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Static Public Member Functions | Static Public Attributes | List of all members
QuantConnect.Indicators.OptionGreekIndicatorsHelper Class Reference

Helper class for option greeks related indicators More...

Static Public Member Functions

static double BlackTheoreticalPrice (double volatility, double spotPrice, double strikePrice, double timeToExpiration, double riskFreeRate, double dividendYield, OptionRight optionType)
 Returns the Black theoretical price for the given arguments More...
 
static double CRRTheoreticalPrice (double volatility, double spotPrice, double strikePrice, double timeToExpiration, double riskFreeRate, double dividendYield, OptionRight optionType, int steps=Steps)
 Creates a Binomial Theoretical Price Tree from the given parameters More...
 
static double ForwardTreeTheoreticalPrice (double volatility, double spotPrice, double strikePrice, double timeToExpiration, double riskFreeRate, double dividendYield, OptionRight optionType, int steps=Steps)
 Creates the Forward Binomial Theoretical Price Tree from the given parameters More...
 
static double TimeTillExpiry (DateTime expiry, DateTime referenceDate)
 

Static Public Attributes

const int Steps = 200
 Number of steps in binomial tree simulation to obtain Greeks/IV More...
 

Detailed Description

Helper class for option greeks related indicators

Definition at line 26 of file OptionGreekIndicatorsHelper.cs.

Member Function Documentation

◆ BlackTheoreticalPrice()

static double QuantConnect.Indicators.OptionGreekIndicatorsHelper.BlackTheoreticalPrice ( double  volatility,
double  spotPrice,
double  strikePrice,
double  timeToExpiration,
double  riskFreeRate,
double  dividendYield,
OptionRight  optionType 
)
static

Returns the Black theoretical price for the given arguments

Definition at line 36 of file OptionGreekIndicatorsHelper.cs.

◆ CRRTheoreticalPrice()

static double QuantConnect.Indicators.OptionGreekIndicatorsHelper.CRRTheoreticalPrice ( double  volatility,
double  spotPrice,
double  strikePrice,
double  timeToExpiration,
double  riskFreeRate,
double  dividendYield,
OptionRight  optionType,
int  steps = Steps 
)
static

Creates a Binomial Theoretical Price Tree from the given parameters

Reference: https://en.wikipedia.org/wiki/Binomial_options_pricing_model#Step_1:_Create_the_binomial_price_tree

Definition at line 82 of file OptionGreekIndicatorsHelper.cs.

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◆ ForwardTreeTheoreticalPrice()

static double QuantConnect.Indicators.OptionGreekIndicatorsHelper.ForwardTreeTheoreticalPrice ( double  volatility,
double  spotPrice,
double  strikePrice,
double  timeToExpiration,
double  riskFreeRate,
double  dividendYield,
OptionRight  optionType,
int  steps = Steps 
)
static

Creates the Forward Binomial Theoretical Price Tree from the given parameters

Definition at line 101 of file OptionGreekIndicatorsHelper.cs.

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Member Data Documentation

◆ Steps

const int QuantConnect.Indicators.OptionGreekIndicatorsHelper.Steps = 200
static

Number of steps in binomial tree simulation to obtain Greeks/IV

Definition at line 31 of file OptionGreekIndicatorsHelper.cs.

The documentation for this class was generated from the following file: