NIM5 , will pull up equity linked securities and you can input a date range if you toggle the Issue History radio button.


You have a conversion ratio of $100/12.1 \approx 8.26$, so the convertibility is an option on about 8 underlying stocks and the delta scales accordingly. I'm not familiar about the way it's quoted, though. Did you expect it to be the delta for one unit of stock?


OK, here is what I think. (But you should ask for advice from others in this forum or elsewhere). You computed $\frac{dC}{dK}$ (the dual delta) by a discrete approximation. The result is negative and this is correct (it is negative for a Call and Positive for a Put). In the case of a European Call it is given by the formula $-e^{-r T}N(d_2)$. (See here for ...

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