I am trying to extract the implied volatility from options on Eurodollar futures. My understanding is that I should be converting the Underlying Price and Strikes to rates (S = 100 - FuturesPrice, K* = 100 - K) and then treating Calls as Puts & Vis-Versa. However - my question is how to deal with strikes on Eurodollar options > 100 bps - which lead to a negative K* strike.
My code cannot handle negative strikes because my pricing tree uses log() - I have researched online but there is a lack of literature / information around this method?
I am assuming I can apply some sort of shift model - but would like to know if anyone knows of any alternatives or roundabouts.