Release 4 - Complete analysis (Graded version)

• Adding full statistical analysis
• Adding final documents
• Correcting minor typos/errors

Documentation available here

Release 3 - Heston + Parallel MC pricers

• Implementation & test of:
  • Heston model (Euler scheme) (Milstein to be studied before final release)
    • Test on multiple trajectories
  • Util functions for pricing
    • Evolution of the MC convergnece when $N_{MC} \uparrow + \infty$ (plot)
    • Computation of several confidence intervals (CI) for different Z-scores (see Z_SCORES in Constants: 80, 85, 90, 95, 99, 99.5, 99.9)
    • Spatial distribution of the CI with respect to the MC price
• Introduced parallelism mode for Monte-Carlo pricers
  • Using concurrent.futures, joblib and multiprocessing libraries
  • Benchmark with IO-bound speed-up strategy using multithreading from the threading library
  • Test & Benchmark on heavy CPU workload (from 1 to 8 CPU cores)
  • Monitoring using top, htop and vtop
• Major re-organization of the GitHub repository
  • Split of the main notebook into four different ones each corresponding to one study unit
  • Setting up dependabot and CI/CD automation tools

Documentation available here

Release 2 - EUR./ASIA. pricers + BS + generic IR

• Full implementation of:
  • European pricer & Asian pricer with respective classes EuropeanPricer and AsianPricer using Monte-Carlo simulations
  • Automatic documentation generator (MkDocs)
  • Attempt to add multi-processing/multi-threading (to be continued)

Documentation available here

Release 1 - BS + generic IR

• Full implementation of:
  • Interest-rates model: Vasicek, Cox-Ingersoll-Ross
  • Equity-index model: Black-Scholes (with stochastic interest rates)
  • Attempts for Hull-White & Black-Karasinski (with calibration by QuantLib)
• Automatic documentation generation (MkDocs)
• Implementation of utils functions
• Adoption of full OOP architecture
• Plotting and external handlers for further analysis purposes

Documentation available here