Lean
$LEAN_TAG$
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Result type for IOptionPriceModel.Evaluate More...
Public Member Functions | |
OptionPriceModelResult (decimal theoreticalPrice, Greeks greeks) | |
Initializes a new instance of the OptionPriceModelResult class More... | |
OptionPriceModelResult (decimal theoreticalPrice, Func< decimal > impliedVolatility, Func< Greeks > greeks) | |
Initializes a new instance of the OptionPriceModelResult class with lazy calculations of implied volatility and greeks More... | |
Properties | |
static OptionPriceModelResult | None = new(0, NullGreeks.Instance) [get] |
Represents the zero option price and greeks. More... | |
decimal | TheoreticalPrice [get] |
Gets the theoretical price as computed by the IOptionPriceModel More... | |
decimal | ImpliedVolatility [get] |
Gets the implied volatility of the option contract More... | |
Greeks | Greeks [get] |
Gets the various sensitivities as computed by the IOptionPriceModel More... | |
Result type for IOptionPriceModel.Evaluate
Definition at line 24 of file OptionPriceModelResult.cs.
QuantConnect.Securities.Option.OptionPriceModelResult.OptionPriceModelResult | ( | decimal | theoreticalPrice, |
Greeks | greeks | ||
) |
Initializes a new instance of the OptionPriceModelResult class
theoreticalPrice | The theoretical price computed by the price model |
greeks | The sensitivities (greeks) computed by the price model |
Definition at line 69 of file OptionPriceModelResult.cs.
QuantConnect.Securities.Option.OptionPriceModelResult.OptionPriceModelResult | ( | decimal | theoreticalPrice, |
Func< decimal > | impliedVolatility, | ||
Func< Greeks > | greeks | ||
) |
Initializes a new instance of the OptionPriceModelResult class with lazy calculations of implied volatility and greeks
theoreticalPrice | The theoretical price computed by the price model |
impliedVolatility | The calculated implied volatility |
greeks | The sensitivities (greeks) computed by the price model |
Definition at line 82 of file OptionPriceModelResult.cs.
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staticget |
Represents the zero option price and greeks.
Definition at line 29 of file OptionPriceModelResult.cs.
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get |
Gets the theoretical price as computed by the IOptionPriceModel
Definition at line 38 of file OptionPriceModelResult.cs.
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get |
Gets the implied volatility of the option contract
Definition at line 46 of file OptionPriceModelResult.cs.
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get |
Gets the various sensitivities as computed by the IOptionPriceModel
Definition at line 57 of file OptionPriceModelResult.cs.