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Greeks

QuantConnect.Data.Market.Greeks 

Greeks()

Greeks(
    delta: float,
    gamma: float,
    vega: float,
    theta: float,
    rho: float,
    _lambda: float,
)

Bases: Object

Defines the greeks

Signature descriptions:

  • Initializes a new instance of the Greeks class.

  • Initializes a new instance of the Greeks class with specified values.

delta 

delta: float

Gets the delta.

Delta measures the rate of change of the option value with respect to changes in the underlying asset'sprice. (∂V/∂S)

gamma 

gamma: float

Gets the gamma.

Gamma measures the rate of change of Delta with respect to changes in the underlying asset'sprice. (∂²V/∂S²)

vega 

vega: float

Gets the vega.

Vega measures the rate of change of the option value with respect to changes in the underlying's volatility. (∂V/∂σ)

theta 

theta: float

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)

rho 

rho: float

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)

Lambda 

Lambda: float

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)

lambda_ 

lambda_: float

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)

theta_per_day 

theta_per_day: float

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)