BlackScholes Class |
Namespace: FinMath.Derivatives
public class BlackScholes : OptionValuation
The BlackScholes type exposes the following members.
Name | Description | |
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![]() | 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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Name | Description | |
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![]() | 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.) |
Name | Description | |
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![]() | 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.
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![]() ![]() | 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.) |