/src/main/java/net/finmath/equities/models/Black76Model.java
final double gamma = b2 + fOfZ / bmaxb0;
final double gamma = b2 + b1 / bmaxb0;
final double b0 = deriv[0]; final double b1 = deriv[1]; final double b2 = deriv[2]; final double b3 = deriv[3]; final double bmaxb0 = bMax - b0; final double nu = bmaxb0 * Math.log(bmaxb0 / (bMax - beta)) / b1; <extra_id_0> final double delta = b3 + 3.0 * b1 * b2 / bmaxb0 + 2.0 * b1 * b1 / bmaxb0 / bmaxb0; return sigma + nu * (1.0 + 0.5 * nu * gamma) / (1.0 + nu * (gamma + delta * nu / 6.0)); }; impliedSdev = HouseholderStep.apply(impliedSdev); impliedSdev = HouseholderStep.apply(impliedSdev); }