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| Vega (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the Vega class More...
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| Vega (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the Vega class More...
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| Vega (string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the Vega class More...
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| Vega (Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the Vega class More...
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| Vega (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the Vega class More...
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| Vega (Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the Vega class More...
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| Vega (string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the Vega class More...
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| Vega (Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the Vega class More...
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| Vega (string name, Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the Vega class More...
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| Vega (Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the Vega class More...
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override void | Reset () |
| Resets this indicator and all sub-indicators More...
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override void | Reset () |
| Resets this indicator and all sub-indicators More...
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override decimal | CalculateGreek (decimal timeTillExpiry) |
| Calculate the Vega of the option More...
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| OptionGreeksIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the OptionGreeksIndicatorBase class More...
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| OptionGreeksIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the OptionGreeksIndicatorBase class More...
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| OptionGreeksIndicatorBase (string name, Symbol option, decimal riskFreeRate=0.05m, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the OptionGreeksIndicatorBase class More...
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| OptionGreeksIndicatorBase (string name, Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the OptionGreeksIndicatorBase class More...
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| OptionGreeksIndicatorBase (string name, Symbol option, PyObject riskFreeRateModel, decimal dividendYield=0.0m, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, OptionPricingModelType? ivModel=null) |
| Initializes a new instance of the OptionGreeksIndicatorBase class More...
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override decimal | Calculate (IndicatorDataPoint input) |
| Computes the next value of the option greek indicator More...
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| OptionIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, int period=2) |
| Initializes a new instance of the OptionIndicatorBase class More...
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override decimal | ComputeNextValue (IndicatorDataPoint input) |
| Computes the next value of this indicator from the given state. This will round the result to 7 decimal places. More...
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static OptionPricingModelType | GetOptionModel (OptionPricingModelType? optionModel, OptionStyle optionStyle) |
| Gets the option pricing model based on the option style, if not specified More...
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override bool | IsReady => ImpliedVolatility.IsReady |
| Gets a flag indicating when this indicator is ready and fully initialized More...
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OptionRight | Right => OptionSymbol.ID.OptionRight |
| Gets the option right (call/put) of the option More...
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decimal | Strike => OptionSymbol.ID.StrikePrice |
| Gets the strike price of the option More...
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OptionStyle | Style => OptionSymbol.ID.OptionStyle |
| Gets the option style (European/American) of the option More...
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bool | UseMirrorContract => _oppositeOptionSymbol != null |
| Flag if mirror option is implemented for parity type calculation More...
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Symbol | _underlyingSymbol => OptionSymbol.Underlying |
| Underlying security's symbol object More...
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decimal | _greekValue [get, set] |
| Cache of the current value of the greek More...
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ImpliedVolatility | ImpliedVolatility [get, set] |
| Gets the implied volatility of the option More...
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Symbol | OptionSymbol [get] |
| Option's symbol object More...
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Symbol | _oppositeOptionSymbol [get] |
| Mirror option symbol (by option right), for implied volatility More...
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OptionPricingModelType | _optionModel [get, set] |
| Option pricing model used to calculate indicator More...
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IRiskFreeInterestRateModel | _riskFreeInterestRateModel [get] |
| Risk-free rate model More...
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IDividendYieldModel | _dividendYieldModel [get] |
| Dividend yield model, for continuous dividend yield More...
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DateTime | Expiry [get] |
| Gets the expiration time of the option More...
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Identity | RiskFreeRate [get, set] |
| Risk Free Rate More...
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Identity | DividendYield [get, set] |
| Dividend Yield More...
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IndicatorBase< IndicatorDataPoint > | Price [get] |
| Gets the option price level More...
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IndicatorBase< IndicatorDataPoint > | OppositePrice [get] |
| Gets the mirror option price level, for implied volatility More...
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IndicatorBase< IndicatorDataPoint > | UnderlyingPrice [get] |
| Gets the underlying's price level More...
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int | WarmUpPeriod [get, set] |
| Required period, in data points, for the indicator to be ready and fully initialized. More...
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int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More...
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Option Vega indicator that calculate the Vega of an option
sensitivity of option price on IV changes
Definition at line 27 of file Vega.cs.