Update VolSurface.py

Fix bug in flooring the ttm when extrapolating small ttm var
jkirkby3 · Apr 13, 2024 · f8ca1cc · f8ca1cc
1 parent 364109a
commit f8ca1cc
Showing 1 changed file with 1 addition and 1 deletion.
diff --git a/fypy/volatility/VolSurface.py b/fypy/volatility/VolSurface.py
@@ -96,7 +96,7 @@ def from_pricer(pricer: StrikesPricer,
         return ModelVolSurfaceSlices(slices=slices)
 
     def model_vol(self, x: Union[float, np.ndarray], T: float) -> Union[float, np.ndarray]:
-        T = min(1e-07, T)
+        T = max(1e-07, T)
         return np.sqrt(self.model_var(x, T) / T)
 
     @property