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vanilla

Function vanilla 

fn vanilla<R: Scalar>(
    convention: VolConvention,
    forward: R,
    strike: R,
    sd: R,
    call: bool,
) -> R
Expand 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.