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Options at-expiration return nan
#89
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This is definitely a bug. Please feel free to send a PR fixing whichever of the issues you would like and we will fix the rest. |
I tried to whip up a quick fix before heading on vacation, but it was slightly more complicated than I had hoped. If you have time to fix any of these issues, then please do. If anything is left in a few weeks when I am back, then I will work on it. |
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I am using
tf-quant-finance
for plotting option values and greeks. When plotting at-expiration (soexpiries=0
) most of the models returnnan
for some or all prices. Is this intended behavior, in which case I should wrap my calls totf-quant-finance
with some code to counter this, or is this something that could be changed?This issue shows up for:
modified_boundary=True
for all prices on a call, but only out-of-the-money prices on putsOnly Black-Scholes-Merton and Bjerksund-Stensland with
modified_boundary=False
are not affected by this.I could submit a PR to fix this issue, but before I do the work I want to make sure that this is a bug and not a feature.
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