/// <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); }