wehub-resource-sync
79 lines
3.5 KiB
C#
79 lines
3.5 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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using System.Runtime.CompilerServices;
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namespace QuantConnect.Util
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{
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/// <summary>
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/// Static class containing useful methods related with options payoff
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/// </summary>
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public static class OptionPayoff
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{
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/// <summary>
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/// Intrinsic value function of the option
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/// </summary>
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/// <param name="underlyingPrice">The price of the underlying</param>
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/// <param name="strike">The strike price of the option</param>
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/// <param name="right">The option right of the option, call or put</param>
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/// <returns>The intrinsic value remains for the option at expiry</returns>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static decimal GetIntrinsicValue(decimal underlyingPrice, decimal strike, OptionRight right)
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{
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return Math.Max(0.0m, GetPayOff(underlyingPrice, strike, right));
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}
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/// <summary>
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/// Intrinsic value function of the option
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/// </summary>
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/// <param name="underlyingPrice">The price of the underlying</param>
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/// <param name="strike">The strike price of the option</param>
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/// <param name="right">The option right of the option, call or put</param>
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/// <returns>The intrinsic value remains for the option at expiry</returns>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static double GetIntrinsicValue(double underlyingPrice, double strike, OptionRight right)
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{
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return Math.Max(0.0, GetPayOff(underlyingPrice, strike, right));
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}
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/// <summary>
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/// Option payoff function at expiration time
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/// </summary>
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/// <param name="underlyingPrice">The price of the underlying</param>
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/// <param name="strike">The strike price of the option</param>
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/// <param name="right">The option right of the option, call or put</param>
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/// <returns></returns>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static decimal GetPayOff(decimal underlyingPrice, decimal strike, OptionRight right)
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{
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return right == OptionRight.Call ? underlyingPrice - strike : strike - underlyingPrice;
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}
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/// <summary>
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/// Option payoff function at expiration time
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/// </summary>
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/// <param name="underlyingPrice">The price of the underlying</param>
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/// <param name="strike">The strike price of the option</param>
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/// <param name="right">The option right of the option, call or put</param>
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/// <returns></returns>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static double GetPayOff(double underlyingPrice, double strike, OptionRight right)
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{
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return right == OptionRight.Call ? underlyingPrice - strike : strike - underlyingPrice;
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}
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}
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}
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