WebCab Options and Futures for COM v3.1

EuropeanDelta.PutDeltaWithExplicitTime Method 

Calculates the Delta of a European put option on a non-dividend paying stock.

public double PutDeltaWithExplicitTime(
   double stockPrice,
   double strike,
   double riskFreeRate,
   double volatility,
   double timeToMaturity
);

Parameters

stockPrice
The stock 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).
timeToMaturity
Time to the maturity of the option (in years).

Return Value

The delta of the European put option.

See Also

EuropeanDelta Class | WebCab.COM.Finance.Options Namespace