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Implement Heston model

Open mvanzulli opened this issue 1 year ago β€’ 2 comments

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

mvanzulli avatar Jun 09 '24 22:06 mvanzulli

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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codecov[bot] avatar Jun 09 '24 22:06 codecov[bot]

@iblislin this is ready for review πŸ‘ΌπŸΌ

mvanzulli avatar Jun 14 '24 21:06 mvanzulli

@iblislin this is ready for review πŸ‘ΌπŸΌ

@iblislin let me know if I can help with the review :)

mvanzulli avatar Aug 05 '24 07:08 mvanzulli

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:

iblislin avatar Aug 07 '24 07:08 iblislin

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 πŸ™ŒπŸ»πŸ«ΆπŸΌπŸ‘ŒπŸΌ

mvanzulli avatar Aug 07 '24 12:08 mvanzulli