Class OptionSupport

Collection of option support functionality.

Inheritance

object

OptionSupport

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.Support

Assembly: TuringTrader.Simulator.dll

Syntax

public static class OptionSupport

Methods

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BlackScholes(Instrument, double, double, double)

Calculate Black-Scholes arbitrage-free price for European-style options, plus the common option greeks. https://en.wikipedia.org/wiki/Black–Scholes_model

Declaration

public static OptionSupport.OptionPriceVolGreeks BlackScholes(this Instrument contract, double volatility, double riskFreeRate, double dividendYield = 0)

Parameters

Type	Name	Description
Instrument	contract	option contract to calculate
double	volatility	annualized volatility of underlying asset
double	riskFreeRate	annualized risk-free rate of return
double	dividendYield	annualized continuous dividend yield

Returns

Type	Description
OptionSupport.OptionPriceVolGreeks	container w/ price, volatility, and greeks

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BlackScholesImplied(Instrument, double, double)

Calculate implied volatility from Black-Scholes arbitrage-free price for European-style options, plus the common option greeks. https://en.wikipedia.org/wiki/Black–Scholes_model

Declaration

public static OptionSupport.OptionPriceVolGreeks BlackScholesImplied(this Instrument contract, double riskFreeRate, double dividendYield = 0)

Parameters

Type	Name	Description
Instrument	contract	option contract to calculate
double	riskFreeRate	annualized risk-free rate of return
double	dividendYield	annualized continuous dividend yield

Returns

Type	Description
OptionSupport.OptionPriceVolGreeks	container w/ price, volatility, and greeks

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GBlackScholes(bool, double, double, double, double, double, double)

Generalized Black-Scholes-Merton Option Pricing, see chapter 1.1.6

Declaration

public static double GBlackScholes(bool CallPutFlag, double S, double X, double T, double r, double b, double v)

Parameters

Type	Name	Description
bool	CallPutFlag	true for calls, false for puts
double	S	price of underlying asset
double	X	strike price of option
double	T	time to expiration in years
double	r	risk-free interest rate
double	b	cost of carry rate
double	v	volatility

Returns

Type	Description
double