quant1729
84 lines
3.1 KiB
C#
84 lines
3.1 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using QuantConnect.Data.Market;
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using System;
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namespace QuantConnect.Securities.Option
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{
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/// <summary>
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/// Result type for <see cref="IOptionPriceModel.Evaluate"/>
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/// </summary>
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public class OptionPriceModelResult
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{
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private readonly Lazy<Greeks> _greeks;
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private readonly Lazy<decimal> _impliedVolatility;
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/// <summary>
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/// Gets the theoretical price as computed by the <see cref="IOptionPriceModel"/>
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/// </summary>
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public decimal TheoreticalPrice
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{
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get; private set;
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}
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/// <summary>
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/// Gets the implied volatility of the option contract
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/// </summary>
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public decimal ImpliedVolatility
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{
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get
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{
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return _impliedVolatility.Value;
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}
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}
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/// <summary>
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/// Gets the various sensitivities as computed by the <see cref="IOptionPriceModel"/>
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/// </summary>
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public Greeks Greeks
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{
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get
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{
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return _greeks.Value;
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}
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class
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/// </summary>
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/// <param name="theoreticalPrice">The theoretical price computed by the price model</param>
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/// <param name="greeks">The sensitivities (greeks) computed by the price model</param>
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public OptionPriceModelResult(decimal theoreticalPrice, Greeks greeks)
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{
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TheoreticalPrice = theoreticalPrice;
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_impliedVolatility = new Lazy<decimal>(() => 0m);
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_greeks = new Lazy<Greeks>(() => greeks);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="OptionPriceModelResult"/> class with lazy calculations of implied volatility and greeks
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/// </summary>
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/// <param name="theoreticalPrice">The theoretical price computed by the price model</param>
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/// <param name="impliedVolatility">The calculated implied volatility</param>
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/// <param name="greeks">The sensitivities (greeks) computed by the price model</param>
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public OptionPriceModelResult(decimal theoreticalPrice, Func<decimal> impliedVolatility, Func<Greeks> greeks)
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{
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TheoreticalPrice = theoreticalPrice;
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_impliedVolatility = new Lazy<decimal>(impliedVolatility);
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_greeks = new Lazy<Greeks>(greeks);
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}
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}
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} |