38
97%
master: 97%

Ran 21 Apr 2015 08:00AM UTC

Jobs 4

Files 1

Run time 1min

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Build # 38

Build Type

push

travis-ci

Committed by

mwmiller

Commit Message

Add floor iv_ squared term in onetouch.

With negative interest rates now more prevalant, we'd rather not die
when they appear in the market.

Barrier Options under Negative Rates in Black-Scholes (Le Floc’h and
Pruell, 2014) offers a solution by going into the complex number space.
Helpfully, they also suggest that flooring this value at zero is a close
enough approximation, so long as the rates don't go wildly negative.

Run Details

150 of 155 relevant lines covered (96.77%)

75.72 hits per line

Jobs

ID	Job ID	Ran	Coverage
1	38.1	21 Apr 2015 08:02AM UTC	96.75	Travis Job 38.1
2	38.2	21 Apr 2015 08:00AM UTC	96.75	Travis Job 38.2
3	38.3	21 Apr 2015 08:01AM UTC	96.75	Travis Job 38.3
4	38.4	21 Apr 2015 08:00AM UTC	96.75	Travis Job 38.4

Source Files on build 38

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binary-com / perl-math-business-blackscholes-binaries / 38
97%
master: 97%

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binary-com / perl-math-business-blackscholes-binaries / 38 97% master: 97%

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Source Files on build 38

binary-com / perl-math-business-blackscholes-binaries / 38
97%
master: 97%

README BADGES
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