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node_strike_in

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.