Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Added Collocating Local Volatility Model #117

Closed
wants to merge 16 commits into from
Closed

Added Collocating Local Volatility Model #117

wants to merge 16 commits into from

Commits on May 20, 2016

  1. removed useless reinitialisation of time grid (thanks to Francois Botha)

    @klausspanderen
    klausspanderen committed May 20, 2016
    Configuration menu
    Copy the full SHA
    e75c953 View commit details
    Browse the repository at this point in the history

  2. Merge remote-tracking branch 'choose_remote_name/master'

    @klausspanderen
    klausspanderen committed May 20, 2016
    Configuration menu
    Copy the full SHA
    b2bf01c View commit details
    Browse the repository at this point in the history

Commits on Jun 11, 2016

  1. rollback to previouse version

    @klausspanderen
    klausspanderen committed Jun 11, 2016
    Configuration menu
    Copy the full SHA
    f3dfc96 View commit details
    Browse the repository at this point in the history

  2. added Lagrange interpolation

    @klausspanderen
    klausspanderen committed Jun 11, 2016
    Configuration menu
    Copy the full SHA
    5793cc8 View commit details
    Browse the repository at this point in the history

Commits on Jun 17, 2016

  1. added delta and gamma for 2dim Black-Scholes PDE engine

    @klausspanderen
    klausspanderen committed Jun 17, 2016
    Configuration menu
    Copy the full SHA
    e6b7bdd View commit details
    Browse the repository at this point in the history

Commits on Jun 19, 2016

  1. added inverse cumulative distribution function via stochastic 

    collocation method.
    @klausspanderen
    klausspanderen committed Jun 19, 2016
    Configuration menu
    Copy the full SHA
    f1e3e25 View commit details
    Browse the repository at this point in the history

Commits on Jun 25, 2016

  1. first skeleton of a CLV model with normal distributed kernel

    @klausspanderen
    klausspanderen committed Jun 25, 2016
    Configuration menu
    Copy the full SHA
    c87b831 View commit details
    Browse the repository at this point in the history

Commits on Jul 9, 2016

  1. added first pricing using the Normal-CLV model

    @klausspanderen
    klausspanderen committed Jul 9, 2016
    Configuration menu
    Copy the full SHA
    af2d625 View commit details
    Browse the repository at this point in the history

Commits on Jul 10, 2016

  1. added finite difference pricing engine for CLV model

    @klausspanderen
    klausspanderen committed Jul 10, 2016
    Configuration menu
    Copy the full SHA
    4f58b7a View commit details
    Browse the repository at this point in the history

Commits on Jul 24, 2016

  1. fixed error message

    @klausspanderen
    klausspanderen committed Jul 24, 2016
    Configuration menu
    Copy the full SHA
    d9decdf View commit details
    Browse the repository at this point in the history

Commits on Aug 7, 2016

  1. added more tests

    @klausspanderen
    klausspanderen committed Aug 7, 2016
    Configuration menu
    Copy the full SHA
    4526043 View commit details
    Browse the repository at this point in the history

  2. added files to VS solution

    @klausspanderen
    klausspanderen committed Aug 7, 2016
    Configuration menu
    Copy the full SHA
    46e1ae3 View commit details
    Browse the repository at this point in the history

  3. added missing fdm operator to VS project files

    @klausspanderen
    klausspanderen committed Aug 7, 2016
    Configuration menu
    Copy the full SHA
    9c9577e View commit details
    Browse the repository at this point in the history

  4. Merge remote-tracking branch 'choose_remote_name/master' 

    Conflicts:
	QuantLib.vcxproj
    @klausspanderen
    klausspanderen committed Aug 7, 2016
    Configuration menu
    Copy the full SHA
    ef5b7ba View commit details
    Browse the repository at this point in the history

Commits on Aug 9, 2016

  1. corrected publishing date

    @klausspanderen
    klausspanderen committed Aug 9, 2016
    Configuration menu
    Copy the full SHA
    ba8067e View commit details
    Browse the repository at this point in the history

Commits on Sep 18, 2016

  1. Merge remote-tracking branch 'choose_remote_name/master'

    @klausspanderen
    klausspanderen committed Sep 18, 2016
    Configuration menu
    Copy the full SHA
    3900aea View commit details
    Browse the repository at this point in the history