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finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.
Apache License 2.0
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Merge fix in equity theta calculation. #84

Closed agrotz closed 1 year ago

agrotz commented 3 years ago

What is this PR for?

Theta calculation in both analytic and PDE valuation for equity options with dividends did not reflect the part coming from the discount curve. This has been fixed now.

What type of PR is it?

Bug Fix

Todos

N/A

What is the related issue?

N/A

How should this be tested?

Unit tests have been adjusted to reflect corrected theta calculation

Screenshots

N/A

Questions:

Does the licenses files need update? NO

Are there breaking changes for older versions? NO

Does the change require additional documentation? NO

cfries commented 2 years ago

I did not yet merge this, because the integration test failed. (Unit test). I will check it.