Fix Bachelier put implied volatility to sum the full B polynomial#314
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SAY-5 wants to merge 1 commit into
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Fix Bachelier put implied volatility to sum the full B polynomial#314SAY-5 wants to merge 1 commit into
SAY-5 wants to merge 1 commit into
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Signed-off-by: Sai Asish Y <say.apm35@gmail.com>
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The put implied volatility skipped the first coefficient of the B polynomial while the call version summed all of them, so put IV disagreed with call IV for the same option (and the original indexed loop in #312 went one past the end and panicked). This sums the full B array in put_iv to match call_iv, and adds a test checking the two agree. Closes #312.