FinancialDerivatives.jl

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Update README.md

1

It's a registered package now, so you can add it more concisely.

millerjoey

Changed types to make them more flexible. Removed parameterizations.

1

Fix for issue #8.

millerjoey

Since the Manifest is old and is included in the package, I think most devs won't be able to instantiate and run tests because of an old Arpack dependency.

millerjoey

It seems like your dispatching for derivatives is too strict. Terms like ```julia struct AmericanOption{T

millerjoey

Implement Heston model

4

Implement Heston model via FFT according to [this ref](https://arxiv.org/vc/arxiv/papers/1502/1502.02963v1.pdf)

mvanzulli

Implement Heston model

2

Closes #21 The implemenation has been validated against [QuantLib](https://www.quantlib.org/): ```py >>> option_price_ql = option.NPV() >>> print(f"Option Price using QuantLib: {option_price_ql:.16f}") >>> on Price using QuantLib: 8982.8708666875791096 ```

mvanzulli

Allow the interface to support `Base.Dates`. This would allow defining valuation and expiration date.

mvanzulli

Till we have a more stable version, we should make newer releases once we have "new" features.

mvanzulli

Redesing `evaluate` interface for dispatch, modularity and extensibility

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## Motivation The current package supports a variety of financial models (e.g., Black-Scholes, Heston, Vasicek) and instruments (e.g., European Options, American Options, FX Options), but tightly couples them via a...

mvanzulli