Class DeltaStrike

  • All Implemented Interfaces:
    Strike, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

    public final class DeltaStrike
    extends Object
    implements Strike, org.joda.beans.ImmutableBean, Serializable
    A strike based on absolute delta.

    The absolute delta of a call option, D_c. This is in the range (0,1), where 0.5 is ATM (Delta-Neutral Straddle DNS), D_c > 0.5 are ITM and D_c < 0.5 are OTM options. The absolute delta of a put option is related by D_p = D_c - 1. Since prices are normally quoted for OTM options, D_c < 0.5 will be from calls, while D_c > 0.5 (D_p > -0.5) will be from puts.

    See Also:
    Serialized Form
    • Method Detail

      • of

        public static DeltaStrike of​(double delta)
        Obtains an instance of Delta with the value of absolute delta.
        delta - the value of absolute delta
        the instance
      • getType

        public StrikeType getType()
        Description copied from interface: Strike
        Gets the type of the strike.
        Specified by:
        getType in interface Strike
        the strike type
      • withValue

        public DeltaStrike withValue​(double value)
        Description copied from interface: Strike
        Creates an new instance of the same strike type with value.
        Specified by:
        withValue in interface Strike
        value - the new value
        the new strike instance
      • meta

        public static DeltaStrike.Meta meta()
        The meta-bean for DeltaStrike.
        the meta-bean, not null
      • metaBean

        public DeltaStrike.Meta metaBean()
        Specified by:
        metaBean in interface org.joda.beans.Bean
      • getValue

        public double getValue()
        Gets the value of absolute delta.
        Specified by:
        getValue in interface Strike
        the value of the property
      • hashCode

        public int hashCode()
        hashCode in class Object