Esempio n. 1
0
        /// <summary>
        /// Gets the delta.
        /// </summary>
        /// <returns></returns>
        public double GetDelta()
        {
            double q   = EquityAnalytics.GetYieldCCLin365(_spot, 0, _tau, _divdays, _divamts, _rtdays, _rtamts);
            double fwd = EquityAnalytics.GetForwardCCLin365(_spot, _tau, _divdays, _divamts, _rtdays, _rtamts);
            double d1  = (Math.Log(fwd / _strike) + _vol * _vol * _tau / 2) / _vol / Math.Sqrt(_tau);
            double temp;

            if (!_isCall)
            {
                temp = BasicMath.Ndist(d1) - 1;
            }
            else
            {
                temp = BasicMath.Ndist(d1);
            }
            return(Math.Exp(-q * _tau) * temp);
        }