)result = DerivativesHelper.GetIntrinsicValue(option, assetPrice)要获得内部选项值.
- option
- 选择合同。
- assetPrice
- 基本资产价格。
返回值: 内部价值。 如果无法获得资产目前的市场价格, 则将退还。
GetOppositeOption
public static Security GetOppositeOption(Security option, ISecurityProvider provider)result = DerivativesHelper.GetOppositeOption(option, provider)获得相反选项(为呼叫获得Put,为Put获得Call).
- option
- 选择合同。
- provider
- 提供各种文书的信息。
返回值: 反之取而取之.
GetOppositeOptionAsync
public static ValueTask<Security> GetOppositeOptionAsync(Security option, ISecurityProvider provider, CancellationToken cancellationToken)result = DerivativesHelper.GetOppositeOptionAsync(option, provider, cancellationToken)To get opposite option (for Call to get Put, for Put to get Call).
- option
- Options contract.
- provider
- The provider of information about instruments.
- cancellationToken
- CancellationToken
返回值: The opposite option.
GetOption
public static Security GetOption(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate, OptionTypes optionType)result = DerivativesHelper.GetOption(future, provider, strike, expirationDate, optionType)以取取取取入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入入出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出出
- future
- 地底未来.
- provider
- 提供各种文书的信息。
- strike
- 击出.
- expirationDate
- 选项到期日。
- optionType
- 选择类型。
返回值: 选择合同。
GetOptionAsync
public static ValueTask<Security> GetOptionAsync(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate, OptionTypes optionType, CancellationToken cancellationToken)result = DerivativesHelper.GetOptionAsync(future, provider, strike, expirationDate, optionType, cancellationToken)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.
- cancellationToken
- CancellationToken
返回值: Options contract.
GetOptionInfo
public static Security GetOptionInfo(string optionName, ExchangeBoard board)result = DerivativesHelper.GetOptionInfo(optionName, board)从其名称(基本资产、罢工、到期日等)中获取有关该选项的信息。
- optionName
- 选项名称 。
- board
- 董事会信息.
返回值: 有关选项的信息 。
GetOutOfTheMoney
public static IEnumerable<Security> GetOutOfTheMoney(Security underlyingAsset, IEnumerable<Security> allStrikes, decimal assetPrice)result = DerivativesHelper.GetOutOfTheMoney(underlyingAsset, allStrikes, assetPrice)以摆脱金钱选择(OTM).
- underlyingAsset
- 基础资产。
- allStrikes
- 全部击出.
- assetPrice
- 资产价格。
返回值: 出自钱之可选.
GetOutOfTheMoney
public static IEnumerable<Security> GetOutOfTheMoney(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice)result = DerivativesHelper.GetOutOfTheMoney(underlyingAsset, securityProvider, assetPrice)以摆脱金钱选择(OTM).
- underlyingAsset
- 基础资产。
- securityProvider
- 提供各种文书的信息。
- assetPrice
- 资产价格。
返回值: 出自钱之可选.
GetOutOfTheMoneyAsync
public static ValueTask<IEnumerable<Security>> GetOutOfTheMoneyAsync(Security underlyingAsset, ISecurityProvider securityProvider, decimal assetPrice, CancellationToken cancellationToken)result = DerivativesHelper.GetOutOfTheMoneyAsync(underlyingAsset, securityProvider, assetPrice, cancellationToken)To get out of the money options (OTM).
- underlyingAsset
- Underlying asset.
- securityProvider
- The provider of information about instruments.
- assetPrice
- The asset price.
- cancellationToken
- CancellationToken
返回值: Out of the money options.
GetPut
public static Security GetPut(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate)result = DerivativesHelper.GetPut(future, provider, strike, expirationDate)来获得未来
- future
- 地底未来.
- provider
- 提供各种文书的信息。
- strike
- 击出.
- expirationDate
- 选择日期已终止。
返回值: 选位方案。
GetPutAsync
public static ValueTask<Security> GetPutAsync(Security future, ISecurityProvider provider, decimal strike, DateTime expirationDate, CancellationToken cancellationToken)result = DerivativesHelper.GetPutAsync(future, provider, strike, expirationDate, cancellationToken)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.
