Function exercised 

fn exercised<R: Scalar>(payoff: impl Fn(f64) -> R, payer: bool) -> R

E[max(±X(z), 0)] over a standard normal driver z, for a payoff X rising in z: the payer’s side above the exercise boundary, the receiver’s below it, each by Gauss–Legendre. The boundary is found passively — the payoff is zero on it, so it carries no first-order term.