finmath-lib
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finmath
Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.
### What is this PR for? Theta calculation in both analytic and PDE valuation for equity options with dividends did not reflect the part coming from the discount curve. This...
Hi, Trying to directly import the finmath library as a project from git in Eclipse 2020-12 does not work. The structure of the project is not correcly recognized, see the...
Hi, How should I build a Bermudan Option on a general swap in the LMM? For example a swap paying CMS v Libor. The BermudanSwaption class assumes a Fixed/Libor swap....
Hi, I am trying to hack the Schedule generator in order to replicate the coupon of a Credit Default Swap according to the ISDA model. This is what I got...
Hi, just adopted the lib. It's solving an optimisation problem that kept tripping up Apache Maths Common. Thanks! Quick suggestion. You have a releases page for the project. This includes...
The Heston model characteristic function in `net.finmath.fouriermethod.models` does not Handle the limit case xi=0. The implementation results in NAN due to a 0 / 0. This should be fixed. The...
If an exception occurs in a multi-threaded Monte-Carlo simulation inside ProcessEulerScheme the root cause shown in the output of the stack trace. This should be fixed.
The unit test net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricCalibrationTest can run in a time out on Travis (depends on the machine we get on Travis): > Running calibration test using quoting convention VOLATILITYNORMAL for calibration...
The unit test net.finmath.montecarlo.interestrate.products.indices.LIBORIndexTest may take very long. Could be a memory problem. Some profiling should be done here. Sample Output: > > 2.00 2.50 0.000013 0.000212 > 2.00 2.25...
There should be an AbstractDiscountCurve class that e.g. implements getDiscountCurve(double) = getDiscountCurve(model, double) instead having to implement that in each subclass
