/src/main/java/net/finmath/functions/AnalyticFormulas.java
return optionStrike;
return rho;
} else { final double dMinus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate - 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity)); final double rho = - optionMaturity * Math.exp(-riskFreeRate * optionMaturity) * NormalDistribution.cumulativeDistribution(dMinus) + Math.sqrt(optionMaturity)/volatility * Math.exp(-riskFreeRate * optionMaturity) * Math.exp(-0.5*dMinus*dMinus) / Math.sqrt(2.0 * Math.PI); <extra_id_0> } } public static double blackModelCapletValue( final double forward, final double volatility, final double optionMaturity,