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MarcusRainbow / QuantMath

Financial maths library for risk-neutral pricing and risk
MIT License
371 stars 43 forks source link

Calibrators #14

Closed MarcusRainbow closed 6 years ago

MarcusRainbow commented 6 years ago

This needs a whole new module, probably living above pricers. An easy calibrator to start off with would be a European vol calibrator. Feed it a European price, and it calculates the implied volatility. This should be pretty straightforward, given the ease of bumping a pricer.

MarcusRainbow commented 6 years ago

Implemented in the Solvers module