Class  Description 

Greeks 
Greeks event is a snapshot of the option price, BlackScholes volatility and greeks.

Series 
Series event is a snapshot of computed values that are available for all option series for
a given underlying symbol based on the option prices on the market.

TheoPrice 
Theo price is a snapshot of the theoretical option price computation that is
periodically performed by dxPrice
modelfree computation.

Underlying 
Underlying event is a snapshot of computed values that are available for an option underlying
symbol based on the option prices on the market.

European call and put options of the same series and strike satisfy callput parity equality of the following form: \[ C  P = {U \over Q(\tau) + 1}  {K \over R(\tau) + 1} \] where:
Nonstandard 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 the following 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.
BlackScholes formula can be directly expressed in the terms of simple returns \( Q(\tau) \) and \( R(\tau) \) \[ C = {U N(d_+) \over Q(\tau) + 1}  {K N(d_) \over R(\tau) + 1} = e^{r \tau} (F N(d_+)  K N(d_)) \] \[ P = {K N(d_) \over R(\tau) + 1}  {U N(d_+) \over Q(\tau) + 1} = e^{r \tau} (K N(d_)  F N(d_+)) \] \[ d_\pm = {1 \over \sigma(\tau)} ln \left[ {U (R(\tau) + 1) \over K (Q(\tau) + 1)} \right] \pm {1 \over 2} \sigma(\tau) = {1 \over \sigma(\tau)} ln \left[ {F \over K } \right] \pm {1 \over 2} \sigma(\tau) \] where:
Implied \( Q(\tau) \) and \( R(\tau) \) are computed by dxPrice for each option series and are distributed
in TheoPrice
event for each option and
in Series
event for each option series.
Both of these values are not necessarily nonnegative, 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
TheoPrice.getDividend
and
TheoPrice.getInterest
or
Series.getDividend
and
Series.getInterest
methods correspondingly.
Callput 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.
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