This PR fix the formula used to calculate the PnL of expired options and adds some extra checks to the parameters; it also extrapolate it together with the formula used to estimate the PnL of active options in a dedicated helper to add a couple of unit tests to ensure that we don't have any regression in the future.
aurelianoB
commented
1 year ago
This PR fix the formula used to calculate the PnL of expired options and adds some extra checks to the parameters; it also extrapolate it together with the formula used to estimate the PnL of active options in a dedicated helper to add a couple of unit tests to ensure that we don't have any regression in the future.