com.dxfeed.event.option

Class Greeks

java.lang.Object

com.dxfeed.event.market.MarketEvent

com.dxfeed.event.option.Greeks

All Implemented Interfaces:

EventType<String>, IndexedEvent<String>, LastingEvent<String>, TimeSeriesEvent<String>, Serializable

public class Greeks
extends MarketEvent
implements TimeSeriesEvent<String>, LastingEvent<String>

Greeks event is a snapshot of the option price, Black-Scholes volatility and greeks. It represents the most recent information that is available about the corresponding values on the market at any given moment of time.

Properties

Greeks event has the following properties:

• eventSymbol - symbol of this event;
• eventFlags - transactional event flags;
• index - unique per-symbol index of this event;
• time - timestamp of this event in milliseconds;
• sequence - sequence number of this event to distinguish events that have the same time;
• price - option market price;
• volatility - Black-Scholes implied volatility of the option;
• delta - option delta;
• gamma - option gamma;
• theta - option theta;
• rho - option rho;
• vega - option vega.

Event flags, transactions and snapshots

Some greeks sources provide a consistent view of the set of known greeks. The corresponding information is carried in eventFlags property. The logic behind this property is detailed in IndexedEvent class documentation. Multiple event sources for the same symbol are not supported for greeks, thus source property is always DEFAULT.

TimeSeriesEventModel class handles all the snapshot and transaction logic and conveniently represents a list current of time-series events order by their time. It relies on the code of AbstractIndexedEventModel to handle this logic. Use the source code of AbstractIndexedEventModel for clarification on transactions and snapshot logic.

Publishing Greeks

Publishing of greeks events follows the general rules explained in TimeSeriesEvent class documentation.

Implementation details

This event is implemented on top of QDS record Greeks.

See Also:

Serialized Form

Field Summary

Fields

Modifier and Type	Field and Description
static int	MAX_SEQUENCE Maximum allowed sequence value.

Fields inherited from interface com.dxfeed.event.IndexedEvent

REMOVE_EVENT, SNAPSHOT_BEGIN, SNAPSHOT_END, SNAPSHOT_MODE, SNAPSHOT_SNIP, TX_PENDING

Constructor Summary

Constructors

Constructor and Description
Greeks() Creates new greeks event with default values.
Greeks(String eventSymbol) Creates new greeks event with the specified event symbol.

Method Summary

Modifier and Type	Method and Description
double	getDelta() Return option delta.
int	getEventFlags() Returns transactional event flags.
double	getGamma() Returns option gamma.
long	getIndex() Returns unique per-symbol index of this event.
double	getPrice() Returns option market price.
double	getRho() Returns option rho.
int	getSequence() Returns sequence number of this event to distinguish events that have the same time.
IndexedEventSource	getSource() Returns a source identifier for this event, which is always DEFAULT for time-series events.
double	getTheta() Returns option theta.
long	getTime() Returns timestamp of the event in milliseconds.
double	getVega() Returns option vega.
double	getVolatility() Returns Black-Scholes implied volatility of the option.
void	setDelta(double delta) Changes option delta.
void	setEventFlags(int eventFlags) Changes transactional event flags.
void	setGamma(double gamma) Changes option gamma.
void	setIndex(long index) Changes unique per-symbol index of this event.
void	setPrice(double price) Changes option market price.
void	setRho(double rho) Changes option rho.
void	setSequence(int sequence) Changes getSequence() sequence number} of this event.
void	setTheta(double theta) Changes option theta.
void	setTime(long time) Changes timestamp of the event in milliseconds.
void	setVega(double vega) Changes option vega.
void	setVolatility(double volatility) Changes Black-Scholes implied volatility of the option.
String	toString() Returns string representation of this greeks event.

Methods inherited from class com.dxfeed.event.market.MarketEvent

getEventSymbol, getEventTime, setEventSymbol, setEventTime

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.dxfeed.event.TimeSeriesEvent

getEventId

Methods inherited from interface com.dxfeed.event.EventType

getEventSymbol, getEventTime, setEventSymbol, setEventTime

Field Detail

MAX_SEQUENCE

public static final int MAX_SEQUENCE

Maximum allowed sequence value.

