Posted by
Luigi Ballabio on
Nov 26, 2012; 3:39pm
URL: http://quantlib.414.s1.nabble.com/Black-Vega-tp9359p9360.html
Yes, you're correct. I'll fix it.
Luigi
On Mon, Nov 12, 2012 at 11:49 AM, Peter Caspers <
[hidden email]> wrote:
> 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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