WebCab Options and Futures for COM v3.1

EuropeanDelta.CallDeltaWithExplicitTime Method 

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

public double CallDeltaWithExplicitTime(
   double price,
   double strike,
   double riskFreeRate,
   double volatility,
   double timeToMaturity
);

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

Return Value

The delta of the European call option.

See Also

EuropeanDelta Class | WebCab.COM.Finance.Options Namespace