BlackScholes Class |
Implementation of Black-Scholes options pricing model
Inheritance HierarchyNamespace: FinMath.Derivatives
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
public class BlackScholes : OptionValuation
The BlackScholes type exposes the following members.
Constructors| Name | Description | |
|---|---|---|
 | BlackScholes |
Constructor without parameters.
Acceleration is disabled.
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| BlackScholes(OptionValuationModelOutputs, Int32) |
Constructor that defines which greeks should be saved for fast recomputation.
Note that at each query for any of saveable greeks all of them will be computed if needed.
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| BlackScholes(OptionValuationModelInputs, OptionValuationModelOutputs, Int32) |
Enables advanced acceleration mode for specified option properties.
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Properties| Name | Description | |
|---|---|---|
 | Charm | Charm, or delta decay, measures the instantaneous rate of change of delta over the passage of time. (Inherited from OptionValuation.) |
| Color | Color, or gamma decay, measures the rate of change of gamma over the passage of time. (Inherited from OptionValuation.) |
| Delta | Delta measures the rate of change of option value with respect to changes in the underlying asset's price. (Inherited from OptionValuation.) |
| Gamma | Gamma measures the rate of change in the delta with respect to changes in the underlying price. (Inherited from OptionValuation.) |
| OptionStyle | Option style. (Inherited from OptionValuation.) |
| OptionType | Type of option. (Inherited from OptionValuation.) |
| Rho | Rho, the derivative of the option value with respect to the risk free rate. (Inherited from OptionValuation.) |
| Speed | Speed measures the rate of change in Gamma with respect to changes in the underlying price. (Inherited from OptionValuation.) |
| StockPrice | Stock price of the underlying asset. (Inherited from OptionValuation.) |
| StrikePrice | Strike price of the underlying asset. (Inherited from OptionValuation.) |
| Theta | Theta measures the sensitivity of the value of the derivative to the passage of time: the "time decay". (Inherited from OptionValuation.) |
| TimeToMaturity | Time to the expiration date measured in years. (Inherited from OptionValuation.) |
| Value | Value of the option. (Inherited from OptionValuation.) |
| Vanna | Vanna, the second derivative of the option value with respect to the volatility. (Inherited from OptionValuation.) |
| Vega | Vega, the derivative of the option value with respect to the volatility of the underlying asset. (Inherited from OptionValuation.) |
| Volatility | Volatility of the underlying asset. (Inherited from OptionValuation.) |
| Zomma | Zomma measures the rate of change of gamma with respect to changes in volatility. (Inherited from OptionValuation.) |
Methods| Name | Description | |
|---|---|---|
| Equals | Determines whether the specified object is equal to the current object. (Inherited from Object.) |
| GetAnnualDividendYield | Get annual dividend yield. (Inherited from OptionValuation.) |
 | GetCallDelta |
Computes call option delta.
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| GetCallValue |
Computes call option value.
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| GetCharm | Computes the option charm. |
| GetColor | Computes the option color. |
| GetDelta |
Computes option delta.
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| GetGamma | Computes the option gamma. |
| GetHashCode | Serves as the default hash function. (Inherited from Object.) |
| GetPutDelta |
Computes put option delta.
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| GetPutValue |
Computes put option value.
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| GetRho | Computes the option rho. |
| GetRiskFreeRate | Get risk-free interest rate. (Inherited from OptionValuation.) |
| GetSpeed | Computes the option speed. |
| GetTheta | Computes the option theta. |
| GetType | Gets the Type of the current instance. (Inherited from Object.) |
| GetValue |
Computes option value.
|
| GetVanna | Computes the option vanna. |
| GetVega | Computes the option vega. |
| GetZomma | Computes the option zomma. |
| ImpliedVolatility |
Computes implied underlying asset volatility.
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| InitByOptionPrice | Initializes object by option parameters. |
| InitByVolatility | Initializes object by option parameters. |
| SetAccelerationGranularity | Sets acceleration granularity. Clears all computed values. (Inherited from OptionValuation.) |
| SetAccelerationMemoryUsage | Changes acceleration RAM usage. 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.
(Inherited from OptionValuation.) |
| 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.
(Inherited from OptionValuation.) |
| ToString | Returns a string that represents the current object. (Inherited from Object.) |
| Update | Updates option parameters. (Inherited from OptionValuation.) |
| UpdateByOptionPrice(Double, Double) | Updates option parameters. (Inherited from OptionValuation.) |
| UpdateByOptionPrice(Double, Double, Double) | Updates option parameters. (Inherited from OptionValuation.) |
| UpdateByOptionPrice(Double, Double, Double, Double) | Updates option parameters. (Inherited from OptionValuation.) |
| UpdateByVolatility(Double, Double) | Updates option parameters. (Inherited from OptionValuation.) |
| UpdateByVolatility(Double, Double, Double) | Updates option parameters. (Inherited from OptionValuation.) |
| UpdateByVolatility(Double, Double, Double, Double) | Updates option parameters. (Inherited from OptionValuation.) |
See Also