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strike_from_delta

Function strike_from_delta 

pub fn strike_from_delta(
    target: f64,
    forward: f64,
    vol: f64,
    expiry: f64,
    df_base: f64,
    convention: DeltaConvention,
) -> Result<f64, DeltaError>
Expand description

The strike whose signed delta is target under convention.

Unadjusted conventions invert in closed form, K = F·exp(−ω·Φ⁻¹(ω·Δ/scale)·σ√τ + σ²τ/2). Premium-adjusted deltas are solved by bisection — a put over the full bracket (its PA delta is monotone in strike), a call on the market branch at and above the delta peak (the PA call delta is hump-shaped; quotes refer to the high-strike side).

§Errors

DeltaError::InvalidDelta for zero, or a magnitude the convention cannot reach; DeltaError::SolveFailed if the bisection cannot bracket.