Add changelog

kyosenergy · Feb 2, 2024 · 5afad91 · 5afad91
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -2,6 +2,10 @@
 
 All notable changes to `options-calculator` will be documented in this file.
 
+## 1.0.2 - 2024-02-02
+
+- Enforce upper and lower bounds for implied volatility.
+
 ## 1.0.1 - 2024-02-02
 
 - Fix calculation when implied volatility is outside the initial range.

diff --git a/src/Black76.php b/src/Black76.php
@@ -124,7 +124,7 @@ private function impliedVolaUsingBisection(
         while (++$i < $maxIterations && ($volMax - $volMin > $epsilon || $valueMin != $valueMax)) {
             $volBisection = $volMin + ($volMax - $volMin) * ($marketPrice - $valueMin) / ($valueMax - $valueMin);
 
-            // If the true implied volatility is outside of the interval [0.00001;5], the condition below ensures that it will be set to the closest bound
+            // If the true implied volatility is outside the interval [0.00001;5], the condition below ensures that it will be set to the closest bound
             $volGuess = max($volMin, min($volBisection, $volMax));
             $valueGuess = $this->getValues($type, $underlyingPrice, $strikePrice, $timeToMaturity, $volGuess)['value'];