OpenGamma/OG-Platform — pull request #3 by garykennedy (2012-12-01 15:54:21+00:00)
Title: Analytic implied normal volatility

NormalImpliedVolatilityAnalytic provides an analytic approximation of the implied volatility function for the normal model, based on J. Choi, K Kim and M. Kwak (2009), "Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion", Applied Math. Finance, 16(3), pp. 261-268.

NormalImpliedVolatility provides a common interface between existing numerical method NormalImpliedVolatilityFormula and this analytic approximation.

NormalImpliedVolatilityFormula probably should be renamed NormalImpliedVolatilityNumerical, but I didn't make that change.