I need to calculate delta from the given parameters, but apparently the formula is incorrect.
Here’s the link to the formula:
In the method, d1 does not seem to include rate at BlackScholesFormulaRepository:200
d1 = Math.log(spot / strike) / sigmaRootT + scnd + 0.5 * sigmaRootT;
Here’s a slight modification which is giving me the correct output:
d1 = (Math.log(spot / strike) + interestRate * timeToExpiry)/ sigmaRootT + scnd + 0.5 * sigmaRootT;
Please let me know if this is correct or if this has some other interpretation