WebCab Options and Futures for COM v3.1

EuropeanDelta.PutDeltaWithYieldWithExplicitTime Method 

Evaluates the Delta of a European put option on an asset which has a continuous yield.

public double PutDeltaWithYieldWithExplicitTime(
   double yield,
   double assetPrice,
   double strike,
   double riskFreeRate,
   double volatility,
   double timeToMaturity
);

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).
timeToMaturity
Time (in years) until the option matures.

Return Value

The delta of the European put option where the underlying asset pays a continuous yield.

See Also

EuropeanDelta Class | WebCab.COM.Finance.Options Namespace