Struct BlackScholesPricer.GreeksResult

Namespace

ATAS.DataFeedsCore.Pricing

Assembly

ATAS.DataFeedsCore.dll

Price and greeks of an option calculated by CalculateGreeks(OptionTypes, double, double, double, double, double, double).

Added in ATAS 8.0.15.

public readonly struct BlackScholesPricer.GreeksResult

Extension Methods

Extensions.ConvertToMyTrade<T>(T, Portfolio, Security, Action<MyTrade, T>)

Constructors

GreeksResult(double, double, double, double, double)

Price and greeks of an option calculated by CalculateGreeks(OptionTypes, double, double, double, double, double, double).

public GreeksResult(double Price, double Delta, double Gamma, double Vega, double ThetaPerDay)

Parameters

Price double

The theoretical option price.

Delta double

The change of the price per unit change of the underlying price.

Gamma double

The change of Delta per unit change of the underlying price.

Vega double

The change of the price per volatility point (1%).

ThetaPerDay double

The change of the price per calendar day (the annual theta divided by DaysPerYear).

Properties

Delta

The change of the price per unit change of the underlying price.

public double Delta { get; init; }

Property Value

double

Gamma

The change of Delta per unit change of the underlying price.

public double Gamma { get; init; }

Property Value

double

Price

The theoretical option price.

public double Price { get; init; }

Property Value

double

ThetaPerDay

The change of the price per calendar day (the annual theta divided by DaysPerYear).

public double ThetaPerDay { get; init; }

Property Value

double

Vega

The change of the price per volatility point (1%).

public double Vega { get; init; }

Property Value

double

Methods

Deconstruct(out double, out double, out double, out double, out double)

public void Deconstruct(out double Price, out double Delta, out double Gamma, out double Vega, out double ThetaPerDay)

Parameters

Price double

Delta double

Gamma double

Vega double

ThetaPerDay double

Equals(GreeksResult)

public bool Equals(BlackScholesPricer.GreeksResult other)

Parameters

other BlackScholesPricer.GreeksResult

Returns

bool

Equals(object)

public override bool Equals(object obj)

Parameters

obj object

Returns

bool

GetHashCode()

public override int GetHashCode()

Returns

int

ToString()

public override string ToString()

Returns

string

Operators

operator ==(GreeksResult, GreeksResult)

public static bool operator ==(BlackScholesPricer.GreeksResult left, BlackScholesPricer.GreeksResult right)

Parameters

left BlackScholesPricer.GreeksResult

right BlackScholesPricer.GreeksResult

Returns

bool

operator !=(GreeksResult, GreeksResult)

public static bool operator !=(BlackScholesPricer.GreeksResult left, BlackScholesPricer.GreeksResult right)

Parameters

left BlackScholesPricer.GreeksResult

right BlackScholesPricer.GreeksResult

Returns

bool