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It would be great if we add Greeks calculations to our library. See #887 for general discussion.
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# Lines of code
https://github.com/code-423n4/2023-08-dopex/blob/main/contracts/perp-vault/PerpetualAtlanticVault.sol#L405-L418
# Vulnerability details
## Impact
At the start of every epoch the pr…
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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…
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Overhead-bound benchmarks like Fibonacci and Depth-First Search are significantly slower on Windows than Linux and Mac.
Config: i9-9980XE 18 cores, 36 threads, with 4.1GHz all core Turbo
On Fibo…
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# Proposal
## Problem statement
Statistical calculations, image and signal processing applications commonly need to calculate a scaling factor of `1/√(2π)` for the [Gaussian probability distrib…
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import numpy as np
from scipy.stats import norm
from scipy.optimize import least_squares
import pyswarms as ps
# Black-Scholes Model
def black_scholes(S, K, T, r, sigma):
d1 = (np.log(S / K) + (r…
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**Is your feature request related to a problem? Please describe.**
Currently, the Snapshot Options API only displays the current state and not the historical states of an option contract. Knowing his…
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SYCL `parallel_for`, as well as `for_each` and likely other oneDPL algorithms, have significantly degraded performance for odd sizes. I first noticed this with the Black-Scholes benchmark, where I wa…
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using py_vollib_vectorized.api.price_dataframe on a dataframe with separated put and call rows, I get identical values for IV and all greeks for the same strike using this code:
```
py_vollib_…
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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…