OptionValuation Class

Basic properties of option calculators. http://en.wikipedia.org/wiki/Greeks_(finance)

Inheritance Hierarchy

Namespace: FinMath.Derivatives
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170

Syntax

public abstract class OptionValuation

The OptionValuation type exposes the following members.

Properties

	Name	Description
	Charm	Charm, or delta decay, measures the instantaneous rate of change of delta over the passage of time.
	Color	Color, or gamma decay, measures the rate of change of gamma over the passage of time.
	Delta	Delta measures the rate of change of option value with respect to changes in the underlying asset's price.
	Gamma	Gamma measures the rate of change in the delta with respect to changes in the underlying price.
	OptionStyle	Option style.
	OptionType	Type of option.
	Rho	Rho, the derivative of the option value with respect to the risk free rate.
	Speed	Speed measures the rate of change in Gamma with respect to changes in the underlying price.
	StockPrice	Stock price of the underlying asset.
	StrikePrice	Strike price of the underlying asset.
	Theta	Theta measures the sensitivity of the value of the derivative to the passage of time: the "time decay".
	TimeToMaturity	Time to the expiration date measured in years.
	Value	Value of the option.
	Vanna	Vanna, the second derivative of the option value with respect to the volatility.
	Vega	Vega, the derivative of the option value with respect to the volatility of the underlying asset.
	Volatility	Volatility of the underlying asset.
	Zomma	Zomma measures the rate of change of gamma with respect to changes in volatility.

Methods

	Name	Description
	Equals	Determines whether the specified object is equal to the current object. (Inherited from Object.)
	GetAnnualDividendYield	Get annual dividend yield.
	GetHashCode	Serves as the default hash function. (Inherited from Object.)
	GetRiskFreeRate	Get risk-free interest rate.
	GetType	Gets the Type of the current instance. (Inherited from Object.)
	SetAccelerationGranularity	Sets acceleration granularity. Clears all computed values.
	SetAnnualDividendYield	Set annual dividend yield (e.g. value 0.02 means that yearly dividends income equals to 2 % of the underlying asset stock price). All computed values are forgotten after this change.
	SetRiskFreeRate	Set risk-free interest rate (e.g. value 0.02 means that yearly risk-free income equals to 2 % of initial money amount if there is no capitalization of interest). All computed values are forgotten after this change.
	ToString	Returns a string that represents the current object. (Inherited from Object.)
	Update	Updates option parameters.
	UpdateByOptionPrice(Double, Double)	Updates option parameters.
	UpdateByOptionPrice(Double, Double, Double)	Updates option parameters.
	UpdateByOptionPrice(Double, Double, Double, Double)	Updates option parameters.
	UpdateByVolatility(Double, Double)	Updates option parameters.
	UpdateByVolatility(Double, Double, Double)	Updates option parameters.
	UpdateByVolatility(Double, Double, Double, Double)	Updates option parameters.