C# (CSharp) FlyAdjustment DeltaCalculator.CalcDeltaValueの例

コード例 #1

 private static double CalcPutStrike(double strike)
 {
     return(DeltaCalculator.CalcDeltaValue(
                Param,
                Forward,
                strike,
                VolCalculator(strike, VolParameter),
                InitialTerm.CallPutType.put,
                Param.deltaType) + 0.25);
 }

コード例 #2

 private double DeltaFunctionOfStrike(double strike)
 {
     return(DeltaCalculator.CalcDeltaValue(
                Param,
                Forward,
                strike,
                Volatility,
                Type,
                DeltaType) - (int)Type * Number);
 }