WebCab Options and Futures for COM v3.1

EuropeanDelta.PutDeltaOnIndex Method 

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

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

Parameters

yield
The continuous yield of the index in decimal format (i.e. 1 percent = 0.01).
indexValue
The value of the index.
strike
The strike of the option contract. Here the strike represents the price at which the underlying index can be purchased.
riskFreeRate
The risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01).
volatility
The volatility of the index in decimal format (i.e. 1 percent = 0.01).
evaluationDate
The date when the delta of the European put option is evaluated.
maturityDate
The maturity date of the put option.
businessCalendarName
The name of one of the implemented business calendars, "London" by default.

Return Value

The Delta of the European put option on the index.

See Also

EuropeanDelta Class | WebCab.COM.Finance.Options Namespace