public override double derivative(double stdDev)
{
#if QL_EXTRA_SAFETY_CHECKS
QL_REQUIRE(stdDev >= 0.0,
"stdDev (" << stdDev << ") must be non-negative");
#endif
double signedD1 = signedMoneyness_ / stdDev + halfOptionType_ * stdDev;
return(signedForward_ * N_.derivative(signedD1));
}
public override double value(double stdDev)
{
#if QL_EXTRA_SAFETY_CHECKS
Utils.QL_REQUIRE(stdDev >= 0.0, () => "stdDev (" + stdDev + ") must be non-negative");
#endif
if (stdDev.IsEqual(0.0))
{
return(Math.Max(signedForward_ - signedStrike_, 0.0)
- undiscountedBlackPrice_);
}
double temp = halfOptionType_ * stdDev;
double d = signedMoneyness_ / stdDev;
double signedD1 = d + temp;
double signedD2 = d - temp;
double result = signedForward_ * N_.value(signedD1)
- signedStrike_ * N_.value(signedD2);
// numerical inaccuracies can yield a negative answer
return(Math.Max(0.0, result) - undiscountedBlackPrice_);
}
// Returns the new normal vector according to the bump map
public V3 bumpN(V3 N, float u, float v)
{
V3 N_, dM_du, dM_dv;
V3 dMdu, dMdv;
float dhdu = 0, dhdv = 0;
bump_map.Bump(u, v, out dhdu, out dhdv);
partialM(u, v, out dMdu, out dMdv);
//M_ = M'
dM_du = dMdu + k * dhdu * N;
dM_dv = dMdv + k * dhdv * N;
N_ = dM_du ^ dM_dv;
N_.Normalize();
return(N_);
}
