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MarcusRainbow / QuantMath

Financial maths library for risk-neutral pricing and risk
MIT License
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Bugfixes to Theta and time-bumped calculation #27

Closed MarcusRainbow closed 6 years ago

MarcusRainbow commented 6 years ago
  1. If the list of instruments is modified by the time bump, completely rebuild the pricer
  2. Make the test, which claimed to be of a forward-starting European in Monte-Carlo, actually test a forward-starting European
  3. Make forward calculation of a forward-starting European work in Monte-Carlo
  4. Implement fixings dependencies for European options, so time bumping works for them.
  5. Add a test for forward-starting Europeans in self-pricer tests. Use the test baselines as baselines for the Monte-Carlo test.