tf-quant-finance
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google
High-performance TensorFlow library for quantitative finance.
Hello, I'm trying to use the SABR calibration with real BTC option prices but it stops right away without any error message (is_converged is False). If anyone could help to...
### Description Hi :wave: I work at [DeepSource](https://deepsource.io), I ran DeepSource analysis on the forked copy of this repo and found some interesting [code quality issues](https://deepsource.io/gh/withshubh/tf-quant-finance/issues/?category=recommended) in the codebase, opening...
Remove definition of class attributes, which are already detailed in the docs: SwapCurveBuilderResult.md. Instead, explain the use of the class using a similar convention found under other Class headers in...
pricing and calibration of swpations thanks the LMM with following features - displacement for negative rates - number of factors - stochastic vol https://cermics.enpc.fr/~mehallas/Documents/Summer_school_X.pdf
Hello and thanks for the library! I am working on an integration of TFF into one of my option trading strategies and trying to figure out several practical aspects, such...
Hi all, many thanks for this library! As I've seen, there is an integration method and interpolation. The latter are also available in other packages (tf-graphics, tf-addons) in one way...
[SABR model](https://en.wikipedia.org/wiki/SABR_volatility_model) has accurate density approximations (see, e.g., [here](https://arxiv.org/pdf/1107.1834.pdf)). It is of interest to use the approximations to estimate European option prices. The module implementing this method should live under...
[Levenberg-Marquardt](https://en.m.wikipedia.org/wiki/Levenberg%E2%80%93Marquardt_algorithm) is a frequently needed algorithm in curve fitting problems in finance. It would be great to have a batched TF implementation in the library. It should be placed in...
Spread-options are particularly popular in commodity markets. A simple [Kirk's approximation](https://www.sciencedirect.com/science/article/pii/S0893965913001171) for European spread-option price under Black-Scholes model is of interest. The module implementing this method should live under tf_quant_finance/volatility/spread_option.py....