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Ran 23 Apr 2015 11:02AM UTC

Files 7

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Committed 23 Apr 2015 10:45AM UTC coverage: 96.467%. First build

Job # 22.3

Build Type

push

travis-ci

Committed by

mwmiller

Commit Message

Add support for negative rates on barrier options.

Instead of flooring to zero as done in the pricing module, here we need
a very small value to avoid similar divide by 0 problems. For this,
we use the "SMALL_VALUE_MU" which seems tailor-made for the purpose.

Also, some cleanup and rationalization of the test file to make it
easier to understand both the source and output. Plus, of course, adding
a couple test cases for the improved functions.

All of the values seem reasonable to the untrained eye.

Run Details

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