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`ImpliedVolatility` does not match IB's figure

Open LouisSzeto opened this issue 1 year ago • 0 comments

Expected Behavior

ImpliedVolatility indicator values shall be close to IB's figure

Actual Behavior

It is not now

Potential Solution

We reverse-engineer an 'intrinsic value' selector as well as forward-tree model for IV.

Reproducing the Problem

refer to current external data comparison unit tests

System Information

NA

Checklist

  • [X] I have completely filled out this template
  • [X] I have confirmed that this issue exists on the current master branch
  • [X] I have confirmed that this is not a duplicate issue by searching issues
  • [X] I have provided detailed steps to reproduce the issue

LouisSzeto avatar Feb 14 '24 08:02 LouisSzeto