WebCab Options and Futures for COM v3.1

EuropeanDelta.CallDeltaOnIndex Method 

Evaluates the Delta of a European call option on an index.

public double CallDeltaOnIndex(
   double yield,
   double indexValue,
   double strike,
   double riskFreeRate,
   double volatility,
   DateTime evaluationDate,
   DateTime maturityDate,
   string businessCalendarName
);

Parameters

yield
The continuous yield of the index given in decimal format (i.e. 1 percent = 0.01).
indexValue
The value of the index.
strike
The value of the index at which the option can be exercised.
riskFreeRate
The risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01).
volatility
The volatility of the index 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 value of the Delta of a European call option on an index.

See Also

EuropeanDelta Class | WebCab.COM.Finance.Options Namespace