public static double DeltaToStrike(OptionType optionType, double delta, double spotPrice,
double maturityInYears, double standardDeviation, double riskFreeRate, double dividendRate)
{
double S = spotPrice;
double T = maturityInYears;
double sigma = standardDeviation;
double r = riskFreeRate;
double q = dividendRate;
double b = riskFreeRate - dividendRate;
double phi = optionType.Equals(OptionType.Call) ? 1.0 : -1.0;
double theta = (r - q) / sigma + sigma / 2;
double K = S * Math.Exp(-phi * NormalCdf.NormSInv(phi * delta * Math.Exp(q * T)) * sigma * Math.Sqrt(T) + sigma * theta * T);
return(K);
}
public void DoTestInverseNormalCdf(double U, double actual)
{
var A = NormalCdf.NormSInv(U);
Assert.AreEqual(A, actual, 1e-6);
}
