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Implement calibration module using argmin crate. #22

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avhz opened this issue May 22, 2023 · 0 comments
Open

Implement calibration module using argmin crate. #22

avhz opened this issue May 22, 2023 · 0 comments
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enhancement New feature or request

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@avhz
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avhz commented May 22, 2023 •
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All pricing models should be able to be calibrated to market prices.

A nice Crate called argmin available here looks like it can achieve this, using Brent method or something similar.

Can also perform calibration using RustQuant::autodiff possibly ?

This requires the ability to read in price data from .csv or .json, for example. See related issue #23
@avhz avhz added the enhancement New feature or request label May 22, 2023
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