/src/main/java/net/finmath/functions/AnalyticFormulas.java
underlying += term1;
underlying += displacement;
} final double sigma = term1 * (1.0 + maturity * ((-beta*(2-beta)*alpha*alpha)/(24*Math.pow(forwardStrikeAverage,2.0*(1.0-beta))) + beta*alpha*rho*nu / (4*Math.pow(forwardStrikeAverage,(1.0-beta))) + (2.0 -3.0*rho*rho)*nu*nu/24)); return Math.max(sigma, 0.0); } public static double sabrNormalVolatilityApproximation(final double alpha, final double beta, final double rho, final double nu, final double displacement, double underlying, double strike, final double maturity) { <extra_id_0> strike += displacement; final double forwardStrikeAverage = (underlying+strike) / 2.0; final double z = nu / alpha * (underlying-strike) / Math.pow(forwardStrikeAverage, beta); final double x = Math.log((Math.sqrt(1.0 - 2.0*rho*z + z*z) + z - rho) / (1.0-rho)); double term1; if(Math.abs(underlying - strike) < 1E-8 * (1+Math.abs(underlying))) {