Given a Fixing YieldCurve, Discounting YieldCurve and a VolCurve, this function will display the at-the-money option delta matrix on each of the ('option maturity' / 'option underlying') instrument combination (for a unit notional).

You must provide the actual Option maturity and option underlying tenor arrays.

If the Fixing curve and the discounting curves are the same, enter the same key for both parameters.

This function requires the input of YieldCurve object keys, which must have been produced via a call to one of the YieldCurve (CapeTools Curves, CapeTools XCCY Curves or CapeTools Bond Curves) or Credit Default Curves (CapeTools Credit Curves) category of functions.

(You cannot use the DiscountCurve(), ForwardCurve(), ZeroCurve() or FlatYieldCurve() functions as these do not contain enough information for pricing.).

For the discounting yieldcurve, these additional 3 functions can also be used : DiscountCurve2(), ForwardCurve2() or ZeroCurve2(). These functions would have returned a string 'KEY' which is to be passed to the 'FixingYC' and 'DiscountYC' parameters of this function.

This function requires the input of a VolCurve object key, which must have been produced via a call to one of the following functions : ATMVolMatrix(), ExpiryKVolMatrix() or SABRVolCurve(). These functions would have returned a string 'KEY' which is to be passed to the 'VCKey' parameter of this function.

Variant CTQryCurves.QuickOptionDelta( _
String FixingYC, _
String DiscountYC, _
String VCKey, _
Variant OptMaturities, _
Variant UndMaturities, _
String OptionType)

=CT.RSK.QuickOptionDelta(
Excel String Cell FixingYC,
Excel String Cell DiscountYC,
Excel String Cell VCKey,
XLRange OptMaturities,
XLRange UndMaturities,
Excel String Cell OptionType)

static CTRangeDataCPP QuickOptionDelta(
std::string FixingYC,
std::string DiscountYC,
std::string VCKey,
CTRangeDataCPP OptMaturities,
CTRangeDataCPP UndMaturities,
std::string OptionType);

CTRangeData CTQryCurvesSA.QuickOptionDelta(
System.String FixingYC,
System.String DiscountYC,
System.String VCKey,
CTRangeData OptMaturities,
CTRangeData UndMaturities,
System.String OptionType);

CTQL.CTRangeData QuickOptionDelta_OptMaturities;


string[] arrBQuickOptionDelta_OptMaturities = {
"3M",
"6M",
"1Y",
"2Y",
"3Y",
"5Y",
"7Y",
"10Y"  //  Array Data

};

CTQL.StringVector arrQuickOptionDelta_OptMaturities =
new  CTQL.StringVector(arrBQuickOptionDelta_OptMaturities);

// Second parameter determines whether the array is a column array (false) or a row array (true)
QuickOptionDelta_OptMaturities = new  CTQL.CTRangeData(arrQuickOptionDelta_OptMaturities, false);

CTQL.CTRangeData QuickOptionDelta_UndMaturities;


string[] arrBQuickOptionDelta_UndMaturities = {
"3M",
"6M",
"1Y",
"2Y",
"3Y",
"5Y",
"7Y",
"10Y",
"15Y",
"20Y"  //  Array Data

};

CTQL.StringVector arrQuickOptionDelta_UndMaturities =
new  CTQL.StringVector(arrBQuickOptionDelta_UndMaturities);

// Second parameter determines whether the array is a column array (false) or a row array (true)
QuickOptionDelta_UndMaturities = new  CTQL.CTRangeData(arrQuickOptionDelta_UndMaturities, false);

The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.