Function delta
pub fn delta(
forward: f64,
strike: f64,
vol: f64,
expiry: f64,
df_base: f64,
convention: DeltaConvention,
kind: OptionKind,
) -> f64Expand description
The signed Garman-Kohlhagen delta of a vanilla under convention, per
unit base notional — calls positive, puts negative. Passive contract-term
arithmetic: this is how a trade is described, not how it is priced.