-
Problem: If rate is negative (I used -0.012 - 0.12%), the BAW option pricing crashed with this error message: forward + displacement (-3.875e+14 + 0) must be positive
Code: https://github.com/lball…
-
Hi team,
Is there any plan for the implementation of asian option computation? I would like to contribute if there is anything related in you plan.
I can also contribute to other issues if you hav…
-
Hi all. I have been (mostly passively) following Vega for a while and was invited to begin the discussion here on Perpetual Volatility Swaps. Here are some initial considerations;
The idea with t…
-
Implement Heston model via FFT according to [this ref](https://arxiv.org/vc/arxiv/papers/1502/1502.02963v1.pdf)
-
Text I've removed from the specification document:
## Underlyings
Ranges of the walk parameters should reflect typical underlyings observed in the market - a good approach would be to pick a whole bu…
-
I've noted that in various discussion or in [specs](https://github.com/vegaprotocol/product/blob/master/specs/0028-governance.md) there is a request for a risk model spec.
Questions:
1. Is this in…
-
Hi guys,
In the "Monte Carlo via Euler Scheme" example you compare TF with QuantLib pricing and conclude that TF finance is x100 times faster(or more).
I want to note that in QL you evolve 100 t…
-
Zakres:
- [ ] estymacja parametrów
- [x] analiza danych historycznych - na podstawie wprowadzonych okresów (srednia ann, std ann, skew, kurtosis, max dropdown, normality test)
- [ ] estymacja p…
msz13 updated
4 months ago
-
[SABR model](https://en.wikipedia.org/wiki/SABR_volatility_model) has accurate density approximations (see, e.g., [here](https://arxiv.org/pdf/1107.1834.pdf)). It is of interest to use the approximat…
-
### Is there an existing issue for this?
- [X] I have searched the existing issues
### Feature Description
Data Collection
Collect historical option prices and underlying asset prices.
Initiali…