Lean  $LEAN_TAG$
Static Public Member Functions | Static Public Attributes | List of all members
QuantConnect.Indicators.OptionGreekIndicatorsHelper Class Reference

Helper clas for option greeks related indicators More...

Static Public Member Functions

static decimal BlackTheoreticalPrice (decimal volatility, decimal spotPrice, decimal strikePrice, decimal timeToExpiration, decimal riskFreeRate, decimal dividendYield, OptionRight optionType)
 
static decimal CRRTheoreticalPrice (decimal volatility, decimal spotPrice, decimal strikePrice, decimal timeToExpiration, decimal riskFreeRate, decimal dividendYield, OptionRight optionType, int steps=Steps)
 
static decimal ForwardTreeTheoreticalPrice (decimal volatility, decimal spotPrice, decimal strikePrice, decimal timeToExpiration, decimal riskFreeRate, decimal dividendYield, OptionRight optionType, int steps=Steps)
 

Static Public Attributes

const int Steps = 200
 Number of steps in binomial tree simulation to obtain Greeks/IV More...
 

Detailed Description

Helper clas for option greeks related indicators

Definition at line 25 of file OptionGreekIndicatorsHelper.cs.

Member Data Documentation

◆ Steps

const int QuantConnect.Indicators.OptionGreekIndicatorsHelper.Steps = 200
static

Number of steps in binomial tree simulation to obtain Greeks/IV

Definition at line 30 of file OptionGreekIndicatorsHelper.cs.

The documentation for this class was generated from the following file: