Function node_strike_in
fn node_strike_in<R: Scalar>(
quote: DeltaQuote,
vol: R,
forward: R,
expiry: f64,
df_base: R,
convention: DeltaConvention,
) -> Result<R, FxVolError>Expand description
The strike at which an option of the quote’s kind has the quote’s delta,
under convention, at the node’s own vol — the forward, the discount
factor and the vol in the mode, so the strike carries their adjoints.
The unadjusted conventions invert in closed form. A premium-adjusted
quote is solved passively on the market branch by
strike_from_delta and the
solution reattached through the implicit-function rule: the delta
residual in the mode, divided by its passive slope in strike, is what a
move of the inputs does to the strike — the value reproduced exactly, the
first derivatives carried.