wehub-resource-sync
76 lines
2.5 KiB
C#
76 lines
2.5 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 System;
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namespace QuantConnect.Data.Market
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{
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/// <summary>
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/// Defines the greeks
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/// </summary>
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internal class ModeledGreeks : Greeks
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{
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private Lazy<decimal> _delta;
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private Lazy<decimal> _gamma;
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private Lazy<decimal> _vega;
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private Lazy<decimal> _theta;
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private Lazy<decimal> _rho;
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private Lazy<decimal> _lambda;
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/// <summary>
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/// Gets the delta
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/// </summary>
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public override decimal Delta => _delta.Value;
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/// <summary>
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/// Gets the gamma
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/// </summary>
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public override decimal Gamma => _gamma.Value;
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/// <summary>
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/// Gets the vega
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/// </summary>
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public override decimal Vega => _vega.Value;
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/// <summary>
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/// Gets the theta
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/// </summary>
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public override decimal Theta => _theta.Value;
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/// <summary>
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/// Gets the rho
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/// </summary>
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public override decimal Rho => _rho.Value;
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/// <summary>
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/// Gets the lambda
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/// </summary>
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public override decimal Lambda => _lambda.Value;
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/// <summary>
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/// Initializes a new instance of the <see cref="ModeledGreeks"/> class
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/// </summary>
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public ModeledGreeks(Func<decimal> delta, Func<decimal> gamma, Func<decimal> vega, Func<decimal> theta, Func<decimal> rho, Func<decimal> lambda)
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{
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_delta = new Lazy<decimal>(delta, isThreadSafe: false);
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_gamma = new Lazy<decimal>(gamma, isThreadSafe: false);
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_vega = new Lazy<decimal>(vega, isThreadSafe: false);
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_theta = new Lazy<decimal>(theta, isThreadSafe: false);
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_rho = new Lazy<decimal>(rho, isThreadSafe: false);
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_lambda = new Lazy<decimal>(lambda, isThreadSafe: false);
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}
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}
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}
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