MarcusRainbow / QuantMath

Financial maths library for risk-neutral pricing and risk
MIT License
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Correlations #10

Open MarcusRainbow opened 6 years ago

MarcusRainbow commented 6 years ago

There is a big TODO in the BlackDiffusion model, where it treats the correlation matrix as if it contained the correlations it happens to need. More realistically, the correlations should be treated as local correlations, and integrated as co-variances to calculate the correlation that should be used.