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Issues list

Leverage TF autograd for greeks
#11 by feribg was closed Sep 12, 2019 updated Sep 12, 2019
1
Monte_Carlo_Euler_Scheme.ipynb
#15 by PBRAOS was closed Dec 11, 2019 updated Dec 11, 2019
3
Euler Sample Path does not work under TensorFlow 2.0 with Higher Dimension
#14 by jjchan121 was closed Jan 30, 2020 updated Jan 30, 2020
4
TF 2.0 Compatibility
#12 by shun-lin was closed Jan 30, 2020 updated Jan 30, 2020
3
Poor Performance in TensorFlow 2.1
#17 by kykosic was closed Feb 13, 2020 updated Feb 13, 2020
3
American option price under Cox-Ross-Rubinstein
#10 by alexandrebrilhante was closed Mar 6, 2020 updated Mar 6, 2020
@saxena-ashish-g
5
Baron-Adesi Whaley analytic approximation for American options good first issue Good for newcomers
#3 by saxena-ashish-g was closed Mar 19, 2020 updated Mar 19, 2020
@esztermarton
4
TypeError: Can't instantiate abstract class ExampleProcess with abstract methods fd_solver_backward, sample_paths
#32 by franz101 was closed Jun 1, 2020 updated Jun 1, 2020
@cyrilchim
4
Pricing formulas for Barrier options under Black-Scholes good first issue Good for newcomers
#7 by cyrilchim was closed Jun 7, 2020 updated Jun 7, 2020
@DevarakondaV
13
Quant Repository
#37 by Faysel33 was closed Jul 9, 2020 updated Jul 9, 2020
HestonModel.sample_paths returns variance converging to zero
#42 by ghost was closed Jan 26, 2021 updated Jan 26, 2021
3
Numpy version mismatch in the first try
#49 by mahmoodn was closed May 4, 2021 updated May 4, 2021
3
build fails
#46 by LutzWeischerFujitsu was closed May 5, 2021 updated May 5, 2021
@matejr
4
Consistent argument names for dividends across option pricing models
#50 by alembcke was closed May 24, 2021 updated May 24, 2021
1
3
ImportError when installing from source code
#52 by alembcke was closed Jun 18, 2021 updated Jun 18, 2021
3
new pip package
#57 by Macfly was closed Jul 13, 2021 updated Jul 13, 2021
3
Missing FDAmericanEngine from quantlib in American_Option_Black_Scholes.ipynb
#53 by arthurpham was closed Jul 16, 2021 updated Jul 16, 2021
1
Bjerksund-Stensland analytic approximation for American options good first issue Good for newcomers
#5 by cyrilchim was closed Jul 30, 2021 updated Jul 30, 2021
1
@2torus @alembcke
34
Interpolation issue with Hagan West Monotone Convex
#64 by bigfatwhale was closed Jan 12, 2022 updated Jan 12, 2022
@cyrilchim
3
Memory leak with TF.function
#68 by arthurpham was closed Mar 29, 2022 updated Mar 29, 2022
2
Which precision should I use? float32 or float64
#71 by luweizheng was closed Apr 8, 2022 updated Apr 8, 2022
2
American options greeks with PDE is slow
#67 by arthurpham was closed May 16, 2022 updated May 16, 2022
1
XLA compilation error of a TARF payoff with MC
#73 by arthurpham was closed Jun 2, 2022 updated Jun 2, 2022
16
case-sensitive paths on a case-insensitive filesystem
#72 by jj2023 was closed Jun 2, 2022 updated Jun 2, 2022
4
Month.md and month.md collide on case-insensitive filesystem
#62 by luweizheng was closed Jun 2, 2022 updated Jun 2, 2022
4
ProTip! Updated in the last three days: updated:>2024-07-25.