juliaquant / financialderivatives.jl Goto Github PK
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Home Page: https://juliaquant.github.io/FinancialDerivatives.jl/dev/
License: Other
Financial derivatives modeling and pricing in Julia.
Home Page: https://juliaquant.github.io/FinancialDerivatives.jl/dev/
License: Other
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.
The manifest does not seem to be updated with the Julia 1.10 version, but everything is working fine.
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 Int
s 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 EuropeanOption
s. Would be nice to verify the put-call parity in the tests.
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