Posted by
Luigi Ballabio on
Dec 02, 2010; 11:53am
URL: http://quantlib.414.s1.nabble.com/SABR-model-tp265p269.html
On Tue, 2010-11-30 at 19:34 +0100, Eduardo Alonso wrote:
> Hello. The result of my calculation is (I used Maxima for the Taylor
> expansion -- I hope it is less error prone than myself)
>
> z/xx ~ 1 - 0.5 * rho * z - (3* rho * rho -2)*z*z/12
Ok, I've just committed the change to the Subversion repository.
Thanks,
Luigi
--
Debugging is twice as hard as writing the code in the first place.
Therefore, if you write the code as cleverly as possible, you are,
by definition, not smart enough to debug it.
-- Brian W. Kernighan
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