public static double blackModelDgitialCapletValue ( double forward , double volatility , double periodLength , double discountFactor , double optionMaturity , double optionStrike ) { // May be interpreted as a special version of the Black-Scholes Formula return AnalyticFormulas . blackScholesDigitalOptionValue ( forward , 0.0 , volatility , optionMaturity , optionStrike ) * periodLength * discountFactor ; }
Calculate the value of a digital caplet assuming the Black 76 model .