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Option Delta indicator that calculate the delta of an option More...
Public Member Functions | |
Delta (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the Delta class More... | |
Delta (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the Delta class More... | |
Delta (string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the Delta class More... | |
Delta (Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the Delta class More... | |
Delta (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the Delta class More... | |
Delta (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the Delta class More... | |
Delta (string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the Delta class More... | |
Delta (Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the Delta class More... | |
Delta (string name, Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the Delta class More... | |
Delta (Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the Delta class More... | |
Public Member Functions inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase | |
override void | Reset () |
Resets this indicator and all sub-indicators More... | |
Public Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase | |
override void | Reset () |
Resets this indicator and all sub-indicators More... | |
Protected Member Functions | |
override decimal | CalculateGreek (decimal timeTillExpiry) |
Calculate the Delta of the option More... | |
Protected Member Functions inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase | |
OptionGreeksIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the OptionGreeksIndicatorBase class More... | |
OptionGreeksIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the OptionGreeksIndicatorBase class More... | |
OptionGreeksIndicatorBase (string name, Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the OptionGreeksIndicatorBase class More... | |
OptionGreeksIndicatorBase (string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the OptionGreeksIndicatorBase class More... | |
OptionGreeksIndicatorBase (string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) | |
Initializes a new instance of the OptionGreeksIndicatorBase class More... | |
override decimal | Calculate (IndicatorDataPoint input) |
Computes the next value of the option greek indicator More... | |
Protected Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase | |
OptionIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, int period=2) | |
Initializes a new instance of the OptionIndicatorBase class More... | |
override decimal | ComputeNextValue (IndicatorDataPoint input) |
Computes the next value of this indicator from the given state. This will round the result to 7 decimal places. More... | |
Additional Inherited Members | |
Static Public Member Functions inherited from QuantConnect.Indicators.OptionIndicatorBase | |
static OptionPricingModelType | GetOptionModel (OptionPricingModelType? optionModel, OptionStyle optionStyle) |
Gets the option pricing model based on the option style, if not specified More... | |
Public Attributes inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase | |
override bool | IsReady => ImpliedVolatility.IsReady |
Gets a flag indicating when this indicator is ready and fully initialized More... | |
Public Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase | |
OptionRight | Right => OptionSymbol.ID.OptionRight |
Gets the option right (call/put) of the option More... | |
decimal | Strike => OptionSymbol.ID.StrikePrice |
Gets the strike price of the option More... | |
OptionStyle | Style => OptionSymbol.ID.OptionStyle |
Gets the option style (European/American) of the option More... | |
bool | UseMirrorContract => _oppositeOptionSymbol != null |
Flag if mirror option is implemented for parity type calculation More... | |
Protected Attributes inherited from QuantConnect.Indicators.OptionIndicatorBase | |
Symbol | _underlyingSymbol => OptionSymbol.Underlying |
Underlying security's symbol object More... | |
Properties inherited from QuantConnect.Indicators.OptionGreeksIndicatorBase | |
decimal | _greekValue [get, set] |
Cache of the current value of the greek More... | |
ImpliedVolatility | ImpliedVolatility [get, set] |
Gets the implied volatility of the option More... | |
Properties inherited from QuantConnect.Indicators.OptionIndicatorBase | |
Symbol | OptionSymbol [get] |
Option's symbol object More... | |
Symbol | _oppositeOptionSymbol [get] |
Mirror option symbol (by option right), for implied volatility More... | |
OptionPricingModelType | _optionModel [get, set] |
Option pricing model used to calculate indicator More... | |
IRiskFreeInterestRateModel | _riskFreeInterestRateModel [get] |
Risk-free rate model More... | |
IDividendYieldModel | _dividendYieldModel [get] |
Dividend yield model, for continuous dividend yield More... | |
DateTime | Expiry [get] |
Gets the expiration time of the option More... | |
Identity | RiskFreeRate [get, set] |
Risk Free Rate More... | |
Identity | DividendYield [get, set] |
Dividend Yield More... | |
IndicatorBase< IndicatorDataPoint > | Price [get] |
Gets the option price level More... | |
IndicatorBase< IndicatorDataPoint > | OppositePrice [get] |
Gets the mirror option price level, for implied volatility More... | |
IndicatorBase< IndicatorDataPoint > | UnderlyingPrice [get] |
Gets the underlying's price level More... | |
int | WarmUpPeriod [get, set] |
Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider | |
int | WarmUpPeriod [get] |
Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Option Delta indicator that calculate the delta of an option
sensitivity of option price relative to $1 of underlying change
QuantConnect.Indicators.Delta.Delta | ( | string | name, |
Symbol | option, | ||
IRiskFreeInterestRateModel | riskFreeRateModel, | ||
IDividendYieldModel | dividendYieldModel, | ||
Symbol | mirrorOption = null , |
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OptionPricingModelType? | optionModel = null , |
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OptionPricingModelType? | ivModel = null |
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) |
Initializes a new instance of the Delta class
name | The name of this indicator |
option | The option to be tracked |
riskFreeRateModel | Risk-free rate model |
dividendYieldModel | Dividend yield model |
mirrorOption | The mirror option for parity calculation |
optionModel | The option pricing model used to estimate Delta |
ivModel | The option pricing model used to estimate IV |
QuantConnect.Indicators.Delta.Delta | ( | Symbol | option, |
IRiskFreeInterestRateModel | riskFreeRateModel, | ||
IDividendYieldModel | dividendYieldModel, | ||
Symbol | mirrorOption = null , |
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OptionPricingModelType? | optionModel = null , |
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OptionPricingModelType? | ivModel = null |
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) |
Initializes a new instance of the Delta class
option | The option to be tracked |
riskFreeRateModel | Risk-free rate model |
dividendYieldModel | Dividend yield model |
