public virtual double vega(double strike, double discount = 1.0)
{
double?atm = atmLevel();
Utils.QL_REQUIRE(atm != null, () =>
"smile section must provide atm level to compute option vega");
if (volatilityType() == VolatilityType.ShiftedLognormal)
{
return(Utils.blackFormulaVolDerivative(strike, atmLevel().Value,
Math.Sqrt(variance(strike)),
exerciseTime(), discount, shift()) * 0.01);
}
else
{
Utils.QL_FAIL("vega for normal smilesection not yet implemented");
}
return(0);
}
