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Real QuantLib::blackFormulaStdDevDerivative ( const boost::shared_ptr< PlainVanillaPayoff > &  payoff,
Real  forward,
Real  stdDev,
Real  discount = 1.0,
Real  displacement = 0.0 

Black 1976 formula for standard deviation derivative

instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)

Definition at line 313 of file blackformula.cpp.

        return blackFormulaStdDevDerivative(payoff->strike(), forward,
                                     stdDev, discount, displacement);

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