[Quantlib-dev] Black Vega

[Peter C. <pca...@gm...>]

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