WebCab Options and Futures for COM v3.1

EuropeanDelta.CallDelta Method 

Calculates the Delta of a European call option on a non-dividend paying equity investment.

public double CallDelta(
   double price,
   double strike,
   double riskFreeRate,
   double volatility,
   DateTime evaluationDate,
   DateTime maturityDate,
   string businessCalendarName
);

Parameters

price
The price of the underlying equity investment.
strike
The strike of the European call option.
riskFreeRate
The continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01).
volatility
Volatility of the underlying asset given in decimal format (i.e. 1 percent = 0.01).
evaluationDate
The date when the delta of the European call option is evaluated.
maturityDate
The maturity date of the call option.
businessCalendarName
The name of one of the implemented business calendars, "London" by default.

Return Value

The delta of the European call option.

See Also

EuropeanDelta Class | WebCab.COM.Finance.Options Namespace