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Hi,
yes, this was a bug (thanks Raffaele). The fix is now in the 0.99 branch as:
if ( floorPrice_(t,fStrikes_.back()) > capPrice_(t,fStrikes_.back()) ) {
logic as before.
Changing to fStrikes_.back() on both sides of the comparison ensures that the same strike is used (also as suggested), otherwise strange effects are possible.
Best regards,
Chris
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