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    • The adjusted UP digital for strike on a rolled SVI surface (a and b at 1e18, rho, m, and sigma at 1e9) and forward:

      • k = ln(strike / forward)
      • w(k) = a + b * (rho * (k - m) + sqrt((k - m)^2 + sigma^2))
      • d2 = -((k + w(k) / 2) / sqrt(w(k)))
      • price = N(d2) - phi(d2) * w'(k) / (2 * sqrt(w(k)))

      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.

      Parameters

      Returns (tx: Transaction) => TransactionResult