Add Black Vega support to FX Option Products#2292
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ChristianOG merged 8 commits intomainfrom Feb 23, 2021
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Added Black vega calculation to FxVanillaOption. Added Black vega calculation to FxSingleBarrierOption. Added FxCalculationUtils helper functions to fxopt package (currently in Granite, to be removed forthwith). Changed Bachelier Vega calculation for swaption to conventional vega calculation (without rescaling); removed adjustVega() function. Removed comment on BACHELIER_VEGA indicating that sensitivity is multiplied by volatility.
…Bachelier vega calc (no longer rescaling by vol).
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Added VEGA_MARKET_QUOTE_BUCKETED to Measures.
Removed VEGA_BACHELIER Measure (subsumed by above).
Added Black vega calculation to FxVanillaOption.
Added Black vega calculation to FxSingleBarrierOption.
Added FxCalculationUtils helper functions to fxopt package (currently in Granite, to be removed forthwith).
Changed Bachelier Vega calculation for swaption to conventional vega calculation (without rescaling); removed adjustVega() function.
Removed comment on BACHELIER_VEGA indicating that sensitivity is multiplied by volatility.