Implement Heston model
Closes #21
The implemenation has been validated against QuantLib:
>>> option_price_ql = option.NPV()
>>> print(f"Option Price using QuantLib: {option_price_ql:.16f}")
>>> on Price using QuantLib: 8982.8708666875791096
Codecov Report
Attention: Patch coverage is 96.77419% with 1 line in your changes missing coverage. Please review.
Project coverage is 86.55%. Comparing base (
844ec7d) to head (aa10b08). Report is 11 commits behind head on master.
| Files | Patch % | Lines |
|---|---|---|
| src/models/heston.jl | 96.77% | 1 Missing :warning: |
Additional details and impacted files
@@ Coverage Diff @@
## master #28 +/- ##
==========================================
+ Coverage 83.64% 86.55% +2.90%
==========================================
Files 13 15 +2
Lines 159 238 +79
==========================================
+ Hits 133 206 +73
- Misses 26 32 +6
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@iblislin this is ready for review πΌπΌ
@iblislin this is ready for review πΌπΌ
@iblislin let me know if I can help with the review :)
ah, sorry, I'm swamped with work recently... I don't check the algorithm detail, but I think the coding style or syntax are fine for me. let's just merge it first. :rocket:
ah, sorry, I'm swamped with work recently...
I don't check the algorithm detail, but I think the coding style or syntax are fine for me.
let's just merge it first. :rocket:
No worries used to happen, thanks for the review ππ»π«ΆπΌππΌ