mirrorOption | The mirror option for parity calculation |
optionModel | The option pricing model used to estimate Delta |
ivModel | The option pricing model used to estimate IV |
QuantConnect.Indicators.Delta.Delta | ( | string | name, |
Symbol | option, | ||
PyObject | riskFreeRateModel, | ||
PyObject | dividendYieldModel, | ||
Symbol | mirrorOption = null , |
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OptionPricingModelType? | optionModel = null , |
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OptionPricingModelType? | ivModel = null |
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) |
Initializes a new instance of the Delta class
name | The name of this indicator |
option | The option to be tracked |
riskFreeRateModel | Risk-free rate model |
dividendYieldModel | Dividend yield model |
mirrorOption | The mirror option for parity calculation |
optionModel | The option pricing model used to estimate Delta |
ivModel | The option pricing model used to estimate IV |
QuantConnect.Indicators.Delta.Delta | ( | Symbol | option, |
PyObject | riskFreeRateModel, | ||
PyObject | dividendYieldModel, | ||
Symbol | mirrorOption = null , |
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OptionPricingModelType? | optionModel = null , |
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OptionPricingModelType? | ivModel = null |
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) |
Initializes a new instance of the Delta class
option | The option to be tracked |
riskFreeRateModel | Risk-free rate model |
dividendYieldModel | Dividend yield model |
mirrorOption | The mirror option for parity calculation |
optionModel | The option pricing model used to estimate Delta |
ivModel | The option pricing model used to estimate IV |
QuantConnect.Indicators.Delta.Delta | ( | string | name, |
Symbol | option, | ||
IRiskFreeInterestRateModel | riskFreeRateModel, | ||
decimal | dividendYield = 0.0m , |
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Symbol | mirrorOption = null , |
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OptionPricingModelType? | optionModel = null , |
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OptionPricingModelType? | ivModel = null |
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) |
Initializes a new instance of the Delta class
name | The name of this indicator |
option | The option to be tracked |
riskFreeRateModel | Risk-free rate model |
dividendYield | Dividend yield, as a constant |
mirrorOption | The mirror option for parity calculation |
optionModel | The option pricing model used to estimate Delta |
ivModel | The option pricing model used to estimate IV |
QuantConnect.Indicators.Delta.Delta | ( | Symbol | option, |
IRiskFreeInterestRateModel | riskFreeRateModel, | ||
decimal | dividendYield = 0.0m , |
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Symbol | mirrorOption = null , |
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OptionPricingModelType? | optionModel = null , |
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OptionPricingModelType? | ivModel = null |
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) |
Initializes a new instance of the Delta class
option | The option to be tracked |
riskFreeRateModel | Risk-free rate model |
dividendYield | Dividend yield, as a constant |
mirrorOption | The mirror option for parity calculation |
optionModel | The option pricing model used to estimate Delta |
ivModel | The option pricing model used to estimate IV |
QuantConnect.Indicators.Delta.Delta | ( | string | name, |
Symbol | option, | ||
PyObject | riskFreeRateModel, | ||
decimal | dividendYield = 0.0m , |
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Symbol | mirrorOption = null , |
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OptionPricingModelType? | optionModel = null , |
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OptionPricingModelType? | ivModel = null |
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) |
Initializes a new instance of the Delta class
name | The name of this indicator |
option | The option to be tracked |
riskFreeRateModel | Risk-free rate model |
dividendYield | Dividend yield, as a constant |
mirrorOption | The mirror option for parity calculation |
optionModel | The option pricing model used to estimate Delta |
ivModel | The option pricing model used to estimate IV |
QuantConnect.Indicators.Delta.Delta | ( | Symbol | option, |
PyObject | riskFreeRateModel, | ||
decimal | dividendYield = 0.0m , |
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Symbol | mirrorOption = null , |
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OptionPricingModelType? | optionModel = null , |
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OptionPricingModelType? | ivModel = null |
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) |
Initializes a new instance of the Delta class
option | The option to be tracked |
riskFreeRateModel | Risk-free rate model |
dividendYield | Dividend yield, as a constant |
mirrorOption | The mirror option for parity calculation |
optionModel | The option pricing model used to estimate Delta |
ivModel | The option pricing model used to estimate IV |
QuantConnect.Indicators.Delta.Delta | ( | string | name, |
Symbol | option, | ||
decimal | riskFreeRate = 0.05m , |
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decimal | dividendYield = 0.0m , |
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Symbol | mirrorOption = null , |
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OptionPricingModelType? | optionModel = null , |
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OptionPricingModelType? | ivModel = null |
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) |
Initializes a new instance of the Delta class
name | The name of this indicator |
option | The option to be tracked |
am>
riskFreeRate | Risk-free rate, as a constant |
dividendYield | Dividend yield, as a constant |
mirrorOption | The mirror option for parity calculation |
optionModel | The option pricing model used to estimate Delta |
ivModel | The option pricing model used to estimate IV |
QuantConnect.Indicators.Delta.Delta | ( | Symbol | option, |
decimal | riskFreeRate = 0.05m , |
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decimal | dividendYield = 0.0m , |
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Symbol | mirrorOption = null , |
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OptionPricingModelType? | optionModel = null , |
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OptionPricingModelType? | ivModel = null |
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) |
Initializes a new instance of the Delta class
option | The option to be tracked |
riskFreeRate | Risk-free rate, as a constant |
dividendYield | Dividend yield, as a constant |
mirrorOption | The mirror option for parity calculation |
optionModel | The option pricing model used to estimate Delta |
ivModel | The option pricing model used to estimate IV |
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protectedvirtual |
Calculate the Delta of the option
Implements QuantConnect.Indicators.OptionGreeksIndicatorBase.
Definition at line 192 of file Delta.cs.