17 using MathNet.Numerics.Distributions;
41 : base(name, option, riskFreeRateModel, dividendYieldModel, mirrorOption, optionModel, ivModel)
56 : this($
"Gamma({option},{mirrorOption},{optionModel})", option, riskFreeRateModel, dividendYieldModel, mirrorOption, optionModel, ivModel)
70 public Gamma(
string name,
Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel,
Symbol mirrorOption =
null,
72 : base(name, option, riskFreeRateModel, dividendYieldModel, mirrorOption, optionModel, ivModel)
85 public Gamma(
Symbol option, PyObject riskFreeRateModel, PyObject dividendYieldModel,
Symbol mirrorOption =
null,
87 : this($
"Gamma({option},{mirrorOption},{optionModel})", option, riskFreeRateModel, dividendYieldModel, mirrorOption, optionModel, ivModel)
103 : base(name, option, riskFreeRateModel, dividendYield, mirrorOption, optionModel, ivModel)
118 : this($
"Gamma({option},{mirrorOption},{optionModel})", option, riskFreeRateModel, dividendYield, mirrorOption, optionModel, ivModel)
132 public Gamma(
string name,
Symbol option, PyObject riskFreeRateModel, decimal dividendYield = 0.0m,
Symbol mirrorOption =
null,
134 : base(name, option, riskFreeRateModel, dividendYield, mirrorOption, optionModel, ivModel)
147 public Gamma(
Symbol option, PyObject riskFreeRateModel, decimal dividendYield = 0.0m,
Symbol mirrorOption =
null,
149 : this($
"Gamma({option},{mirrorOption},{optionModel})", option, riskFreeRateModel, dividendYield, mirrorOption, optionModel, ivModel)
163 public Gamma(
string name,
Symbol option, decimal riskFreeRate = 0.05m, decimal dividendYield = 0.0m,
Symbol mirrorOption =
null,
165 : base(name, option, riskFreeRate, dividendYield, mirrorOption, optionModel, ivModel)
178 public Gamma(
Symbol option, decimal riskFreeRate = 0.05m, decimal dividendYield = 0.0m,
Symbol mirrorOption =
null,
180 : this($
"Gamma({option},{mirrorOption},{optionModel})", option, riskFreeRate, dividendYield, mirrorOption, optionModel, ivModel)
185 protected override decimal CalculateGreek(decimal timeTillExpiry)
192 var norm =
new Normal();
230 return (gammaU - gammaD) * 2 / (sU - sD);
233 throw new Exception(
"Unrecognized Option Pricing Model");