QuantConnect.Util.OptionPayoff Class Reference

Static class containing useful methods related with options payoff More...

Static Public Member Functions
static decimal	GetIntrinsicValue (decimal underlyingPrice, decimal strike, OptionRight right)
	Intrinsic value function of the option More...
static double	GetIntrinsicValue (double underlyingPrice, double strike, OptionRight right)
	Intrinsic value function of the option More...
static decimal	GetPayOff (decimal underlyingPrice, decimal strike, OptionRight right)
	Option payoff function at expiration time More...
static double	GetPayOff (double underlyingPrice, double strike, OptionRight right)
	Option payoff function at expiration time More...

Detailed Description

Static class containing useful methods related with options payoff

Definition at line 24 of file OptionPayoff.cs.

Member Function Documentation

GetIntrinsicValue() [1/2]

static decimal QuantConnect.Util.OptionPayoff.GetIntrinsicValue ( decimal  underlyingPrice, decimal  strike, OptionRight  right  )

static

Intrinsic value function of the option

Parameters

underlyingPrice	The price of the underlying
strike	The strike price of the option
right	The option right of the option, call or put

Returns

The intrinsic value remains for the option at expiry

Definition at line 34 of file OptionPayoff.cs.

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GetIntrinsicValue() [2/2]

static double QuantConnect.Util.OptionPayoff.GetIntrinsicValue ( double  underlyingPrice, double  strike, OptionRight  right  )

static

Intrinsic value function of the option

Parameters

underlyingPrice	The price of the underlying
strike	The strike price of the option
right	The option right of the option, call or put

Returns

The intrinsic value remains for the option at expiry

Definition at line 47 of file OptionPayoff.cs.

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GetPayOff() [1/2]

static decimal QuantConnect.Util.OptionPayoff.GetPayOff ( decimal  underlyingPrice, decimal  strike, OptionRight  right  )

static

Option payoff function at expiration time

Parameters

underlyingPrice	The price of the underlying
strike	The strike price of the option
right	The option right of the option, call or put

Returns

Definition at line 60 of file OptionPayoff.cs.

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GetPayOff() [2/2]

static double QuantConnect.Util.OptionPayoff.GetPayOff ( double  underlyingPrice, double  strike, OptionRight  right  )

static

Option payoff function at expiration time

Parameters

underlyingPrice	The price of the underlying
strike	The strike price of the option
right	The option right of the option, call or put

Returns

Definition at line 73 of file OptionPayoff.cs.

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

• Common/Util/OptionPayoff.cs