Module fx_option 

Garman-Kohlhagen conventions: the delta-neutral ATM strike and strike-from-delta under the four market delta conventions.

These describe a trade — a desk quotes “25-delta call” and books the strike that resolves to — and are passive f64 arithmetic, as passive-trade-terms prescribes for contract terms. The pricing of the option is black76 on the pair forward with the vol in the mode; the signed delta lives one layer down with the vol surface that needs it to place its nodes, and is re-exported here.

Re-exports

pub use crate::marketdata::fx_vol::DeltaConvention;

pub use crate::marketdata::fx_vol::delta;

Enums

DeltaError

A delta↔strike conversion that cannot be made.

Functions

atm_delta_neutral_strike

The delta-neutral ATM strike: F·e^{+σ²τ/2} for the unadjusted conventions, F·e^{−σ²τ/2} premium-adjusted — the strike at which a straddle’s delta is zero.

strike_from_delta

The strike whose signed delta is target under convention.