- cancellationToken
- CancellationToken
返回值: The Put option.
GetStrikeStep
public static decimal GetStrikeStep(Security underlyingAsset, ISecurityProvider provider, DateTime? expirationDate)result = DerivativesHelper.GetStrikeStep(underlyingAsset, provider, expirationDate)以取出出击步相.
- provider
- 提供各种文书的信息。
- underlyingAsset
- 基础资产。
- expirationDate
- 选项终止日期( 指定一个特定序列 ) 。
返回值: 打击的步道尺寸。
GetStrikeStep
public static decimal GetStrikeStep(IEnumerable<Security> derivatives)result = DerivativesHelper.GetStrikeStep(derivatives)To get the strike step size.
- derivatives
- Derivatives of the underlying asset.
返回值: The strike step size.
GetStrikeStepAsync
public static ValueTask<decimal> GetStrikeStepAsync(Security underlyingAsset, ISecurityProvider provider, DateTime? expirationDate, CancellationToken cancellationToken)result = DerivativesHelper.GetStrikeStepAsync(underlyingAsset, provider, expirationDate, cancellationToken)To get the strike step size.
- underlyingAsset
- Underlying asset.
- provider
- The provider of information about instruments.
- expirationDate
- The options expiration date (to specify a particular series).
- cancellationToken
- CancellationToken
返回值: The strike step size.
GetTimeValue
public static decimal GetTimeValue(Security option, decimal currentPrice, decimal assetPrice)result = DerivativesHelper.GetTimeValue(option, currentPrice, assetPrice)以获取定时选项值 。
- option
- 选择合同。
- currentPrice
- 合同价格。
- assetPrice
- 基本资产价格。
返回值: 计时值.
GetUnderlyingAsset
public static Security GetUnderlyingAsset(Security derivative, ISecurityProvider provider)result = DerivativesHelper.GetUnderlyingAsset(derivative, provider)以衍生工具获取基础资产.
- derivative
- 衍生品
- provider
- 提供各种文书的信息。
返回值: 基础资产。
GetUnderlyingAssetAsync
public static ValueTask<Security> GetUnderlyingAssetAsync(Security derivative, ISecurityProvider provider, CancellationToken cancellationToken)result = DerivativesHelper.GetUnderlyingAssetAsync(derivative, provider, cancellationToken)To get the underlying asset by the derivative.
- derivative
- The derivative.
- provider
- The provider of information about instruments.
- cancellationToken
- CancellationToken
返回值: Underlying asset.
ImpliedVolatility
public static QuoteChangeMessage ImpliedVolatility(IOrderBookMessage depth, ISecurityProvider securityProvider, IMarketDataProvider dataProvider, DateTime currentTime, decimal riskFree, decimal dividend)result = DerivativesHelper.ImpliedVolatility(depth, securityProvider, dataProvider, currentTime, riskFree, dividend)以从常有的订单书来创建起起起伏不定的订单书.
- depth
- 命令书引用的会被改为波动性引用.
- securityProvider
- 提供各种文书的信息。
- dataProvider
- 市场数据提供者.
- 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
- riskFree
- 风险免息利率.
- dividend
- 股息数额。
返回值: 令书之起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起
ImpliedVolatility
public static QuoteChangeMessage ImpliedVolatility(IOrderBookMessage depth, IBlackScholes model, DateTime currentTime)result = DerivativesHelper.ImpliedVolatility(depth, model, currentTime)以从常有的订单书来创建起起起伏不定的订单书.
- depth
- 命令书引用的会被改为波动性引用.
- model
- 由"黑-朔方"计算出希腊值的模型.
- 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: 令书之起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起起
ImpliedVolatility
public static decimal? ImpliedVolatility(decimal premium, Func<decimal, decimal?> getPremium)result = DerivativesHelper.ImpliedVolatility(premium, getPremium)来计算暗含的波动性.
