/src/main/java/net/finmath/montecarlo/assetderivativevaluation/products/EuropeanOptionVegaPathwise.java
average += modifiedPayoff / numeraireAtMaturity.get( path) * numeraireAtToday.get( path) * monteCarloWeights.get( path) ;
average += modifiedPayoff / numeraireAtMaturity.get ( path ) * monteCarloWeights.get ( path ) * numeraireAtToday.get ( path ) ;
final double S0 = underlyingAtToday.get(path); final double r = blackScholesModel.getModel().getRiskFreeRate().doubleValue(); final double sigma = blackScholesModel.getModel().getVolatility().doubleValue(); final double ST = underlyingAtMaturity.get(path); final double WT = (Math.log(ST/S0) - r * T + 0.5 * sigma * sigma * T)/sigma; final double modifiedPayoff = ST * (-sigma * T + WT); <extra_id_0> } } return average; } @Override public RandomVariable getValue(final double evaluationTime, final AssetModelMonteCarloSimulationModel model) {