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flat_tail

Function flat_tail 

fn flat_tail<R: Scalar>(
    convention: VolConvention,
    forward: R,
    edge: f64,
    sd: R,
    upper: bool,
) -> R
Expand 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.