Result type for IOptionPriceModel.Evaluate More...

Public Member Functions
	OptionPriceModelResult (decimal theoreticalPrice, Greeks greeks)
	Initializes a new instance of the OptionPriceModelResult class More...

	OptionPriceModelResult (decimal theoreticalPrice, Func< decimal > impliedVolatility, Func< Greeks > greeks)
	Initializes a new instance of the OptionPriceModelResult class with lazy calculations of implied volatility and greeks More...

Properties
static OptionPriceModelResult	None = new(0, NullGreeks.Instance) `[get]`
	Represents the zero option price and greeks. More...

decimal	TheoreticalPrice `[get]`
	Gets the theoretical price as computed by the IOptionPriceModel More...

decimal	ImpliedVolatility `[get]`
	Gets the implied volatility of the option contract More...

Greeks	Greeks `[get]`
	Gets the various sensitivities as computed by the IOptionPriceModel More...

Detailed Description

Result type for IOptionPriceModel.Evaluate

Definition at line 24 of file OptionPriceModelResult.cs.

Constructor & Destructor Documentation

◆ OptionPriceModelResult() [1/2]

QuantConnect.Securities.Option.OptionPriceModelResult.OptionPriceModelResult	(	decimal	theoreticalPrice,
		Greeks	greeks
	)

Initializes a new instance of the OptionPriceModelResult class

Parameters

theoreticalPrice	The theoretical price computed by the price model
greeks	The sensitivities (greeks) computed by the price model

Definition at line 69 of file OptionPriceModelResult.cs.

◆ OptionPriceModelResult() [2/2]

QuantConnect.Securities.Option.OptionPriceModelResult.OptionPriceModelResult	(	decimal	theoreticalPrice,
		Func< decimal >	impliedVolatility,
		Func< Greeks >	greeks
	)

Initializes a new instance of the OptionPriceModelResult class with lazy calculations of implied volatility and greeks

Parameters

theoreticalPrice	The theoretical price computed by the price model
impliedVolatility	The calculated implied volatility
greeks	The sensitivities (greeks) computed by the price model

Definition at line 82 of file OptionPriceModelResult.cs.

Property Documentation

◆ None

OptionPriceModelResult QuantConnect.Securities.Option.OptionPriceModelResult.None = new(0, NullGreeks.Instance)

staticget

Represents the zero option price and greeks.

Definition at line 29 of file OptionPriceModelResult.cs.

◆ TheoreticalPrice

decimal QuantConnect.Securities.Option.OptionPriceModelResult.TheoreticalPrice

get

Gets the theoretical price as computed by the IOptionPriceModel

Definition at line 38 of file OptionPriceModelResult.cs.

◆ ImpliedVolatility

decimal QuantConnect.Securities.Option.OptionPriceModelResult.ImpliedVolatility

get

Gets the implied volatility of the option contract

Definition at line 46 of file OptionPriceModelResult.cs.

◆ Greeks

Greeks QuantConnect.Securities.Option.OptionPriceModelResult.Greeks

get

Gets the various sensitivities as computed by the IOptionPriceModel

Definition at line 57 of file OptionPriceModelResult.cs.

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

Common/Securities/Option/OptionPriceModelResult.cs

Public Member Functions

Properties