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avhz / RustQuant

Rust library for quantitative finance.
https://avhz.github.io
Apache License 2.0
1.13k stars 130 forks source link

Finite-difference pricer tests failing. #272

Open avhz opened 2 weeks ago

avhz commented 2 weeks ago

The following tests are now failing:

    instruments::options::finite_difference_pricer::tests_finite_difference_pricer_at_the_money::american_put_crank_nicolson
    instruments::options::finite_difference_pricer::tests_finite_difference_pricer_at_the_money::american_put_explicit
    instruments::options::finite_difference_pricer::tests_finite_difference_pricer_at_the_money::american_put_implicit
    instruments::options::finite_difference_pricer::tests_finite_difference_pricer_in_the_money::american_put_crank_nicolson
    instruments::options::finite_difference_pricer::tests_finite_difference_pricer_in_the_money::american_put_explicit
    instruments::options::finite_difference_pricer::tests_finite_difference_pricer_in_the_money::american_put_implicit
yfnaji commented 1 week ago

Hello, can I pick this up as I implemented this pricer?

avhz commented 1 week ago

of course @yfnaji