cmdty
cmdty
### Environment - Pythonnet version: 3.0.1 - Python version: 3.7.1 - Operating System: Windows 10 - .NET Runtime: .NET Framework 4.8 is latest version installed. ### Details - Describe what...
Could solve the problem of instability caused by oscillation along the curve.
Linear system (18) of the [maximum smoothness spline document](https://github.com/cmdty/curves/blob/master/docs/max_smoothness/max_smoothness_spline.pdf) involves a block matrix whose sub-matrices are sparse. This structure potentially lends itself to a much more efficient (in terms of...
Update build.cake to create Python Conda package during CI, and publish to conda-forge on release. Also updated Python testing task in build.cake to perform tests in a Conda environment.
The python dependencies for build/ci/test is a bit of a mess, being found in a requirements.txt, build.cake and azure-pipelines.yml. This should be consolidated and tidied up.
In a notebook an example model of building a high granulary (half-hourly or quarter-hourly) power forward curve.
Adds delta standard error and fixing #52.
Delta is calculated using pathwise differentiation alongside the core Least Squares Monte Carlo valuation calculations in LsmcStorageValuation.cs. These calculations makes an assumption that simulated spot price is calculated as forward...
Currently regression uses QR decomposition is used for regression in LSMC valuation. Previous experiments showed that the performance of using SVD was much worse than QR, especially as the number...