AlessandroGnoatto
commented
6 years ago Sorry, it is too early for the pull request. Let's discuss the new features first on the separte branch first!
Closed AlessandroGnoatto closed 6 years ago
AlessandroGnoatto
commented
6 years ago Sorry, it is too early for the pull request. Let's discuss the new features first on the separte branch first!
What is this PR for?
Introducing Fourier-based calibration in Finmath.
What type of PR is it?
New Feature.
Todos
Add more models and pricers.
What is the related issue?
Currently there is no calibration of the Heston model in the library.
How should this be tested?
A unit test is provided.
Questions:
Does the licenses files need update?
NO
Are there breaking changes for older versions?
NO
Does the change require additional documentation?
NO