juliaquant / financialderivatives.jl Goto Github PK

Currently tests are not being run in every MR, fix CI pipeline and automate tests

Allow the interface to support Base.Dates. This would allow defining valuation and expiration date.

(just a reminder)

BlackKarasinski model have been added with 021d554

but unit tests are missing

The manifest does not seem to be updated with the Julia 1.10 version, but everything is working fine.

https://github.com/brilhana/FinancialDerivatives.jl/blob/00b4cc891b398eaa88363914be614c981df37c65/src/FinancialDerivatives.jl#L32

I think it should be

include("models/cox_ingersoll_ross.jl") 

It seems like your dispatching for derivatives is too strict. Terms like

struct AmericanOption{T<:Number} <: Option
    s::T
    k::T
    r::T
    σ::T
    t::T
    call::Int64
end

mean that you can't create an option with mixed Ints and Floats like AmericanOption(10, 12, 0.05, 0.4, 1, 1). Also, I don't think you use the parameterization {T} when you dispatch on it later in evaluate(...), so I'd suggest modifying the definitions to:

struct AmericanOption <: Option
    s::Real
    k::Real
    r::Real
    σ::Real
    t::Real
    call::Int64
end

I can make a PR and run tests to make sure when I get a chance. Let me know if I'm missing anything obvious though!

Implement Heston model via FFT according to this ref

Currenty the model lacks of the $q$ parameter. This issue is about adding this parameter to price EuropeanOptions. Would be nice to verify the put-call parity in the tests.