Implement calibration module using `argmin` crate.

[avhz]

All pricing models should be able to be calibrated to market prices.

A nice Crate called argmin available here looks like it can achieve this, using Brent method or something similar.

Can also perform calibration using RustQuant::autodiff possibly ?

This requires the ability to read in price data from .csv or .json, for example. See related issue #23

[matormentor]

Could we start first with grouping the pricing models inside the modules to have a better structure? lets say

• instruments
  • general_pricing_models
  • options
    • specific pricing models for options

[avhz]

Are you referring to the models contained in option_models.rs ?

[matormentor]

In general the structure of the crate: To have one main folder with all the general pricing models and then inside the different instruments a separate folder for the pricers separated from the instruments itself e.g.

• RustQuant_instruments/src/

  • backend/

    • pricers/
      • general_pricing_backend.rs
    • instruments/
      • general_insturment_backend.rs

  • options/

    • option_models/
      • specific_model_for_options.rs
    • options_structs/
      • asian.rs
      • vanilla.rs

and so on. I think this will prove to be useful to further enhance not only the structure but also the ease of adding more features. Let me know what you think about it

[avhz]

The instruments crate will just be reserved for instrument definitions and impls.

Models go in the models crates (the ones contained in instruments/options/option_models.rs will be moved there shortly).

Edit: backends/ are un-exported modules that I need to re-implement for the AnalyticOptionPricer.

[matormentor]

Ok, I understand thanks for the information! I will remain subscribed till then :)