Comments (4)
rkcah
commented on July 26, 2024
I will take a look at this. I think so Barone-Adesi and Whaley is already implemented. I will read the Bjerksund and Stensland 93 paper and see what's the best way to start implementing.
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domokane
commented on July 26, 2024
OK. Given Barone-Adesi has been done you might want to try something else. Would this one be of interest ?
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shunmaruko
commented on July 26, 2024
Dear Dominic,
Thank you for such a nice project!
It seems that Bjerksund and Stensland formula has not yet been implemented.
So if nobody is trying, I will work on it.
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domokane
commented on July 26, 2024
Ok. Please go for it.
Best
D
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Related Issues (20)
- argument type issue - FXVanillaOption with SABR model HOT 3
- Re-generate manual when master is updated HOT 5
- Date Schedule._generate issue HOT 2
- Example of SOFR curve
- Potential issues for CDS pricing HOT 4
- Major implementation change for ibor_swap? A notebook example doesn't tie out anymore. HOT 12
- Bond Curve Fitting HOT 1
- Inconsistency in Day Count in Index Curve? HOT 3
- CDSOption insensitive to vol for Receiver HOT 4
- Division with wrong day count convention causes incorrect forward rates HOT 1
- Bond OAS and accrued interest HOT 2
- barrierOpt.value issue HOT 2
- choose to apply a Black'76 in Fx Vanilla option HOT 1
- Build SOFR curve - suggestions
- Updated FINGBMPROCESS_generatePaths HOT 4
- Backtesting of Strategy HOT 4
- 'bond.print_payments' error HOT 2
- typo in "acccrued"
- Name 'swap_types' is not defined HOT 3
- How to deal with same maturity bonds for bootstrap curve? HOT 1
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