MarcusRainbow / QuantMath

Financial maths library for risk-neutral pricing and risk
MIT License
363 stars 42 forks source link

Serialization/deserialization for vol surfaces #37

Closed MarcusRainbow closed 6 years ago

MarcusRainbow commented 6 years ago

Vol surfaces and their contained objects such as cubic spline interpolators and calendars. Calendars are serialized with all their holidays. We may want a more concise serialization.