Flat Extrap Moneyness


Key Flat Extrap Moneyness in
Vol Curve refers to an optional Boolean that determines what level of moneyness must be assumed when the spot price leads to moneyness values not contained in the table Vol Table
Needed only if
Moneyness = true
If FALSE, no extrapolation is assumed, i.e. the assumed moneyness equals the actual moneyness and may thus reach any conceivable value.
If TRUE, flat extrapolation is assumed, i.e. the assumed moneyness is bounded by the extreme moneyness levels present in the table
Vol Table
If omitted, default is TRUE