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google / tf-quant-finance

High-performance TensorFlow library for quantitative finance.
Apache License 2.0
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Fixes at-expiration values being `nan` #92

Closed alembcke closed 1 year ago

alembcke commented 1 year ago

Fixes #89. Fixes at-expiration values being nan for certain option models.

Tests were run to ensure that values prior to expiration are not affected. Tests were also run to ensure that execution time was not impacted materially. Bazel tests also passed for all modified functions.

cyrilchim commented 1 year ago

Could you please sync your version to head as well to fix current merge failure?

alembcke commented 1 year ago

I synced my fork and I see there is a new commit here, but it looks like copybara is still failing. Is there anything else I need to do?

cyrilchim commented 1 year ago

I just had to rerun copybara manually, so it's all good. Could you please add a test to show that the code does what is intended as well as squash the commits? I will then merge in with the main branch. Thanks!

cyrilchim commented 1 year ago

Thank you, Alex! Could you please run git squash?

alembcke commented 1 year ago

I haven't added in the test yet, I only synced my fork with master. I will have the tests done soon and then I will squash the commits and force push.

alembcke commented 1 year ago

OK, test added and squashed commits, I hope I did it right.