-
Notifications
You must be signed in to change notification settings - Fork 2
Open
Description
I've added a test suite that validates pricing algorithms against independently-computed reference values. The tests cover:
- Closed-form: Black-76, Bachelier, Merton jump-diffusion, Variance Gamma, SABR
- Tree/lattice: Jarrow-Rudd, Tian, Trinomial (convergence to BSM)
- Finite difference: Explicit, Implicit, Crank-Nicolson, PSOR
- ADI (2D Heston): Douglas, Craig-Sneyd, Hundsdorfer-Verwer
- Monte Carlo: Milstein, Quasi-MC (Sobol/Halton), MLMC, Importance Sampling
- Regression approximation: POD, RBF, PCE, Sparse Grid
- Machine learning: Neural SDE, Deep Hedging, Deep BSDE, PINNs
Each test validates against textbook reference prices, put-call parity, degenerate limits, and/or cross-method convergence.
The branch is available here: https://github.com/pit-crew/Quant-Kernel-fork/tree/add-refrence-tests
PRs appear to be disabled on this repo — happy to submit a PR if they're enabled, or feel free to cherry-pick the commit directly:
git remote add pit-crew https://github.com/pit-crew/Quant-Kernel-fork.git
git cherry-pick pit-crew/add-refrence-tests
Reactions are currently unavailable
Metadata
Metadata
Assignees
Labels
No labels