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Allow for Calibration #15

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ZircXes opened this issue Dec 28, 2017 · 2 comments · Fixed by #73
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Allow for Calibration #15

ZircXes opened this issue Dec 28, 2017 · 2 comments · Fixed by #73
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@ZircXes
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ZircXes commented Dec 28, 2017 •
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Similar to Reverse Stress Test -- Can a user also specify market values and then use historical correlations to 'calibrate' the inputs to markets or create calibration factors?

Calibration ties to OCC guidance on Risk Management of Financial Derivatives.
@danielhstahl
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Aren't most options marked to market? Would fixing issue 8 fix this?

@ZircXes
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ZircXes commented Jan 14, 2018

Calibrate model parameters --> Suggested method for non-analytical derivatives is Nelder-Mead.

@danielhstahl danielhstahl mentioned this issue Jan 14, 2018
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@danielhstahl danielhstahl mentioned this issue Jan 27, 2018
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added market data danielhstahl/-DEPRICATED-option_dashboard
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