Posted by
Luigi Ballabio on
Nov 26, 2012; 4:59pm
URL: http://quantlib.414.s1.nabble.com/Black-Vega-tp9359p9361.html
Fixed, thanks.
Luigi
On Mon, Nov 26, 2012 at 4:39 PM, Luigi Ballabio
<
[hidden email]> wrote:
> 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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