Related Issues (20)
- Document Multi-Factor Helper Classes
- Mean reversion for three-factor seasonal model HOT 25
- Tidy Up Python Build/CI/Test Dependencies and Fix Versions
- Discount Factors Rather Than Interest Rates Provided by Caller
- Volatility and Correlation of Traded Forward Contracts
- Separate Nomination Dates From Delivery Dates
- Create .NET Console App
- Allow Excel Add-in Two Calculation Modes HOT 1
- More Vectorisations with MKL
- Fix Warnings on Creating Python Package
- Fix C# Coverage
- Add C# Sample for LSMC Valuation
- Set up Sample Notebooks with Binder
- Move Delta Calculation out of Core Valuation Code HOT 1
- Include Standard Error in LSMC Results
- Calculate and Return Standard Error of Delta
- Standard Error Bug
- Use SVD for Regression in LSMC
- issues with extrinsic expected profile HOT 2
- Example Python code for calibrating the 3-factor seasonal model will be added to this repo later.
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