Ok, after ages I've started working on this, I plan to add some new FX machinery to QuantLib.
Question:
In the BlackCalculator constructor we have
if (stdDev_>=QL_EPSILON) {
...
}
else{
if (forward>strike_) {
cum_d1_ = 1.0;
cum_d2_= 1.0;
} else {
cum_d1_ = 0.0;
cum_d2_= 0.0;
}
}
I wonder if that's 100% right or if I've overlooked something. But if forward==strike,
then we have log(f/K)=0,
so, if vol is not zero, we should rather have
cum_d1=N (0*5*stdDev_)
which would be approximately 0.5 for very small vols. Opinions?
2008/11/14 Ferdinando Ametrano
<nando@...>
On Thu, Nov 13, 2008 at 8:33 PM, Dima <
dimathematician@...> wrote:
> After thinking about it I'd suggest
> to code the delta calculations in a new class called BlackDeltaCalculator
> with a similar constructor as the BlackCalculator class. This might look
> like
> overkill (an own class for Delta calculation) on first sight, but my reasons
> are
Not sure I agree, anyway it could be the right way to start: code it
the way it best suits you, provide unit tests (!!!!!), we quickly add
it to the experimental folder, gather feedback, and then maybe later
refactor the code
ciao -- Nando
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