tf-quant-finance
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google
High-performance TensorFlow library for quantitative finance.
My goal is to compute american option prices with discrete dividends on a specific date. The example provided for American options does not indicate how could this be done. ```...
Bumps [numpy](https://github.com/numpy/numpy) from 1.21 to 1.22.0. Release notes Sourced from numpy's releases. v1.22.0 NumPy 1.22.0 Release Notes NumPy 1.22.0 is a big release featuring the work of 153 contributors spread...
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I was wondering if there's an example implementation of BS implied vol estimation for American options and greeks. This tends to be the more commonly needed example than pricing, since...
Do you have a running example of tff.math.fwd_gradient either in the notebook or somewhere in the tests, only saw a very contrived one in https://github.com/google/tf-quant-finance/blob/39a1c03cc9938c6e08fceb63e405eff0fda835be/tf_quant_finance/math/integration/integration_test.py Mainly for the purposes of...
Heston model has accurate density [approximations for European option prices](https://arxiv.org/pdf/1107.1834.pdf), which are of interest. The module implementing this method should live under tf_quant_finance/volatility/heston_approximation.py. It should support both European option puts...
Team, is there a plan to implement MonteCarlo simulation? I can contribute to one if it is in the works or contribute to any other higher priority items on your...
Initial commit on Levenberg Marquardt algorithm #33
Hello, I am the chair of a working group at Khronos developing standards for graphics and compute hardware accelerators (as well as a representative for Nvidia in those groups). We...
Hi team, Is there any plan for the implementation of asian option computation? I would like to contribute if there is anything related in you plan. I can also contribute...
