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For example, the two-factor Vasicek model or the two-factor [Hull-White model](https://en.wikipedia.org/wiki/Hull%E2%80%93White_model).
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Most stochastic models will probably fall under a base class we could call `DiffusionProcess`. Would provide shared functionality for any stochastic model, such as Vasicek, CIR, Hull-White, etc.
``…
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Hello,
our research group is trying to locate or prove the lack of concurrency-related bugs in opensplice DDS using dynamic analysis. Our goal is to try out our analysis tools and to help ensuring …
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The structure of this parts need to be revisited. Issues I see at the moment:
Models feature a riskFreeRate and dividendYield. It makes much more sense to use DiscountCurve (standalone, without any…
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Psal jsem na Slacku českého WordPressu a napadlo mne napsat nějaký článek na naswp.cz o tom, jak máme WordPress na Mozilla.cz. Přišlo mi to jako dobrý nápad v souvislosti s tím, že připravujeme nový v…
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@MikkCZ což takhle nastavit social ikonkám (meetup, fb, twitter...) odpovídající barvu? takhle to vypadá strašně jednotvářně a moc to nejde na první pohled rozlišit.
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Seeing a few PRs lately from names I don't recognize. We should be _good citizens(tm)_ and make a CONTRIBUTORS file so we can recognize them.
Not sure what the contribution barrier is to be listed …
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radical.cpp seems to have severe problems:
1) Produces nan result when m==0, which is the default
2) Algorithm appears to have an algorithm bug in Vasicek() since log( neg number ) is a common oc…
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Hi James, I got your book as a reference for utilizing python in pricing financial modules.
I was trying to test/implement your set-up for Vasicek model : B03898_05_Codes/VasicekCZCB.py. However, w…
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How to reproduce:
- Visit https://transvision.mozfr.org/showrepos/
- Choose "cs" locale
- Choose "Gaia" and "Gaia 2.5"
In the last commit info is shown the last commiters name as `Michal Va???ek` ins…