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Missing FDAmericanEngine from quantlib in American_Option_Black_Scholes.ipynb #53

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arthurpham opened this issue Jun 17, 2021 · 1 comment
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Missing FDAmericanEngine from quantlib in American_Option_Black_Scholes.ipynb #53

arthurpham opened this issue Jun 17, 2021 · 1 comment

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@arthurpham
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AttributeError: module 'QuantLib' has no attribute 'FDAmericanEngine'

According to the quantlib release https://github.com/lballabio/QuantLib/releases/tag/QuantLib-v1.22, FDAmericanEngine has been removed after being deprecated, and is replaced by FdBlackScholesVanillaEngine
tf-quant-finance-robot pushed a commit that referenced this issue Jul 16, 2021
@tf-quant-finance-robot
Update American options Black-Scholes notebook:
974d9b0 
 * Add XLA-compiled timing for a CPU device
 * Update QuantLib implementation as suggested in #53

PiperOrigin-RevId: 385151861
@cyrilchim
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I have updated the colab with new timings and also with the updated method.

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@arthurpham @cyrilchim