/// <summary> /// Computes forward gamma of an option in the normally distributed assets hypothesis (Bachelier model). /// </summary> /// <param name="option"> the option description </param> /// <param name="data"> the model data </param> /// <returns> gamma </returns> public double getGamma(EuropeanVanillaOption option, NormalFunctionData data) { ArgChecker.notNull(option, "option"); ArgChecker.notNull(data, "data"); return(data.Numeraire * NormalFormulaRepository.gamma(data.Forward, option.Strike, option.TimeToExpiry, data.NormalVolatility, option.PutCall)); }