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java.lang.Objectcom.dxfeed.event.market.MarketEvent
com.dxfeed.event.option.TheoPrice
public class TheoPrice
Theo price is a snapshot of the theoretical option price computation that is periodically performed by dxPrice model-free computation. It represents the most recent information that is available about the corresponding values at any given moment of time. The values include first and second order derivative of the price curve by price, so that the real-time theoretical option price can be estimated on real-time changes of the underlying price in the vicinity.
European call and put options of the same series and strike satisfy call-put parity equality of the following form: \[ C - P = {U \over Q(\tau) + 1} - {K \over R(\tau) + 1} \] where:
Non-standard or adjusted options (when the number of underlying deliverables per contract is different from the option price dollar value multiplier) strike price and/or option prices may be represented in different units that underlying price. For the purposes of the above formulae both strike price, call price, and put price has to be represented in the same units as the underlying price using an appropriate additional multipliers.
Here, the simple dividend return and interest return are related to the annualized continuously compounded dividend yield \(q\) and the annualized continuously compounded interest rate \(r\) via simple formulae: \[ Q(\tau) = e^{q \tau} - 1 \] \[ R(\tau) = e^{r \tau} - 1 \] where \(\tau\) is the duration of the option represented in fractions of a year.
Note, that Black-Scholes formula can be directly expressed in the terms of simple returns \( Q(\tau) \) and \( R(\tau) \) \[ C = {U N(d_+) \over Q(\tau) + 1} - {K N(d_-) \over R(\tau) + 1} \] \[ P = {K N(-d_-) \over R(\tau) + 1} - {U N(-d_+) \over Q(\tau) + 1} \] \[ d_\pm = {1 \over \sigma(\tau)} ln \left[ {U (R(\tau) + 1) \over K (Q(\tau) + 1)} \right] \pm {1 \over 2} \sigma(\tau) \] where:
Implied \( Q(\tau) \) and \( R(\tau) \) are computed by dxPrice for each option series and are distributed in this TheoPrice event for each option. Both of these values are not necessarily non-negative, because they represent a mix of different factors and correspond to effective dividends and interests experienced by option market makers, while include such factors as cost of carry for both the underlying instrument and for the underlying currency.
Implied simple dividend rate \( Q(\tau) \) and interest rate \( R(\tau) \) are available via
getDividend()
and getInterest()
methods correspondingly.
Call-put parity for American options is an inequality of the following form: \[ C - P \ge U - K \]
Implied simple dividend return \( Q(\tau) \) and simple interest return \( R(\tau) \) are considered to be zero for American options.
TheoPrice
.
Constructor Summary | |
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TheoPrice()
Creates new theo price object with default values. |
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TheoPrice(String eventSymbol)
Creates new theo price object with the specified event symbol. |
Method Summary | |
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double |
getDelta()
Returns delta of the theoretical price. |
double |
getDividend()
Returns implied simple dividend return of the corresponding option series. |
double |
getGamma()
Returns gamma of the theoretical price. |
double |
getInterest()
Returns implied simple interest return of the corresponding option series. |
double |
getPrice()
Returns theoretical option price. |
long |
getTime()
Returns time of the last theo price computation. |
double |
getUnderlyingPrice()
Returns underlying price at the time of theo price computation. |
void |
setDelta(double delta)
Changes delta of the theoretical price. |
void |
setDividend(double dividend)
Changes implied simple dividend return of the corresponding option series. |
void |
setGamma(double gamma)
Changes gamma of the theoretical price. |
void |
setInterest(double interest)
Changes implied simple interest return of the corresponding option series. |
void |
setPrice(double price)
Changes theoretical option price. |
void |
setTime(long time)
Changes time of the last theo price computation. |
void |
setUnderlyingPrice(double underlyingPrice)
Changes underlying price at the time of theo price computation. |
String |
toString()
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Methods inherited from class com.dxfeed.event.market.MarketEvent |
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getEventSymbol, setEventSymbol |
Methods inherited from class java.lang.Object |
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clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait |
Constructor Detail |
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public TheoPrice()
public TheoPrice(String eventSymbol)
eventSymbol
- event symbol.Method Detail |
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public long getTime()
public void setTime(long time)
time
- time of the last theo price computation.public double getPrice()
public void setPrice(double price)
price
- theoretical option price.public double getUnderlyingPrice()
public void setUnderlyingPrice(double underlyingPrice)
underlyingPrice
- underlying price at the time of theo price computation.public double getDelta()
public void setDelta(double delta)
delta
- delta of the theoretical price.public double getGamma()
public void setGamma(double gamma)
gamma
- gamma of the theoretical price.public double getDividend()
public void setDividend(double dividend)
dividend
- implied simple dividend return of the corresponding option series.public double getInterest()
public void setInterest(double interest)
interest
- implied simple interest return of the corresponding option series.public String toString()
toString
in class Object
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