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google / tf-quant-finance

High-performance TensorFlow library for quantitative finance.
Apache License 2.0
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MonteCarlo Simulation #63

Open DhinNeGeNe opened 2 years ago

DhinNeGeNe commented 2 years ago

Team, is there a plan to implement MonteCarlo simulation? I can contribute to one if it is in the works or contribute to any other higher priority items on your list.

Krishna

cyrilchim commented 2 years ago

Hi!

Could you please clarify what the exact issue is? We have generic Euler/Milstein samplers as well as a bunch of models with specialized samplers implemented.

Best, Cyril

On Sat, Dec 11, 2021 at 5:09 AM DhinNeGeNe @.***> wrote:

Team, is there a plan to implement MonteCarlo simulation?

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