/// <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);
}
