Example #1
0
        // below three functions assume time t and strike k is in good region
        private double GetFirstDerivativeToTime(double t, double k)
        {
            double forwardTime  = TimeBump.BumpForward(t);
            double backwardTime = TimeBump.BumpBackward(t);

            return((ImpliedVol.GetValue(forwardTime, k) - ImpliedVol.GetValue(backwardTime, k)) / (forwardTime - backwardTime));
        }