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Fix Bachelier put implied volatility to sum the full B polynomial #314

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Fix Bachelier put implied volatility to sum the full B polynomial #314

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28 changes: 26 additions & 2 deletions crates/RustQuant_instruments/src/options/option_models.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -1086,8 +1086,8 @@ mod bachelier {
sum1 += v * eta.powi(k as i32);
}

// for k in 1..=B.len() {
for (k, v) in B.iter().enumerate().skip(1) {
// for k in 0..B.len() {
for (k, v) in B.iter().enumerate() {
sum2 += v * eta.powi(k as i32);
}

Expand Down Expand Up @@ -1390,3 +1390,27 @@ mod tests_sabr {
assert!((sabr.nu - 0.4).abs() < 1e-10);
}
}

#[cfg(test)]
mod tests_bachelier {
use super::*;

#[test]
fn test_bachelier_put_call_iv_symmetry() {
let f = 100.0;
let r = 0.0;
let v = 20.0;
let k = 95.0;
let t = 1.0;

let model = Bachelier::new(f, r, v);

let call_price = model.price(k, t, TypeFlag::Call);
let call_iv = model.iv(call_price, k, t, TypeFlag::Call);

let put_price = model.price(k, t, TypeFlag::Put);
let put_iv = model.iv(put_price, k, t, TypeFlag::Put);

assert!((put_iv - call_iv).abs() < 1e-10);
}
}