Function flat_tail
fn flat_tail<R: Scalar>(
convention: VolConvention,
forward: R,
edge: f64,
sd: R,
upper: bool,
) -> RExpand description
∫ of the out-of-the-money option over the flat-vol tail beyond edge:
½·E[((S − K)⁺)²] above the forward (upper), ½·E[((K − S)⁺)²] below
it, with K the forward plus edge, at total standard deviation sd.