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Ran 21 Apr 2015 08:09AM UTC

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Committed 21 Apr 2015 08:06AM UTC coverage: 96.753%. Remained the same

Job # 39.3

Build Type

Pull #4

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.

Pull Request Pull Request #4: Add floor iv_ squared term in onetouch.

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