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06_05_2018.txt
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47 lines (41 loc) · 1.95 KB
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Features:
- Pykhtin (2009) Local Volatility Floor (1)
- Local Volatility Generation Control Constructor (2, 3)
- Pykhtin (2009) Empirical Ceiling Factor (4)
- Local Volatility Smoothing Floor Bias (5)
- Local Volatility Generation Control Standard (6, 7, 8)
- Local Volatility Generation Control Incorporation (9)
- Local Volatility Generation Control #1 (11, 12)
- Local Volatility Generation Control #2 (13, 14)
- Local Volatility Generation Control #3 (15, 16)
- Local Volatility Generation Control #4 (17, 18)
- Local Volatility Generation Control #5 (19, 20)
- Vertex Realization Volatility Function Shell (21)
- Vertex Realization Local Volatility #1 (22, 23)
- Vertex Realization Local Volatility #2 (24, 25)
- Vertex Realization Local Volatility #3 (26, 27)
- Vertex Realization Local Volatility #4 (28, 29)
- Vertex Realization Local Volatility #5 (34)
- Vertex Realization Local Volatility #6 (37, 38)
- Vertex Realization Local Volatility #7 (54, 55)
- Vertex Realization Local Volatility #8 (56, 57)
Bug Fixes/Clean-up:
Samples:
- Pykhtin Raw Regression Metrics #1 (10)
- Pykhtin Raw Regression Metrics #2 (30, 31)
- Pykhtin Raw Regression Metrics #3 (32, 33)
- Pykhtin Raw Regression Metrics #4 (35, 36)
- Pykhtin 2009 Local Volatility Regressor (39)
- Bullet Conditional Exposure Regression #1 (40, 41)
- Bullet Conditional Exposure Regression #2 (42, 43)
- Bullet Conditional Exposure Regression #3 (44, 45)
- Bullet Conditional Exposure Regression #4 (46, 47)
- Bullet Conditional Exposure Regression #5 (48, 49)
- Bullet Conditional Exposure Regression #6 (50, 51)
- Bullet Conditional Exposure Regression #7 (52, 53)
- Bullet Conditional Exposure Regression #8 (54, 55)
- Bullet Conditional Exposure Regression #9 (56, 57)
- Bullet Conditional Exposure Regression #10 (58, 59)
- Bullet Conditional Exposure Regression #11 (60, 61)
- Bullet Conditional Exposure Regression #12 (62, 33)
- Bullet Conditional Exposure Regression #13 (64, 65)