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Re: Black Vega

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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