Re: [Quantlib-dev] Black Vega

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

Yes, you're correct.  I'll fix it.

Luigi


On Mon, Nov 12, 2012 at 11:49 AM, Peter Caspers <pca...@gm...> 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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