WebCab Options and Futures for COM v3.1

EuropeanDelta.CallDeltaWithYield Method 

Calculates the Delta of a European call option on an asset which has a continuous yield.

public double CallDeltaWithYield(
   double yield,
   double assetPrice,
   double strike,
   double riskFreeRate,
   double volatility,
   DateTime evaluationDate,
   DateTime maturityDate,
   string businessCalendarName
);

Parameters

yield
The continuous yield of the underlying asset during the life of the option contract given in decimal format (i.e. 1 percent = 0.01).
assetPrice
The stock (index or currency) price at the point of evaluation.
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).
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 where the underlying asset pays a continuous yield.

See Also

EuropeanDelta Class | WebCab.COM.Finance.Options Namespace