C# (CSharp) BlackFunctions.AbsoluteStrikeFromDelta Examples

Example #1

File: BlackFunctionsFacts.cs Project: biqueta/qwack

        public void AbsKFromDelta_Facts()
        {
            var vol    = 0.32;
            var fwd    = 100.0;
            var k      = 115.0;
            var t      = 1.5;
            var deltaK = Qwack.Options.BlackFunctions.BlackDelta(fwd, k, 0, t, vol, OptionType.C);

            Assert.Equal(k, (double)BlackFunctions.AbsoluteStrikeFromDelta(t, deltaK, fwd, vol, 0), 12);
        }