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Enforce upper and lower bounds for implied volatility #4

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merged 5 commits into from
Feb 2, 2024

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BimaMalabonga
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@BimaMalabonga BimaMalabonga commented Feb 2, 2024

Description

Instead of raising an error when the true implied volatility is outside of the interval [0.00001;5], we now set the implied volatility equal to the interval's closest bound.

@BimaMalabonga BimaMalabonga self-assigned this Feb 2, 2024
@BimaMalabonga BimaMalabonga requested a review from zoispag February 2, 2024 13:31
Bima Malabonga and others added 4 commits February 2, 2024 14:34
@BimaMalabonga BimaMalabonga enabled auto-merge (squash) February 2, 2024 14:27
@BimaMalabonga BimaMalabonga merged commit f443255 into master Feb 2, 2024
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@BimaMalabonga BimaMalabonga deleted the bugfix/volatility_bound branch February 2, 2024 14:27
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2 participants