[C++] Add LV, SV, LSV models

KYLChiu / ExoticMonteCarloEngine

Apache License 2.0

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[C++] Add LV, SV, LSV models #39

Open KYLChiu opened 1 year ago

KYLChiu commented 1 year ago

Add support for:

Local Vol
SV (Heston)
LSV?

Models can contain another (i.e. Heston can contain CIR as a member variable and use their drift/diffusion functions so I think it does not break the current design).

What about Jump models? ;)

ccjeremylo commented 1 year ago

This looks fun 😄

Linking here ch. 1 and 2 of a popular textbook by Lorenzo Bergomi
A nice and gentle intro to Vol skew/smile & sticky delta rolling model here with no maths