Video version:
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:
δ=N(d1) −1 where d1= (ln(S/K)+(r-q+σ^2/2)t)/σ√ t
K - Option strike price N - Standard normal cumulative distribution function r - Risk free interest rate q - Dividend Yield σ - Volatility of the underlying S - Price of the underlying t - Time to option's expiry
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def delta(tp :String,S:Double,K:Double,vol:Double,tt:Int,q:Double=0.0,r:Double=0.0) = {
val t = tt/366.0
val d1 = (scala.math.log(S/K)+(r-q+vol*vol/2)*t)/(vol*sqrt(t))
new NormalDistribution(0.0, 1.0).cumulativeProbability(d1) - (if (tp=="P") 1 else 0) }
:
[info] Done compiling.
-0.12389190331572086
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