Commits

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Commits on Sep 1, 2016

• Adding Heston Stoch Vol Characteristic Function

  

  swatim

  authored and

  swatim

  committedSep 1, 2016
  2048e9f

Commits on Aug 29, 2016

• Fast Fourier Transform Option Pricing

  

  swatim

  authored and

  swatim

  committedAug 29, 2016
  ca6feec

Commits on Jun 23, 2016

• Adding example of pricing with VG method

  

  swatim

  authored and

  swatim

  committedJun 23, 2016
  ca303f7

Commits on Jun 22, 2016

• Finishing the VG method

  

  swatim

  authored and

  swatim

  committedJun 22, 2016
  d80fc0a

Commits on Jun 21, 2016

• Variance Gamma Method

  

  swatim

  authored and

  swatim

  committedJun 21, 2016
  95f1532

Commits on Jun 16, 2016

• Adding 1 dimensional DFT

  

  swatim

  authored and

  swatim

  committedJun 16, 2016
  0ee38c8

Commits on Jun 15, 2016

• Adding support for FFT

  

  swatim

  authored and

  swatim

  committedJun 15, 2016
  6e79cf3

Commits on May 26, 2016

• Added generic payoffs for the pricer

  

  swatim

  authored and

  swatim

  committedMay 26, 2016
  2f69e5e

Commits on May 23, 2016

• Added namespaces

  

  swatim

  authored and

  swatim

  committedMay 23, 2016
  23a25ad

• Major restructure of the folder structure

  

  swatim

  authored and

  swatim

  committedMay 23, 2016
  3c3bd0d

Commits on May 22, 2016

• Fixed the Barenblatt pricing for call spreads

  

  swatim

  authored and

  swatim

  committedMay 22, 2016
  3d331d6

Commits on May 20, 2016

• Fixes to Barenblatt pricer and plotting in R

  

  swatim

  authored and

  swatim

  committedMay 20, 2016
  6d671cd

Commits on May 19, 2016

• Changing the generic classes architecture for extensibility

  

  swatim

  authored and

  swatim

  committedMay 19, 2016
  d67423d

Commits on May 17, 2016

• Adding code for pricing call spreads

  

  swatim

  authored and

  swatim

  committedMay 17, 2016
  8781c4f

Commits on May 16, 2016

• Option Pricer version 1

  

  swatim

  authored and

  swatim

  committedMay 16, 2016
  161b486