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atm_delta_neutral_strike

Function atm_delta_neutral_strike 

pub fn atm_delta_neutral_strike(
    forward: f64,
    vol: f64,
    expiry: f64,
    convention: DeltaConvention,
) -> f64
Expand description

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.