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PV01 and Gamma: add an approximation test #207

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ghost opened this issue May 14, 2015 · 0 comments
Open

PV01 and Gamma: add an approximation test #207

ghost opened this issue May 14, 2015 · 0 comments
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ghost commented May 14, 2015

PV01 and Gamma are tested by replicating the formulas in the tests. They should also be tested by a local expansion: write the change of PV as an expansion in Delta and Gamma and compare with the full reval value.
@ghost ghost self-assigned this May 14, 2015
@jonathansenior jonathansenior added this to the Wishlist milestone Jun 29, 2015
@ghost ghost removed their assignment Aug 23, 2016
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