Lean
$LEAN_TAG$
OptionPayoff.cs
1
/*
2
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
3
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
4
*
5
* Licensed under the Apache License, Version 2.0 (the "License");
6
* you may not use this file except in compliance with the License.
7
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
8
*
9
* Unless required by applicable law or agreed to in writing, software
10
* distributed under the License is distributed on an "AS IS" BASIS,
11
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12
* See the License for the specific language governing permissions and
13
* limitations under the License.
14
*/
15
16
using
System;
17
18
namespace
QuantConnect.Util
19
{
20
public
static
class
OptionPayoff
21
{
22
/// <summary>
23
/// Intrinsic value function of the option
24
/// </summary>
25
/// <param name="underlyingPrice">The price of the underlying</param>
26
/// <param name="strike">The strike price of the option</param>
27
/// <param name="right">The option right of the option, call or put</param>
28
/// <returns>The intrinsic value remains for the option at expiry</returns>
29
public
static
decimal
GetIntrinsicValue
(decimal underlyingPrice, decimal strike,
OptionRight
right)
30
{
31
return
Math.Max(0.0m,
GetPayOff
(underlyingPrice, strike, right));
32
}
33
34
/// <summary>
35
/// Option payoff function at expiration time
36
/// </summary>
37
/// <param name="underlyingPrice">The price of the underlying</param>
38
/// <param name="strike">The strike price of the option</param>
39
/// <param name="right">The option right of the option, call or put</param>
40
/// <returns></returns>
41
public
static
decimal
GetPayOff
(decimal underlyingPrice, decimal strike,
OptionRight
right)
42
{
43
return
right ==
OptionRight
.Call ? underlyingPrice - strike : strike - underlyingPrice;
44
}
45
}
46
}
Common
Util
OptionPayoff.cs
Generated by
1.8.17