Timeline for Calculate strike from Black Scholes delta
Current License: CC BY-SA 3.0
6 events
| when toggle format | what | by | license | comment | |
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| May 22, 2017 at 18:14 | comment | added | FinanceGuyThatCantCode | in that case 1M is approximately 1/12. Or if you prefer, use the number of days in month/365 - i.e. 30/365 if the option starts in April and 31/365 if May. However, if you need real accuracy, then you will need all the holiday calendars and conventions as discussed in the link I provided above. | |
| May 22, 2017 at 17:25 | comment | added | Sanjay | So, for for 1 month option, the the time $T$ is approximately $T=(30/365)$ ? I am not sure if I have understood it correctly. | |
| May 22, 2017 at 13:48 | comment | added | FinanceGuyThatCantCode | @Sanjay - Bloomberg FX uses calendar days for their vol calculations. So ACT/365 is the convention - it might be ACT/ACT to handle leap years better, but I believe it is ACT/365. So, you need the (exact expiration date-today's date)/365. Calculating the expiration date from tenors is complicated actually. I coded it up once - I did not enjoy that. A mostly complete description of what to do is at: en.wikipedia.org/wiki/Foreign_exchange_date_conventions There are a couple other exceptions to the rules described here, but this will get you 95% of the way there. | |
| May 22, 2017 at 13:37 | comment | added | Sanjay | Thanks, @FinanceGuyThatCantCode. I am struggling with the Time parameter. It makes a huge difference whether I use days, months etc. If I use $T=1/12$ (years) for the 1 month options I get my points really really close the ATM than if I use $T=21$ (days). By looking at the example provided above, What's the correct way of measuring time $T$ | |
| Apr 22, 2017 at 14:31 | vote | accept | Sanjay | ||
| Apr 21, 2017 at 13:29 | history | answered | FinanceGuyThatCantCode | CC BY-SA 3.0 |