/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.surface;
import org.apache.commons.lang.Validate;
/**
* The 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 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.
*/
public class Delta implements StrikeType {
private final double _value;
public Delta(final double value) {
Validate.isTrue(value >= 0 && value <= 1.0, "Delta must be in the range (0,1)");
_value = value;
}
@Override
public double value() {
return _value;
}
@Override
public Delta with(double value) {
return new Delta(value);
}
}