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added pricing engines for spread- and basket options #2110

Merged
merged 48 commits into from
Nov 12, 2024
Merged

added pricing engines for spread- and basket options #2110

merged 48 commits into from
Nov 12, 2024

Commits on Feb 23, 2024

  1. Bjerksund-Stensland spread engine

    @klausspanderen
    klausspanderen committed Feb 23, 2024
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  2. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Feb 23, 2024
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  3. fixed syntax error

    @klausspanderen
    klausspanderen committed Feb 23, 2024
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Commits on Apr 1, 2024

  1. first light

    @klausspanderen
    klausspanderen committed Apr 1, 2024
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  2. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Apr 1, 2024
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Commits on Apr 22, 2024

  1. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Apr 22, 2024
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  2. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Apr 22, 2024
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Commits on May 27, 2024

  1. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed May 27, 2024
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Commits on Jun 2, 2024

  1. first version ready

    @klausspanderen
    klausspanderen committed Jun 2, 2024
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  2. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Jun 2, 2024
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Commits on Jun 27, 2024

  1. second order approximation

    @klausspanderen
    klausspanderen committed Jun 27, 2024
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Commits on Jul 8, 2024

  1. first step for Choi engine

    @klausspanderen
    klausspanderen committed Jul 8, 2024
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  2. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Jul 8, 2024
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Commits on Jul 11, 2024

  1. .

    @klausspanderen
    klausspanderen committed Jul 11, 2024
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Commits on Jul 26, 2024

  1. Update denglizhoubasketengine.cpp

    @klausspanderen
    klausspanderen authored Jul 26, 2024
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Commits on Aug 11, 2024

  1. added halley solver

    @klausspanderen
    klausspanderen committed Aug 11, 2024
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  2. add halley solver

    @klausspanderen
    klausspanderen committed Aug 11, 2024
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  3. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Aug 11, 2024
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  4. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Aug 11, 2024
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Commits on Sep 1, 2024

  1. .

    @klausspanderen
    klausspanderen committed Sep 1, 2024
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  2. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Sep 1, 2024
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Commits on Sep 10, 2024

  1. first light Choi engine

    @klausspanderen
    klausspanderen committed Sep 10, 2024
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Commits on Sep 21, 2024

  1. .

    @klausspanderen
    klausspanderen committed Sep 21, 2024
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Commits on Sep 23, 2024

  1. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Sep 23, 2024
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Commits on Oct 9, 2024

  1. secure intermediate results

    @klausspanderen
    klausspanderen committed Oct 9, 2024
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Commits on Oct 19, 2024

  1. forward deltas for Choi engine

    @klausspanderen
    klausspanderen committed Oct 19, 2024
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  2. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Oct 19, 2024
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Commits on Oct 21, 2024

  1. large spread and basket option test case

    @klausspanderen
    klausspanderen committed Oct 21, 2024
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  2. fixed smaller issues

    @klausspanderen
    klausspanderen committed Oct 21, 2024
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  3. fixed smaller issues

    @klausspanderen
    klausspanderen committed Oct 21, 2024
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  4. added all.hpp files

    @klausspanderen
    klausspanderen committed Oct 21, 2024
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  5. fixed VS build files

    @klausspanderen
    klausspanderen committed Oct 21, 2024
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  6. fixed VS build files

    @klausspanderen
    klausspanderen committed Oct 21, 2024
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Commits on Oct 28, 2024

  1. Choi engine supports spread payoffs

    @klausspanderen
    klausspanderen committed Oct 28, 2024
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Commits on Nov 5, 2024

  1. introduced FDM Wiener operator

    @klausspanderen
    klausspanderen committed Nov 5, 2024
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Commits on Nov 6, 2024

  1. removed old multi dim Black-Scholes Op

    @klausspanderen
    klausspanderen committed Nov 6, 2024
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  2. fixed test cases

    @klausspanderen
    klausspanderen committed Nov 6, 2024
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  3. remove print statement

    @klausspanderen
    klausspanderen committed Nov 6, 2024
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  4. fixed compile bug

    @klausspanderen
    klausspanderen committed Nov 6, 2024
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  5. fixed compile bug

    @klausspanderen
    klausspanderen committed Nov 6, 2024
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Commits on Nov 9, 2024

  1. fixed test suite runtime

    @klausspanderen
    klausspanderen committed Nov 9, 2024
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  2. Merge remote-tracking branch 'origin/spread_option' into spread_option

    @klausspanderen
    klausspanderen committed Nov 9, 2024
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  3. enable examples

    @klausspanderen
    klausspanderen committed Nov 9, 2024
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  4. fixed typos

    @klausspanderen
    klausspanderen committed Nov 9, 2024
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  5. fixed missing explicit

    @klausspanderen
    klausspanderen committed Nov 9, 2024
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Commits on Nov 10, 2024

  1. fixed typo

    @klausspanderen
    klausspanderen committed Nov 10, 2024
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  2. fixed typo

    @klausspanderen
    klausspanderen committed Nov 10, 2024
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Commits on Nov 11, 2024

  1. moved SumExponentialsRootSolver to detail namespace 

    removed executable bit
    @klausspanderen
    klausspanderen committed Nov 11, 2024
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