WebCab Options and Futures for COM v3.1

EuropeanDelta.CallDeltaOnCurrency Method 

Evaluates the Delta of a European call option on a currency.

public double CallDeltaOnCurrency(
   double foreignRate,
   double exchangeRate,
   double strike,
   double riskFreeRate,
   double volatility,
   DateTime evaluationDate,
   DateTime maturityDate,
   string businessCalendarName
);

Parameters

foreignRate
The continuously compounded risk free interest rate in the foreign currency in decimal format (i.e. 1 percent = 0.01).
exchangeRate
The present exchange rate.
strike
The exchange rate at which the option can be exercised.
riskFreeRate
The risk free interest rate in the base currency expressed in decimal format (i.e. 1 percent = 0.01).
volatility
The volatility of the exchange rate 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 on a currency.

See Also

EuropeanDelta Class | WebCab.COM.Finance.Options Namespace