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waifod / quant_finance_models

Project containing the implementations of quantitative finance models
MIT License
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Pass correct asset to MarketDataProvider #45

Closed waifod closed 1 year ago

waifod commented 1 year ago

We are addressing this issue https://github.com/Waifod/quant_finance_models/issues/19

We were passing the option itself instead of the underlying.

To fix this, we modify the MarketDataProvider methods to accept a std::string instead of an asset and correct the Black-Scholes implementation by passing the ticker of the underlying to the relevant methods.

The formatting was broken once more. I will create a new issue to add autoformatting to the GitHub workflow.

waifod commented 1 year ago

Closing pull request to publish a new one rebased upon mainline.