CREON Plus

CpUtil.CpCalcOptGreeks

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2017-05-24 오전 10:55:49
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설명: 옵션 Greeks 값들을계산

듈위치: CpUtil.dll

Method

object.Calculate()

입력된 Property값들을이용하여옵션 Greeks 값들을계산

Property

Object.CallPutType = Value

CALLPUT_TYPE(쓰기전용) - 계산하려는옵션종목이 Call 인지 Put 인지를나타내는콜풋유형

  • OT_CALL : 콜옵션

  • OT_PUT : 풋옵션

Object.Price = Value

double(쓰기전용) - 계산하려는옵션종목의가격

Object.UnderPrice = Value

double(쓰기전용) - 계산하려는옵션종목의기초자산가격

Object.ExerPrice = Value

double(쓰기전용) - 계산하려는옵션종목의행사가격

Object.VolatilityType = Value

VOLATILITY_TYPE(쓰기전용) - 계산하려는옵션종목의변동성종류

  • VT_HISTORY: 역사적변동성

  • VT_IMPLIED: 내재변동성

Object.Volatility = Value

double(쓰기전용) - 계산하려는옵션종목의변동성

Object.ExpirDays = Value

double(쓰기전용) - 계산하려는옵션종목의잔존일수

Object.RFInterRate = Value

double(쓰기전용) - 무위험이자율

Object.DividRate = Value

double(쓰기전용) - 계산하려는옵션종목의배당액지수현재가치

Value = Object.TV

double(읽기전용) - 계산된이론가격

Value = Object.Delta

double(읽기전용) - 계산된델타값

Value = Object.Gamma

double(읽기전용) - 계산된감마값

Value = Object.Theta

double(읽기전용) - 계산된세타값

Value = Object.Vega

double(읽기전용) - 계산된베가값

Value = Object.Rho

double(읽기전용) - 계산된로값

Value = Object.IV

double(읽기전용) - 계산된내재변동성값

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