Class Black

Namespace

StockSharp.Algo.Derivatives

Assembly

StockSharp.Algo.dll

The Greeks values calculating model by the Black formula.

public class Black : BlackScholes, IBlackScholes

Inheritance

object

BlackScholes

Black

Implements

IBlackScholes

Inherited Members

BlackScholes.GetExpirationTimeLine(DateTimeOffset)

BlackScholes.GetAssetPrice(decimal?)

BlackScholes.TryRound(decimal?)

BlackScholes.ImpliedVolatility(DateTimeOffset, decimal)

BlackScholes.SecurityProvider

BlackScholes.DataProvider

BlackScholes.ExchangeInfoProvider

BlackScholes.Option

BlackScholes.RiskFree

BlackScholes.RoundDecimals

BlackScholes.UnderlyingAsset

BlackScholes.DefaultDeviation

BlackScholes.OptionType

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods

XamlHelper.CopyToClipboard<T>(T)

Paths.SerializeToString<T>(T, bool)

Paths.Serialize<T>(T, bool)

Paths.Serialize<T>(T, string, bool)

EditorExtensions.ToItemsSource(object, Type, bool?, ListSortDirection?, Func<IItemsSourceItem, bool>, Func<object, string>, Func<object, string>)

XamlHelper.EnsureUIThread(object)

XamlHelper.ShowModel<TWindow>(object, DependencyObject)

XamlHelper.WpfCast<T>(object)

VirtualPropertyRegistry.TryGetVirtualValue(object, string, out object)

Constructors

Black(Security, ISecurityProvider, IMarketDataProvider, IExchangeInfoProvider)

Initializes a new instance of the Black.

public Black(Security option, ISecurityProvider securityProvider, IMarketDataProvider dataProvider, IExchangeInfoProvider exchangeInfoProvider)

Parameters

option Security

Options contract.

securityProvider ISecurityProvider

The provider of information about instruments.

dataProvider IMarketDataProvider

The market data provider.

exchangeInfoProvider IExchangeInfoProvider

Exchanges and trading boards provider.

Black(Security, Security, IMarketDataProvider, IExchangeInfoProvider)

Initializes a new instance of the Black.

public Black(Security option, Security underlyingAsset, IMarketDataProvider dataProvider, IExchangeInfoProvider exchangeInfoProvider)

Parameters

option Security

Options contract.

underlyingAsset Security

Underlying asset.

dataProvider IMarketDataProvider

The market data provider.

exchangeInfoProvider IExchangeInfoProvider

Exchanges and trading boards provider.

Properties

Dividend

The dividend amount on shares.

public override decimal Dividend { set; }

Property Value

decimal

Methods

D1(decimal, decimal, double)

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

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

Parameters

deviation decimal

Standard deviation.

assetPrice decimal

Underlying asset price.

timeToExp double

The option period before the expiration.

Returns

double

The d1 parameter.

Delta(DateTimeOffset, decimal?, decimal?)

To calculate the option delta.

public override decimal? Delta(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

decimal?

The option delta. If the value is equal to null, then the value calculation currently is impossible.

Gamma(DateTimeOffset, decimal?, decimal?)

To calculate the option gamma.

public override decimal? Gamma(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

decimal?

The option gamma. If the value is equal to null, then the value calculation currently is impossible.

Premium(DateTimeOffset, decimal?, decimal?)

To calculate the option premium.

public override decimal? Premium(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

decimal?

The option premium. If the value is equal to null, then the value calculation currently is impossible.

Rho(DateTimeOffset, decimal?, decimal?)

To calculate the option rho.

public override decimal? Rho(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

decimal?

The option rho. If the value is equal to null, then the value calculation currently is impossible.

Theta(DateTimeOffset, decimal?, decimal?)

To calculate the option theta.

public override decimal? Theta(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

decimal?

The option theta. If the value is equal to null, then the value calculation currently is impossible.

Vega(DateTimeOffset, decimal?, decimal?)

To calculate the option vega.

public override decimal? Vega(DateTimeOffset currentTime, decimal? deviation = null, decimal? assetPrice = null)

Parameters

currentTime DateTimeOffset

The current time.

deviation decimal?

Standard deviation.

assetPrice decimal?

Underlying asset price.

Returns

decimal?

The option vega. If the value is equal to null, then the value calculation currently is impossible.