Black Vega

Posted by Peter Caspers-4 on Nov 12, 2012; 10:49am
URL: http://quantlib.414.s1.nabble.com/Black-Vega-tp9359.html

Hi,

 

in blackformula.cpp , blackFormulaStdDevDerivative(...) the limit case stdDev == 0.0 seems to be treated false, lines 307ff

 

if (stdDev==0.0) {
            if (forward>strike)
                return discount * forward;
            else
                return 0.0;
        }

 

should be

 

if (stdDev==0.0) return 0.0;

 

because \phi(x) -> 0 whenever |x| -> \infty, right ?

 

Thanks

Peter

 

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