mafipy.function.black_scholes_call_delta

mafipy.function.black_scholes_call_delta(underlying, strike, rate, maturity, vol)

calculates black scholes delta.

\[\frac{\partial}{\partial S} c(S, K, r, T, \sigma) = \Phi(d_{1}(S))\]

where \(S\) is underlying, \(K\) is strike, \(r\) is rate, \(T\) is maturity, \(\sigma\) is volatility, \(\Phi\) is standard normal c.d.f, \(d_{1}\) is defined in func_d1().

Parameters:

• underlying (float) –
• strike (float) –
• rate (float) –
• maturity (float) – if maturity <= 0, this function returns 0.
• vol (float) – volatility. This must be positive.

Returns:

value of delta.

Return type:

float.