PyFENG
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Python Financial ENGineering (PyFENG package in PyPI.org)
* Change `moments_vsk` to `moments_mvsk` to show the mean (normalization) * Vectorize `moments` for Asian/Basket options
It seems that both impvol and impvol_naive return nan: m = pf.Bsm(sigma=0.5, intr=0.05, divr=0.1) print(m.impvol(100, 80, 19.4, 0.1, 1)) nan
heston_mc.py change: Pctchange case for MC and Conditional MC heston.py: added Bernard and Cui, Zhu and Lian's formula for percentage return as functions