Re: [Quantlib-dev] Black Vega

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

Fixed, thanks.

Luigi

On Mon, Nov 26, 2012 at 4:39 PM, Luigi Ballabio
<lui...@gm...> wrote:
> 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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