Closed AlessandroGnoatto closed 5 years ago
Add MertonModelDescriptor extend some factories. Introduce discount curves in the Merton Model class
Integrate the Merton Model in the structure allowing for separation of model and implementation.
I noticed that Merton Model is parametrized in terms of doubles while Heston model in terms of RandomVariable... should we have more consistency here?
Missing descriptor for the Merton Model. Missing discount curves in the Monte Carlo implementation of the Merton Model.
Does the licenses files need update? NO
Are there breaking changes for older versions? NO
Does the change require additional documentation? NO
Just a quick note: I did some refactoring work on all Fourier models. There were a lot of inconsistencies between different classes. What I saw:
What is this PR for?
Add MertonModelDescriptor extend some factories. Introduce discount curves in the Merton Model class
What type of PR is it?
Integrate the Merton Model in the structure allowing for separation of model and implementation.
Todos
I noticed that Merton Model is parametrized in terms of doubles while Heston model in terms of RandomVariable... should we have more consistency here?
What is the related issue?
Missing descriptor for the Merton Model. Missing discount curves in the Monte Carlo implementation of the Merton Model.
How should this be tested?
Screenshots
Questions:
Does the licenses files need update? NO
Are there breaking changes for older versions? NO
Does the change require additional documentation? NO