Defines the greeks
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| | Greeks () |
| | Initializes a new default instance of the Greeks class More...
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| | Greeks (decimal delta, decimal gamma, decimal vega, decimal theta, decimal rho, decimal lambda) |
| | Initializes a new instance of the Greeks class More...
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| | Greeks (Func< decimal > delta, Func< decimal > gamma, Func< decimal > vega, Func< decimal > theta, Func< decimal > rho, Func< decimal > lambda) |
| | Initializes a new instance of the Greeks class More...
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| | Greeks (Func< Tuple< decimal, decimal >> deltaGamma, Func< decimal > vega, Func< decimal > theta, Func< decimal > rho, Func< decimal > lambda) |
| | Initializes a new instance of the Greeks class More...
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Defines the greeks
Definition at line 23 of file Greeks.cs.
◆ Greeks() [1/4]
| QuantConnect.Data.Market.Greeks.Greeks |
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Initializes a new default instance of the Greeks class
Definition at line 177 of file Greeks.cs.
◆ Greeks() [2/4]
| QuantConnect.Data.Market.Greeks.Greeks |
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decimal |
delta, |
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decimal |
gamma, |
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decimal |
vega, |
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decimal |
theta, |
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decimal |
rho, |
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decimal |
lambda |
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◆ Greeks() [3/4]
| QuantConnect.Data.Market.Greeks.Greeks |
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Func< decimal > |
delta, |
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Func< decimal > |
gamma, |
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Func< decimal > |
vega, |
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Func< decimal > |
theta, |
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Func< decimal > |
rho, |
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Func< decimal > |
lambda |
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) |
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◆ Greeks() [4/4]
| QuantConnect.Data.Market.Greeks.Greeks |
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Func< Tuple< decimal, decimal >> |
deltaGamma, |
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Func< decimal > |
vega, |
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Func< decimal > |
theta, |
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Func< decimal > |
rho, |
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Func< decimal > |
lambda |
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) |
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◆ Lambda_
| decimal QuantConnect.Data.Market.Greeks.Lambda_ => Lambda |
Gets the lambda.
Lambda is the percentage change in option value per percentage change in the underlying's price, a measure of leverage. Sometimes referred to as gearing. (∂V/∂S ✕ S/V)
Alias for Lambda required for compatibility with Python when PEP8 API is used (lambda is a reserved keyword in Python).
Definition at line 163 of file Greeks.cs.
◆ ThetaPerDay
| decimal QuantConnect.Data.Market.Greeks.ThetaPerDay => Theta / 365m |
Gets the theta per day.
Theta measures the rate of change of the option value with respect to changes in time. This is commonly known as the 'time decay.' (∂V/∂τ)
Definition at line 172 of file Greeks.cs.
◆ Delta
| decimal? QuantConnect.Data.Market.Greeks.Delta |
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get |
Gets the delta.
Delta measures the rate of change of the option value with respect to changes in the underlying asset'sprice. (∂V/∂S)
Definition at line 44 of file Greeks.cs.
◆ Gamma
| decimal? QuantConnect.Data.Market.Greeks.Gamma |
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get |
Gets the gamma.
Gamma measures the rate of change of Delta with respect to changes in the underlying asset'sprice. (∂²V/∂S²)
Definition at line 63 of file Greeks.cs.
◆ Vega
| decimal QuantConnect.Data.Market.Greeks.Vega |
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get |
Gets the vega.
Vega measures the rate of change of the option value with respect to changes in the underlying's volatility. (∂V/∂σ)
Definition at line 82 of file Greeks.cs.
◆ Theta
| decimal QuantConnect.Data.Market.Greeks.Theta |
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get |
Gets the theta.
Theta measures the rate of change of the option value with respect to changes in time. This is commonly known as the 'time decay.' (∂V/∂τ)
Definition at line 101 of file Greeks.cs.
◆ Rho
| decimal QuantConnect.Data.Market.Greeks.Rho |
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get |
Gets the rho.
Rho measures the rate of change of the option value with respect to changes in the risk free interest rate. (∂V/∂r)
Definition at line 120 of file Greeks.cs.
◆ Lambda
| decimal QuantConnect.Data.Market.Greeks.Lambda |
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get |
Gets the lambda.
Lambda is the percentage change in option value per percentage change in the underlying's price, a measure of leverage. Sometimes referred to as gearing. (∂V/∂S ✕ S/V)
Definition at line 140 of file Greeks.cs.
The documentation for this class was generated from the following file:
1.8.17