Function vanilla
fn vanilla<R: Scalar>(
convention: VolConvention,
forward: R,
strike: R,
sd: R,
call: bool,
) -> RExpand description
The undiscounted call (call) or put at strike on a forward forward,
at total standard deviation sd: Bachelier or Black-76 by the surface’s
convention. Below a zero strike the lognormal rate never goes, so the
call is the forward less the strike and the put nothing.