binary-com / perl-math-business-blackscholes-binaries / 39

97%

Pull #4

travis-ci

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.

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