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waifod / quant_finance_models

Project containing the implementations of quantitative finance models
MIT License
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Split `MarketDataProvider` to just contain market data, not asset volatility #20

Open david-alvarez-rosa opened 1 year ago

david-alvarez-rosa commented 1 year ago

Refactor to accomplish the following — Split MarketDataProvider to just contain market data, not asset volatility

david-alvarez-rosa commented 11 months ago

@Waifod — do we still want to address this one? I believe we talked about computing asset volatility manually ourselves based on historical data.

waifod commented 11 months ago

I think we may want to create a class to compute the Volatility, just like we have one for Pricing. Not sure though, since in the end we would still rely on the MarketDataProvider to fetch the historical data, I believe.