Table of Contents

Class DeltaHedgeStrategy

Namespace
StockSharp.Algo.Strategies.Derivatives
Assembly
StockSharp.Algo.dll

The options delta hedging strategy.

public class DeltaHedgeStrategy : HedgeStrategy, IPersistable, INotifyPropertyChangedEx, INotifyPropertyChanged, IMarketRuleContainer, ILogReceiver, ILogSource, IDisposable, ICloneable<Strategy>, ICloneable, IMarketDataProvider, ISubscriptionProvider, ISecurityProvider, ISecurityMessageProvider, ITransactionProvider, IPositionProvider, IPortfolioProvider, IScheduledTask, ICustomTypeDescriptor
Inheritance
DeltaHedgeStrategy
Implements
Inherited Members
Extension Methods

Constructors

DeltaHedgeStrategy(BasketBlackScholes)

Initializes a new instance of the DeltaHedgeStrategy.

public DeltaHedgeStrategy(BasketBlackScholes blackScholes)

Parameters

blackScholes BasketBlackScholes

BasketBlackScholes.

Properties

PositionOffset

Shift in position for underlying asset, allowing not to hedge part of the options position.

[Display(ResourceType = typeof(LocalizedStrings), Name = "PositionOffset", Description = "PositionOffsetDesc", GroupName = "Hedging", Order = 0)]
public decimal PositionOffset { get; set; }

Property Value

decimal

Methods

GetReHedgeOrders(DateTimeOffset)

To get a list of orders rehedging the option position.

protected override IEnumerable<Order> GetReHedgeOrders(DateTimeOffset currentTime)

Parameters

currentTime DateTimeOffset

Current time.

Returns

IEnumerable<Order>

Rehedging orders.