See Also:

setSequence(int), Constant Field Values

Constructor Detail

Greeks

public Greeks()

Creates new greeks event with default values.

Greeks

public Greeks(String eventSymbol)

Creates new greeks event with the specified event symbol.

Parameters:

eventSymbol - event symbol.

Method Detail

getSource

public IndexedEventSource getSource()

Returns a source identifier for this event, which is always DEFAULT for time-series events.

Specified by:

getSource in interface IndexedEvent<String>

Specified by:

getSource in interface TimeSeriesEvent<String>

Returns:

a source identifier for this event, which is always DEFAULT for time-series events.

getEventFlags

public int getEventFlags()

Returns transactional event flags. See "Event Flags" section.

Specified by:

getEventFlags in interface IndexedEvent<String>

Returns:

transactional event flags.

setEventFlags

public void setEventFlags(int eventFlags)

Changes transactional event flags. See "Event Flags" section.

Specified by:

setEventFlags in interface IndexedEvent<String>

Parameters:

eventFlags - transactional event flags.

getIndex

public long getIndex()

Returns unique per-symbol index of this event. The index is composed of time and sequence. Changing either time or sequence changes event index.

Specified by:

getIndex in interface IndexedEvent<String>

Specified by:

getIndex in interface TimeSeriesEvent<String>

Returns:

unique index of this event.

setIndex

public void setIndex(long index)

Changes unique per-symbol index of this event. The index is composed of time and sequence and invocation of this method changes time and sequence. Do not use this method directly. Change time and/or sequence.

Specified by:

setIndex in interface IndexedEvent<String>

Parameters:

index - the event index.

See Also:

getIndex()

getTime

public long getTime()

Returns timestamp of the event in milliseconds.

Specified by:

getTime in interface TimeSeriesEvent<String>

Returns:

timestamp of the event in milliseconds

See Also:

System.currentTimeMillis()

setTime

public void setTime(long time)

Changes timestamp of the event in milliseconds.

Parameters:

time - timestamp of the event in milliseconds.

See Also:

getTime()

getSequence

public int getSequence()

Returns sequence number of this event to distinguish events that have the same time. This sequence number does not have to be unique and does not need to be sequential. Sequence can range from 0 to MAX_SEQUENCE.

setSequence

public void setSequence(int sequence)

Changes getSequence() sequence number} of this event.

Parameters:

sequence - the sequence.

Throws:

IllegalArgumentException - if sequence is below zero or above MAX_SEQUENCE.

See Also:

getSequence()

getPrice

public double getPrice()

Returns option market price.

Returns:

option market price.

setPrice

public void setPrice(double price)

Changes option market price.

Parameters:

price - option market price.

getVolatility

public double getVolatility()

Returns Black-Scholes implied volatility of the option.

Returns:

Black-Scholes implied volatility of the option.

setVolatility

public void setVolatility(double volatility)

Changes Black-Scholes implied volatility of the option.

Parameters:

volatility - Black-Scholes implied volatility of the option.

getDelta

public double getDelta()

Return option delta. Delta is the first derivative of an option price by an underlying price.

Returns:

option delta.

setDelta

public void setDelta(double delta)

Changes option delta.

Parameters:

delta - option delta.

getGamma

public double getGamma()

Returns option gamma. Gamma is the second derivative of an option price by an underlying price.

Returns:

option gamma.

setGamma

public void setGamma(double gamma)

Changes option gamma.

Parameters:

gamma - option gamma.

getTheta

public double getTheta()

Returns option theta. Theta is the first derivative of an option price by a number of days to expiration.

Returns:

option theta.

setTheta

public void setTheta(double theta)

Changes option theta.

Parameters:

theta - option theta.

getRho

public double getRho()

Returns option rho. Rho is the first derivative of an option price by percentage interest rate.

Returns:

option rho.

setRho

public void setRho(double rho)

Changes option rho.

Parameters:

rho - option rho.

getVega

public double getVega()

Returns option vega. Vega is the first derivative of an option price by percentage volatility.

Returns:

option vega.

setVega

public void setVega(double vega)

Changes option vega.

Parameters:

vega - option vega.

toString

public String toString()

Returns string representation of this greeks event.

Overrides:

toString in class Object

Returns:

string representation of this greeks event.