GP-CVA

Tested with

Sudo conda install -c anaconda mkl After this, install pytorch and torchvision:

sudo conda install -c pytorch pytorch==1.0.0 torchvision

then pip3 install gpytorch

For Notebook 6 on Heston: First install GSL e.g. "apt install libgsl-dev" in Ubuntu Then install PyHeston "pip install git+https://github.com/junyanxu/Python-Heston-Option-Pricer.git" after installing GSL

Name		Name	Last commit message	Last commit date
Latest commit History 26 Commits
BlackScholes.py		BlackScholes.py
Example-1-GP-BS-Pricing.ipynb		Example-1-GP-BS-Pricing.ipynb
Example-1-MGP-BS-Pricing.ipynb		Example-1-MGP-BS-Pricing.ipynb
Example-2-GP-BS-Derivatives.ipynb		Example-2-GP-BS-Derivatives.ipynb
Example-3-MC-GPA-BS-CVA.ipynb		Example-3-MC-GPA-BS-CVA.ipynb
Example-4-MC-GPA-BS-CVA-VaR.ipynb		Example-4-MC-GPA-BS-CVA-VaR.ipynb
Example-5-MC-GP-IRS-CVA.ipynb		Example-5-MC-GP-IRS-CVA.ipynb
Example-6-GP-Heston.ipynb		Example-6-GP-Heston.ipynb
GBMSim.py		GBMSim.py
README.md		README.md