Re: [Quantlib-dev] strange formula

[Luigi B. <lui...@gm...>]

On Wed, 2009-10-21 at 07:42 +1100, Mark joshi wrote:
> It does look wrong. All terms should be discounted equally.
> 
> I am a little surprised that the tests for Normal BGM work if the
> Bachelier formula is wrong.

In the current test, all cases are at-the-money forward so d=0 and it
doesn't matter whether d*phi(h) is discounted or not.

Luigi


-- 

No, I'm not interested in developing a powerful brain. All I'm after 
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-- Alan Turing on the possibilities of a thinking machine, 1943.