Defines the greeks More...

Inheritance diagram for QuantConnect.Data.Market.Greeks:

Public Attributes
virtual decimal	Lambda_ => Lambda
	Gets the lambda. More...

virtual decimal	ThetaPerDay => Theta / 365m
	Gets the theta per day. More...

Properties
abstract decimal	Delta `[get]`
	Gets the delta. More...

abstract decimal	Gamma `[get]`
	Gets the gamma. More...

abstract decimal	Vega `[get]`
	Gets the vega. More...

abstract decimal	Theta `[get]`
	Gets the theta. More...

abstract decimal	Rho `[get]`
	Gets the rho. More...

abstract decimal	Lambda `[get]`
	Gets the lambda. More...

Detailed Description

Defines the greeks

Definition at line 23 of file Greeks.cs.

Member Data Documentation

◆ Lambda_

virtual decimal QuantConnect.Data.Market.Greeks.Lambda_ => Lambda

Gets the lambda.

Lambda is the percentage change in option value per percentage change in the underlying's price, a measure of leverage. Sometimes referred to as gearing. (∂V/∂S ✕ S/V)

Alias for Lambda required for compatibility with Python when PEP8 API is used (lambda is a reserved keyword in Python).

Definition at line 94 of file Greeks.cs.

◆ ThetaPerDay

virtual decimal QuantConnect.Data.Market.Greeks.ThetaPerDay => Theta / 365m

Gets the theta per day.

Theta measures the rate of change of the option value with respect to changes in time. This is commonly known as the 'time decay.' (∂V/∂τ)

Definition at line 104 of file Greeks.cs.

Property Documentation

◆ Delta

abstract decimal QuantConnect.Data.Market.Greeks.Delta

get

Gets the delta.

Delta measures the rate of change of the option value with respect to changes in the underlying asset'sprice. (∂V/∂S)

Definition at line 32 of file Greeks.cs.

◆ Gamma

abstract decimal QuantConnect.Data.Market.Greeks.Gamma

get

Gets the gamma.

Gamma measures the rate of change of Delta with respect to changes in the underlying asset'sprice. (∂²V/∂S²)

Definition at line 41 of file Greeks.cs.

◆ Vega

abstract decimal QuantConnect.Data.Market.Greeks.Vega

get

Gets the vega.

Vega measures the rate of change of the option value with respect to changes in the underlying's volatility. (∂V/∂σ)

Definition at line 50 of file Greeks.cs.

◆ Theta

abstract decimal QuantConnect.Data.Market.Greeks.Theta

get

Gets the theta.

Theta measures the rate of change of the option value with respect to changes in time. This is commonly known as the 'time decay.' (∂V/∂τ)

Definition at line 59 of file Greeks.cs.

◆ Rho

abstract decimal QuantConnect.Data.Market.Greeks.Rho

get

Gets the rho.

Rho measures the rate of change of the option value with respect to changes in the risk free interest rate. (∂V/∂r)

Definition at line 68 of file Greeks.cs.

◆ Lambda

abstract decimal QuantConnect.Data.Market.Greeks.Lambda

get