Black delta calculator bindings

Standalone immutable FX delta and strike conversion wraps the adopted native BlackDeltaCalculator. This adds no pricing engine, calibration or numerical implementation. Create a new calculator to change option or delta convention; native setters are deliberately not exposed.

Conventions

The existing option mapping is unchanged: C/Go/Python use 0 = Call, 1 = Put. These are not the native Rust option's signed discriminants.

Delta value	C suffix ITOFIN_DELTA_	Go	Python DeltaType
0	SPOT	DeltaSpot	Spot
1	FWD	DeltaFwd	Fwd
2	PA_SPOT	DeltaPaSpot	PaSpot
3	PA_FWD	DeltaPaFwd	PaFwd

ATM value	C suffix ITOFIN_ATM_	Go	Python AtmType
0	NULL	AtmNull	Null
1	SPOT	AtmSpot	Spot
2	FWD	AtmFwd	Fwd
3	DELTA_NEUTRAL	AtmDeltaNeutral	DeltaNeutral
4	VEGA_MAX	AtmVegaMax	VegaMax
5	GAMMA_MAX	AtmGammaMax	GammaMax
6	PUT_CALL_50	AtmPutCall50	PutCall50

C values are explicit stable integer constants, with unknown values rejected. Null cannot calculate an ATM strike. PutCall50 requires unadjusted Fwd, not PaFwd. Gamma/vega maxima use the native positive exponential even for premium-adjusted conventions. Python enums live in itofin.quotes.

Python

from itofin.instruments import OptionType
from itofin.pricingengines import BlackDeltaCalculator
from itofin.quotes import DeltaType, AtmType

calc = BlackDeltaCalculator(
    OptionType.Call, DeltaType.PaFwd, 1.421, .997306, .992266, .1180654
)
delta = calc.delta_from_strike(1.6)
strike = calc.strike_from_delta(.15)
atm = calc.atm_strike(AtmType.DeltaNeutral)

Go and C

Go creates the same owned immutable object using session.NewBlackDeltaCalculator(Call, DeltaPaFwd, spot, domesticDF, foreignDF, stdDev). Methods are DeltaFromStrike, StrikeFromDelta and AtmStrike. Close the calculator and its session explicitly. Session calls serialize on their native worker thread; handles cannot be used with another session.

C uses itofin_black_delta_new, itofin_black_delta_delta_from_strike, itofin_black_delta_strike_from_delta and itofin_black_delta_atm_strike. Release the handle with itofin_handle_release. Scalar/handle outputs are written only on success. Context thread confinement and the C caller contract still apply.

Domains and ambiguity

• Spot and domestic/foreign discount factors must be finite and positive.
• std_dev is finite nonnegative volatility times square root of time. There is no separate time input. Unrepresentable derived forwards or strikes return errors rather than nonfinite results.
• delta_from_strike accepts finite nonnegative strikes and zero deviation. Premium-adjusted put deltas can be less than minus one and are not clamped.
• Inversion requires positive deviation and an interior delta with the option sign, scaled by foreign discount for spot conventions. Boundary, wrong-sign, infeasible and numerically unresolved deltas are errors, as in the core.
• Premium-adjusted calls have two strike roots. Inversion deliberately selects the high-strike branch, so strike-delta-strike is not an identity for a low-strike input. Delta-strike-delta remains the appropriate roundtrip.

The binding tests reuse the core's eight compiled QuantLib 1.43 fixture rows without changing their values or tolerances. They are retained reference data, not a claim that QuantLib was freshly run by these binding tests.