- premium
- 选择费
- getPremium
- 以波动来计算溢价。
返回值: 隐含的波动。 如果数值等于 , 那么目前计算值是不可能的 。
ImpliedVolatilityAsync
public static ValueTask<QuoteChangeMessage> ImpliedVolatilityAsync(IOrderBookMessage depth, ISecurityProvider securityProvider, IMarketDataProvider dataProvider, DateTime currentTime, decimal riskFree, decimal dividend, CancellationToken cancellationToken)result = DerivativesHelper.ImpliedVolatilityAsync(depth, securityProvider, dataProvider, currentTime, riskFree, dividend, cancellationToken)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.
- cancellationToken
- CancellationToken
返回值: The order book volatility.
Invert
public static OptionTypes Invert(OptionTypes type)result = DerivativesHelper.Invert(type)更改相反的选项类型 。
- type
- 初标相相相相相.
返回值: 反相值相.
IsExpired
public static bool IsExpired(Security security, IExchangeInfoProvider exchangeInfoProvider, DateTime currentTime)result = DerivativesHelper.IsExpired(security, exchangeInfoProvider, currentTime)检查仪器是否完成了操作 。
- security
- 金融工具。
- exchangeInfoProvider
- 交易所和交易委员会供应商。
- 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: 如果文书已经行动完毕。
Premium
public static decimal Premium(OptionTypes optionType, decimal strike, decimal assetPrice, decimal riskFree, decimal dividend, decimal deviation, double timeToExp, double d1)result = DerivativesHelper.Premium(optionType, strike, assetPrice, riskFree, dividend, deviation, timeToExp, d1)计算选项溢价。
- optionType
- 选择类型。
- strike
- 罢工价格。
- assetPrice
- 基础资产价格.
- riskFree
- 风险免息利率.
- dividend
- 股息数额。
- deviation
- 标准偏差。
- timeToExp
- 期终前的期权期.
- d1
- 选项实现概率估计的d1参数.
返回值: 选择费
Rho
public static decimal Rho(OptionTypes optionType, decimal strike, decimal assetPrice, decimal riskFree, decimal deviation, double timeToExp, double d1)result = DerivativesHelper.Rho(optionType, strike, assetPrice, riskFree, deviation, timeToExp, d1)用来计算选项 ro。
- optionType
- 选择类型。
- strike
- 罢工价格。
- assetPrice
- 基础资产价格.
- riskFree
- 风险免息利率.
- deviation
- 标准偏差。
- timeToExp
- 期终前的期权期.
- d1
- 选项实现概率估计的d1参数.
返回值: 选择Rho。
Theta
public static decimal Theta(OptionTypes optionType, decimal strike, decimal assetPrice, decimal riskFree, decimal deviation, double timeToExp, double d1, decimal daysInYear)result = DerivativesHelper.Theta(optionType, strike, assetPrice, riskFree, deviation, timeToExp, d1, daysInYear)计算选项Theta。
- optionType
- 选择类型。
- strike
- 罢工价格。
- assetPrice
- 基础资产价格.
- riskFree
- 风险免息利率.
- deviation
- 标准偏差。
- timeToExp
- 期终前的期权期.
- d1
- 选项实现概率估计的d1参数.
- daysInYear
- 每年有几天。
返回值: 选择西塔。
Theta
public static decimal Theta(OptionTypes optionType, decimal strike, decimal assetPrice, decimal riskFree, decimal dividend, decimal deviation, double timeToExp, double d1, decimal daysInYear)result = DerivativesHelper.Theta(optionType, strike, assetPrice, riskFree, dividend, deviation, timeToExp, d1, daysInYear)To calculate the option theta with a continuous dividend yield.
- optionType
- Option type.
- strike
- The strike price.
- assetPrice
- Underlying asset price.
- riskFree
- The risk free interest rate.
- dividend
- The continuous dividend yield.
- deviation
- Standard deviation.
- timeToExp
- The option period before the expiration.
- d1
- The d1 parameter of the option fulfilment probability estimating.
- daysInYear
- Days per year.
返回值: Option theta.
Vega
public static decimal Vega(decimal assetPrice, double timeToExp, double d1)result = DerivativesHelper.Vega(assetPrice, timeToExp, d1)计算选项 vega.
- assetPrice
- 基础资产价格.
- timeToExp
- 期终前的期权期.
- d1
- 选项实现概率估计的d1参数.
返回值: 选择Vega。