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Static Public Member Functions | List of all members
QuantConnect.Util.OptionPayoff Class Reference

Static Public Member Functions

static decimal GetIntrinsicValue (decimal underlyingPrice, decimal strike, OptionRight right)
 Intrinsic value function of the option More...
 
static decimal GetPayOff (decimal underlyingPrice, decimal strike, OptionRight right)
 Option payoff function at expiration time More...
 

Detailed Description

Definition at line 20 of file OptionPayoff.cs.

Member Function Documentation

◆ GetIntrinsicValue()

static decimal QuantConnect.Util.OptionPayoff.GetIntrinsicValue ( decimal  underlyingPrice,
decimal  strike,
OptionRight  right 
)
static

Intrinsic value function of the option

Parameters
underlyingPriceThe price of the underlying
strikeThe strike price of the option
rightThe option right of the option, call or put
Returns
The intrinsic value remains for the option at expiry

Definition at line 29 of file OptionPayoff.cs.

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◆ GetPayOff()

static decimal QuantConnect.Util.OptionPayoff.GetPayOff ( decimal  underlyingPrice,
decimal  strike,
OptionRight  right 
)
static

Option payoff function at expiration time

Parameters
underlyingPriceThe price of the underlying
strikeThe strike price of the option
rightThe option right of the option, call or put
Returns

Definition at line 41 of file OptionPayoff.cs.

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