Beispiel #1
0
        private double GetFirstDerivativeToStrike(double t, double k)
        {
            double forwardPrice  = PriceBump.BumpForward(k);
            double backwardPrice = PriceBump.BumpBackward(k);

            return((ImpliedVol.GetValue(t, forwardPrice) - ImpliedVol.GetValue(t, backwardPrice)) / (forwardPrice - backwardPrice));
        }