The adjusted UP digital for strike on a rolled SVI surface (a and b at 1e18, rho, m, and sigma at 1e9) and forward:
strike
a
b
rho
m
sigma
forward
Returns the price and 0, or none and the code Predict aborts with where the formula is undefined: a zero forward, a negative inner term, or a non-positive variance.
0
none
The adjusted UP digital for
strikeon a rolled SVI surface (aandbat 1e18,rho,m, andsigmaat 1e9) andforward:Returns the price and
0, ornoneand the code Predict aborts with where the formula is undefined: a zero forward, a negative inner term, or a non-positive variance.