WebCab Options and Futures for COM v3.1

EuropeanDelta.CallDeltaOnCurrencyWithExplicitTime Method 

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

public double CallDeltaOnCurrencyWithExplicitTime(
   double foreignRate,
   double exchangeRate,
   double strike,
   double riskFreeRate,
   double volatility,
   double timeToMaturity
);

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).
timeToMaturity
The time (in years) until the option matures.

Return Value

The Delta of the European call option on a currency.

See Also

EuropeanDelta Class | WebCab.COM.Finance.Options Namespace