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.