Merge pull request #22 from valorem-labs-inc/fix/bsm

Fix/bsm
valorem-labs-inc · Dec 22, 2023 · 05dcc56 · 05dcc56
2 parents 0971774 + a97961e
commit 05dcc56
Showing 1 changed file with 2 additions and 2 deletions.
diff --git a/src/utils/vol/index.ts b/src/utils/vol/index.ts
@@ -244,8 +244,8 @@ class OptionsGreeks {
     T: number,
   ): number {
     const brent = new Brent();
-    const lowerBound = 0.001; // Lower bound for volatility search
-    const upperBound = 5.0; // Upper bound for volatility search
+    const lowerBound = -5; // Lower bound for volatility search
+    const upperBound = 5; // Upper bound for volatility search
 
     // Function for Brent's method to find the root
     const marketPriceDelta = (sigma: number) => {