make jaeckel the default name

lballabio · Jul 26, 2024 · 11c8559 · 11c8559
1 parent da79d43
commit 11c8559
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Showing 3 changed files with 28 additions and 28 deletions.
diff --git a/ql/pricingengines/blackformula.cpp b/ql/pricingengines/blackformula.cpp
@@ -795,12 +795,12 @@ namespace QuantLib {
 
     }
 
-    Real bachelierBlackFormulaImpliedVol(Option::Type optionType,
-                                   Real strike,
-                                   Real forward,
-                                   Real tte,
-                                   Real bachelierPrice,
-                                   Real discount) {
+    Real bachelierBlackFormulaImpliedVolChoi(Option::Type optionType,
+                                             Real strike,
+                                             Real forward,
+                                             Real tte,
+                                             Real bachelierPrice,
+                                             Real discount) {
 
         const static Real SQRT_QL_EPSILON = std::sqrt(QL_EPSILON);
 
@@ -881,12 +881,12 @@ namespace QuantLib {
 
     } // namespace
 
-    Real bachelierBlackFormulaImpliedVolExact(Option::Type optionType,
-                                              Real strike,
-                                              Real forward,
-                                              Real tte,
-                                              Real bachelierPrice,
-                                              Real discount) {
+    Real bachelierBlackFormulaImpliedVol(Option::Type optionType,
+                                         Real strike,
+                                         Real forward,
+                                         Real tte,
+                                         Real bachelierPrice,
+                                         Real discount) {
 
         Real theta = optionType == Option::Call ? 1.0 : -1.0;
 

diff --git a/ql/pricingengines/blackformula.hpp b/ql/pricingengines/blackformula.hpp
@@ -365,24 +365,24 @@ namespace QuantLib {
         Implied Volatility Under Arithmetic Brownian Motion”,
         Applied Math. Finance, 16(3), pp. 261-268.
     */
-    Real bachelierBlackFormulaImpliedVol(Option::Type optionType,
-                                         Real strike,
-                                         Real forward,
-                                         Real tte,
-                                         Real bachelierPrice,
-                                         Real discount = 1.0);
+    Real bachelierBlackFormulaImpliedVolChoi(Option::Type optionType,
+                                             Real strike,
+                                             Real forward,
+                                             Real tte,
+                                             Real bachelierPrice,
+                                             Real discount = 1.0);
 
     /*! Exact Bachelier implied volatility
 
         It is calculated using the analytic implied volatility formula
         of Jaeckel (2017), "Implied Normal Volatility"
     */
-    Real bachelierBlackFormulaImpliedVolExact(Option::Type optionType,
-                                              Real strike,
-                                              Real forward,
-                                              Real tte,
-                                              Real bachelierPrice,
-                                              Real discount = 1.0);
+    Real bachelierBlackFormulaImpliedVol(Option::Type optionType,
+                                         Real strike,
+                                         Real forward,
+                                         Real tte,
+                                         Real bachelierPrice,
+                                         Real discount = 1.0);
 
     /*! Bachelier formula for standard deviation derivative
         \warning instead of volatility it uses standard deviation, i.e.

diff --git a/test-suite/blackformula.cpp b/test-suite/blackformula.cpp
@@ -52,15 +52,15 @@ BOOST_AUTO_TEST_CASE(testBachelierImpliedVol) {
 
         Real callPrem = bachelierBlackFormula(optionType, strike, forward, stdDev, discount);
 
-        Real impliedBpVol =
-            bachelierBlackFormulaImpliedVol(optionType, strike, forward, tte, callPrem, discount);
+        Real impliedBpVol = bachelierBlackFormulaImpliedVolChoi(optionType, strike, forward, tte,
+                                                                callPrem, discount);
 
         if (std::fabs(bpvol - impliedBpVol) > 1.0e-12) {
             BOOST_ERROR("Failed, expected " << bpvol << " realised " << impliedBpVol);
         }
 
-        Real impliedBpVolExact = bachelierBlackFormulaImpliedVolExact(optionType, strike, forward,
-                                                                      tte, callPrem, discount);
+        Real impliedBpVolExact =
+            bachelierBlackFormulaImpliedVol(optionType, strike, forward, tte, callPrem, discount);
 
         if (std::fabs(bpvol - impliedBpVolExact) > 1.0e-15) {
             BOOST_ERROR("Failed, expected " << bpvol << " realised " << impliedBpVolExact);