JuliaQuant / FinancialDerivatives.jl

Financial derivatives modeling and pricing in Julia.
https://juliaquant.github.io/FinancialDerivatives.jl/dev/
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Implement Heston model #28

Closed mvanzulli closed 1 month ago

mvanzulli commented 3 months ago

Closes #21

The implemenation has been validated against QuantLib:

>>> option_price_ql = option.NPV()
>>> print(f"Option Price using QuantLib: {option_price_ql:.16f}")
>>> on Price using QuantLib: 8982.8708666875791096
codecov[bot] commented 3 months ago

Codecov Report

Attention: Patch coverage is 96.77419% with 1 line in your changes missing coverage. Please review.

Project coverage is 86.55%. Comparing base (844ec7d) to head (aa10b08). Report is 11 commits behind head on master.

Files Patch % Lines
src/models/heston.jl 96.77% 1 Missing :warning:
Additional details and impacted files ```diff @@ Coverage Diff @@ ## master #28 +/- ## ========================================== + Coverage 83.64% 86.55% +2.90% ========================================== Files 13 15 +2 Lines 159 238 +79 ========================================== + Hits 133 206 +73 - Misses 26 32 +6 ```

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mvanzulli commented 3 months ago

@iblislin this is ready for review πŸ‘ΌπŸΌ

mvanzulli commented 1 month ago

@iblislin this is ready for review πŸ‘ΌπŸΌ

@iblislin let me know if I can help with the review :)

iblislin commented 1 month ago

ah, sorry, I'm swamped with work recently... I don't check the algorithm detail, but I think the coding style or syntax are fine for me. let's just merge it first. :rocket:

mvanzulli commented 1 month ago

ah, sorry, I'm swamped with work recently...

I don't check the algorithm detail, but I think the coding style or syntax are fine for me.

let's just merge it first. :rocket:

No worries used to happen, thanks for the review πŸ™ŒπŸ»πŸ«ΆπŸΌπŸ‘ŒπŸΌ