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Learning and playing with pricing
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1
Last push
12mo ago
Recent commits
Latest commits.
* Proper switching between spot and forward delta
8e05ac0
Vladimir Shabanov
12mo ago
* Correct time is used to resolve strike when interpolating wings
6983833
Vladimir Shabanov
16mo ago
25D+10D smile interpolation.
992bcb8
Vladimir Shabanov
16mo ago
More numerically stable local volatility equation
634f974
Vladimir Shabanov
17mo ago
Temporal smile interpolation via smile strikes
9e95294
Vladimir Shabanov
17mo ago
Better smile interpolation, Template Haskell to manage equations inputs
3a64630
Vladimir Shabanov
17mo ago
Speed up FEM 2x times by switching to Reverse.Double
17b85cf
Vladimir Shabanov
18mo ago
Updated documenation and TODO
e6dc1ff
Vladimir Shabanov
18mo ago
Top contributors
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vshabanov
39 commits
