extend Monte-Carlo valuation to general contracts #14
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This extends the monte carlo model to be able to price all well-formed contracts. The abstract model is extended as well.
|
Nice, this looks good. As you say, would be good to add some tests to this before merging. |
|
Great! I'll try to find contracts without analytic solutions for which the valuation is known and add them to the golden tests. Let me know if you have any examples that you'd like to add. |
|
Would you be happy with just golden tests? To get some ground truth in this case proves to be more complicated than I thought, I would somehow have to get access to contracts and their valuation, for which I also know the correct model implementation in Miletus. |
A simple implementation of value observables, i.e. other contracts.
This adds support for the valuation of simple barrier options via monte carlo.
This change allows for different underlyings to have different startprices. For this, `Singlestock` now allows for an identifier and a model contains a map from identifiers to startprices.
|
Closing this PR for the time being due to inactivity. |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
This extends the Monte-Carlo model to be able to price all well-formed contracts. The abstract model is extended as well. The implementation seems straightforward, but I'd really appreciate a review from someone with more financial experience than me.
It would be nice to add some golden tests for this. I'm happy to add them if you could provide me with contracts for which the value has been determined with a correct MC implementation.