PyFENG
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PyFE
Python Financial ENGineering (PyFENG package in PyPI.org)
Currently `rn_seed=None` by default. Perhaps it's better to fix as `rn_seed=123456`?
* `quadpy`package * [Example](https://github.com/sigma-py/quadpy/wiki/Creating-your-own-Gauss-quadrature-in-two-simple-steps) * Golub GH, Meurant GA (2010) Matrices, moments, and quadrature with applications. Princeton University Press, Princeton, N.J
Asian option is a special kind of basket option. Provide an alternative creator for the basket option classes
* Fang F, Oosterlee C (2008) A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM J Sci Comput 31:826–848. https://doi.org/10.1137/080718061 * Oosterlee CW, Grzelak LA (2019)...
Implement the Abate & Whitt's (1992?) algorithm for inverting Laplace transform
garch_2.py consist of our group's new class GarchMcTubikanec2020 and GarchCapriotti2018. We also change the structure of garch class, creating GarchCondMcABC and linked every other class with it. We modify __init__.py...
* Drimus GG (2012) Options on realized variance by transform methods: a non-affine stochastic volatility model. Quantitative Finance 12:1679–1694. https://doi.org/10.1080/14697688.2011.565789
Medvedev A, Scaillet O (2007) Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility. The Review of Financial Studies 20:427–459. https://doi.org/10.1093/rfs/hhl013 Drimus GG (2012) Options on realized variance...
* Vectorize. MGF can return vectors * Intermediate results should use class variables