Commits

Branch selector

 master

User selector

All users

All time

Commit History

Commits on Apr 21, 2022

• Hot fix unit tests

  ynouri

  committed
  be22436

  Copy full SHA for be22436

• Fix GHA workflow error

  ynouri

  committed
  8fcf7ee

  Copy full SHA for 8fcf7ee

• Publish to PyPI 0.4.x (#8)

  Show description for b912f2a
  ynouri

  authored
  b912f2a

  Copy full SHA for b912f2a

• Merge pull request #7 from v-tsepelev/master

  Show description for 836797f
  ynouri

  authored
  836797f

  Copy full SHA for 836797f

Commits on Apr 12, 2022

• unit test for normal model fit method

  v-tsepelev

  authored
  ac91e6c

  Copy full SHA for ac91e6c

• unit test for normal model fit method

  v-tsepelev

  authored
  cf42df8

  Copy full SHA for cf42df8

Commits on Jan 23, 2022

• Update hagan_2002_lognormal_sabr.py

  Show description for 2a8e171
  v-tsepelev

  authored
  2a8e171

  Copy full SHA for 2a8e171

• Update hagan_2002_normal_sabr.py

  Show description for 8dba5fd
  v-tsepelev

  authored
  8dba5fd

  Copy full SHA for 8dba5fd

Commits on Aug 27, 2018

• Add a link to the LN vs N notebook + an image for illustration.

  ynouri

  committed
  a85473f

  Copy full SHA for a85473f

• Add Lognormal vs Normal notebook

  ynouri

  committed
  8f5fc43

  Copy full SHA for 8f5fc43

• Increase version to 0.3.0

  ynouri

  committed
  76ef504

  Copy full SHA for 76ef504

• Add lognormal to lognormal conversion function (with unit test).

  ynouri

  committed
  1e4ed53

  Copy full SHA for 1e4ed53

• Convert function comment to docstring.

  ynouri

  committed
  dd20511

  Copy full SHA for dd20511

Commits on May 31, 2018

• N to SLN conversion: use Hagan formula for OTM strikes.

  ynouri

  committed
  e99ba2a

  Copy full SHA for e99ba2a

• SABR flat smile test - failing

  ynouri

  committed
  c43431d

  Copy full SHA for c43431d

• Hagan SLN to N conversion + test

  ynouri

  committed
  435f890

  Copy full SHA for 435f890

• Fix Hagan 2002 Normal SABR zeta formula

  ynouri

  committed
  9c55bb3

  Copy full SHA for 9c55bb3

Commits on May 25, 2018

• Base SABR init interface

  ynouri

  committed
  9062617

  Copy full SHA for 9062617

Commits on May 24, 2018

• Detect all packages

  ynouri

  committed
  438cf42

  Copy full SHA for 438cf42

• Test premiums green

  ynouri

  committed
  637bf57

  Copy full SHA for 637bf57

Commits on May 23, 2018

• Switch to absolute max error for premiums

  ynouri

  committed
  920268f

  Copy full SHA for 920268f

• Test premium

  ynouri

  committed
  23259b8

  Copy full SHA for 23259b8

• Full test

  ynouri

  committed
  b179b99

  Copy full SHA for b179b99

• Premium test draft

  ynouri

  committed
  4ee7038

  Copy full SHA for 4ee7038

• Return 0. for incorrect inputs

  ynouri

  committed
  292becf

  Copy full SHA for 292becf

• Beta=1 case + test

  ynouri

  committed
  cee1744

  Copy full SHA for cee1744

Commits on May 22, 2018

• Alpha calibration + tests

  ynouri

  committed
  2864b9a

  Copy full SHA for 2864b9a

• Interface to align with normal

  ynouri

  committed
  bcf5798

  Copy full SHA for bcf5798

• Normal SABR

  ynouri

  committed
  54cdaec

  Copy full SHA for 54cdaec

Commits on May 20, 2018

• Merge pull request #5 from ynouri/dev-interface

  Show description for 97292a3
  ynouri

  authored
  97292a3

  Copy full SHA for 97292a3

• Perf: switch from BFGS to CG, unplug Hagan's approx

  ynouri

  committed
  6ba0be3

  Copy full SHA for 6ba0be3

• Hagan N to LN conversion.

  ynouri

  committed
  6ffa86b

  Copy full SHA for 6ffa86b

• To do.

  ynouri

  committed
  435f607

  Copy full SHA for 435f607

• New performance test

  ynouri

  committed
  66d006a

  Copy full SHA for 66d006a

• Increased test precision

  ynouri

  committed
  d27f8bf

  Copy full SHA for d27f8bf

Pagination

Previous

Next