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critical_on_future

Function critical_on_future 

fn critical_on_future(
    strike: f64,
    vol: f64,
    expiry: f64,
    discount: f64,
    q: f64,
    kind: OptionKind,
) -> Result<f64, ModelError>
Expand description

The Barone-Adesi–Whaley critical futures price, on passive values: value matching solved by Newton safeguarded by a bracket — (K, ∞) for a call, (0, K) for a put — widened until it brackets.