/src/main/java/net/finmath/equities/pricer/AnalyticOptionValuation.java
return Black76Model.optionDelta( price , ttm , discount , forward) ( 1.0, adjustedStrike / adjustedForward, ttm,
return Black76Model.optionImpliedVolatility ( 1.0, adjustedStrike / adjustedForward, ttm,
final var ttm = dcc.getDaycountFraction(forwardStructure.getValuationDate(), expiryDate); final var forward = forwardStructure.getForward(expiryDate); final var discount = discountCurve.getDiscountFactor(expiryDate); final var adjustedForward = forwardStructure.getDividendAdjustedStrike(forward, expiryDate); final var adjustedStrike = forwardStructure.getDividendAdjustedStrike(option.getStrike(), expiryDate); final var undiscountedPrice = price / discount / adjustedForward; <extra_id_0> undiscountedPrice, option.isCallOption()); } }