How to make ColorDialog to allow to set chosen color's transparency?

I don't see any fields available for that. I tried all this:

        ColorDialog cd = new ColorDialog();
        cd.AnyColor = true;
        cd.AllowFullOpen = true;
        cd.SolidColorOnly = false;   

but it probably does something else.

Maybe there is WPF color picker that I could use on WPFHost element?