WebCab Options and Futures for COM v3.1

EuropeanDelta.CallDeltaOnIndexWithExplicitTime Method 

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

public double CallDeltaOnIndexWithExplicitTime(
   double yield,
   double indexValue,
   double strike,
   double riskFreeRate,
   double volatility,
   double timeToMaturity
);

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

Return Value

The value of the Delta of a European call option on an index.

See Also

EuropeanDelta Class | WebCab.COM.Finance.Options Namespace