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C++

SiriusFM-49

Implementation of financial mathematics tools

C++Emerging

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1

Last push

65mo ago

Recent commits

Latest commits.

Minor corrections
f79da86Alexander Stepikin65mo ago
GridNOP1D_S3_RKC1 implemented in both Fwd and Bwd modes; test5 is not passed yet
3adb666Alexander Stepikin65mo ago
GridNOP1D_S3_RKC1 is commenced but not finished yet
2cce11aAlexander Stepikin65mo ago
Add Grid OptionPricer: initial version
4eea6a7Alexander Stepikin65mo ago
Added MCOptionHedger; test4 is passed
b65b85eAlexander Stepikin65mo ago

Refactoring: add MCOptionPricer. Tests 2 and 3 are passed

5dd3a04Alexander Stepikin65mo ago

Updated diffusions1D, added S0 parameter

1487c51Alexander Stepikin65mo ago

added options, updated DiffusionGBM and MCEngine1D

6730aadAlexander Stepikin65mo ago

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