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Commits on Mar 20, 2023

• Merge pull request google#92 from alembcke:expiration_fix

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Commits on Mar 17, 2023

• fixed at-expiration pricing and squashed commits

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Commits on Mar 15, 2023

• Internal change

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Commits on Mar 13, 2023

• Reformat BUILD files.

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  Cyril Chimisov

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Commits on Feb 17, 2023

• Add a build rule for TFQF excluding experimental folder.

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Commits on Jan 18, 2023

• Fix test failures under NumPy 1.24.

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Commits on Jan 11, 2023

• Merge pull request google#83 from jackgillett101:heston_geometric_asians

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Commits on Jan 5, 2023

• Code review fixes

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Commits on Jan 4, 2023

• Merge pull request google#85 from natemurthy:master

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• [NumPy] Remove references to deprecated NumPy type aliases.

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  Cyril Chimisov

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Commits on Jan 3, 2023

• Fix some documentation issues.

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  saxena-ashish-g

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Commits on Dec 26, 2022

• Default constructor no longer available

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Commits on Dec 8, 2022

• Fix tff.types

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• Merge pull request google#82 from jackgillett101:master

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Commits on Dec 6, 2022

• * Fix Heston calibration to account for discount factors correctly.

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  Cyril Chimisov

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• Tidying frac notation

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Commits on Dec 2, 2022

• Speed up American option pricing tests.

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  Cyril Chimisov

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Commits on Nov 29, 2022

• Implement high-performance American option pricing method.

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  Viktoria Csizmadia

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Commits on Nov 23, 2022

• Fix bugs in calculation of the exercise boundary function of American option pricing.

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  Viktoria Csizmadia

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Commits on Nov 21, 2022

• Use Philox algorithm for random number generation.

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  Cyril Chimisov

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Commits on Nov 14, 2022

• Fix bugs in graph mode for the Gauss-Kronrod method.

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  Viktoria Csizmadia

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Commits on Nov 9, 2022

• * Extend Geometric Brownian Motion to work with dynamically shaped number of times.

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  Cyril Chimisov

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Commits on Nov 8, 2022

• Fix test expected values for Bermudan swaption pricers.

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  Cyril Chimisov

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Commits on Nov 7, 2022

• Internal change

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  Cyril Chimisov

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Commits on Nov 3, 2022

• Implement exercise_boundary function for American option pricing algorithm.

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  Viktoria Csizmadia

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Commits on Oct 20, 2022

• Calculating the denominator for the exercise boundary function for American options.

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  Viktoria Csizmadia

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Commits on Oct 19, 2022

• Calculating the exercise boundary function for American options.

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  Viktoria Csizmadia

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Commits on Oct 10, 2022

• Implemented Gauss-Kronrod integration method.

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  Viktoria Csizmadia

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Commits on Sep 23, 2022

• Using the Gauss-Legendre quadrature method instead of local implementation.

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  Viktoria Csizmadia

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Commits on Sep 22, 2022

• Add Gauss-Legendre integration method. Roots and coefficients for the method are hard-coded in a separate file (gauss_constants.py).

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  Viktoria Csizmadia

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Commits on Sep 21, 2022

• Reduce test sizes for the Local Volatility model.

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  Cyril Chimisov

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Commits on Sep 12, 2022

• Update Forward_Backward_Diff colab.

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  Cyril Chimisov

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Commits on Sep 10, 2022

• Fix example notebooks correcting tff.datetime period references

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Commits on Sep 1, 2022

• Fix implied_vol docs typo.

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• Remove usage of tf1 functionality.

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