Ecosyste.ms: Issues

An open API service for providing issue and pull request metadata for open source projects.

GitHub / google/tf-quant-finance issues and pull requests

#108 - Bump the pip group across 1 directory with 3 updates

Pull Request - State: open - Opened by dependabot[bot] 9 months ago
Labels: dependencies

#107 - Bump flask from 1.1.2 to 2.2.5 in /tf_quant_finance/examples/demos/option_pricing_basic/downloader

Pull Request - State: closed - Opened by dependabot[bot] 11 months ago - 1 comment
Labels: dependencies

#103 - Fix docstring in heston/approximations/calibration.py

Pull Request - State: open - Opened by northern-64bit over 1 year ago

#102 - JointItoProcess

Issue - State: open - Opened by spilozzi over 1 year ago

#101 - New Release

Issue - State: open - Opened by alembcke over 1 year ago

#100 - Bump requests from 2.23.0 to 2.31.0 in /tf_quant_finance/examples/demos/option_pricing_basic/downloader

Pull Request - State: closed - Opened by dependabot[bot] over 1 year ago - 1 comment
Labels: dependencies

#99 - Bump flask from 1.1.2 to 2.3.2 in /tf_quant_finance/examples/demos/option_pricing_basic/downloader

Pull Request - State: closed - Opened by dependabot[bot] almost 2 years ago - 1 comment
Labels: dependencies

#95 - TF 2.12 (and Python 3.11) support

Issue - State: open - Opened by jonas-eschle almost 2 years ago - 2 comments

#94 - Negative price for barrier option

Issue - State: open - Opened by dlvp almost 2 years ago

#93 - spread-option pricing

Pull Request - State: open - Opened by alv128 almost 2 years ago

#92 - Fixes at-expiration values being `nan`

Pull Request - State: closed - Opened by alembcke almost 2 years ago - 6 comments

#91 - Hull White Model - calibration not aligning to input prices

Issue - State: closed - Opened by mchandlernz almost 2 years ago - 3 comments

#90 - SOFR USD OIS curve

Issue - State: open - Opened by lucamichelacci almost 2 years ago

#89 - Options at-expiration return `nan`

Issue - State: closed - Opened by alembcke almost 2 years ago - 2 comments

#88 - fix(sec): upgrade numpy to 1.22.2

Pull Request - State: open - Opened by fynntang almost 2 years ago

#87 - Issue with running Bazel tests

Issue - State: open - Opened by chinmayrane about 2 years ago - 2 comments

#86 - The mailing-list is set to Invite Only

Issue - State: open - Opened by blais about 2 years ago - 1 comment

#85 - Default constructor no longer available

Pull Request - State: closed - Opened by natemurthy about 2 years ago - 2 comments

#84 - Quant

Issue - State: closed - Opened by Synergist about 2 years ago

#83 - Discrete geometric pricer under Heston vol

Pull Request - State: closed - Opened by jackgillett101 about 2 years ago - 6 comments

#82 - First cut of geometric asian pricer

Pull Request - State: closed - Opened by jackgillett101 about 2 years ago - 2 comments

#81 - times grid bug (XLA)

Issue - State: open - Opened by a17brah over 2 years ago - 1 comment

#80 - Fair performance comparison with QuantLib

Issue - State: open - Opened by DmitriGoloubentsev over 2 years ago - 9 comments

#79 - Fix example notebooks correcting tff.datetime periods

Pull Request - State: closed - Opened by sleptonium over 2 years ago - 3 comments

#78 - Fix example notebooks following new periods in tff.datetime.

Pull Request - State: closed - Opened by sleptonium over 2 years ago - 1 comment

#77 - conda-forge package

Issue - State: open - Opened by jonas-eschle over 2 years ago - 1 comment

#76 - IRS Delta

Issue - State: open - Opened by rajflume over 2 years ago - 1 comment

#75 - Bump numpy from 1.21 to 1.22.0 in /tf_quant_finance/examples/demos/option_pricing_basic/downloader

Pull Request - State: closed - Opened by dependabot[bot] over 2 years ago - 1 comment
Labels: dependencies

#74 - Bump numpy from 1.21 to 1.22.0 in /tf_quant_finance/examples/demos/option_pricing_basic/pricer

Pull Request - State: closed - Opened by dependabot[bot] over 2 years ago
Labels: dependencies

#73 - XLA compilation error of a TARF payoff with MC

Issue - State: closed - Opened by arthurpham over 2 years ago - 16 comments

#72 - case-sensitive paths on a case-insensitive filesystem

Issue - State: closed - Opened by jj2023 over 2 years ago - 4 comments

#71 - Which precision should I use? float32 or float64

Issue - State: closed - Opened by luweizheng almost 3 years ago - 2 comments

#70 - Discrete dividens for american options

Issue - State: open - Opened by mlambelho almost 3 years ago - 24 comments

#69 - Import ABC from collections.abc for Python 3.10 compatibility.

Pull Request - State: closed - Opened by tirkarthi almost 3 years ago

#68 - Memory leak with TF.function

Issue - State: closed - Opened by arthurpham almost 3 years ago - 2 comments

#67 - American options greeks with PDE is slow

Issue - State: closed - Opened by arthurpham almost 3 years ago - 1 comment

#66 - Bump numpy from 1.18.4 to 1.21.0 in /tf_quant_finance/examples/demos/option_pricing_basic/downloader

Pull Request - State: closed - Opened by dependabot[bot] about 3 years ago - 1 comment
Labels: dependencies

#65 - Bump numpy from 1.18.4 to 1.21.0 in /tf_quant_finance/examples/demos/option_pricing_basic/pricer

Pull Request - State: closed - Opened by dependabot[bot] about 3 years ago - 1 comment
Labels: dependencies

#64 - Interpolation issue with Hagan West Monotone Convex

Issue - State: closed - Opened by bigfatwhale about 3 years ago - 3 comments

#63 - MonteCarlo Simulation

Issue - State: open - Opened by DhinNeGeNe about 3 years ago - 1 comment

#62 - Month.md and month.md collide on case-insensitive filesystem

Issue - State: closed - Opened by luweizheng about 3 years ago - 4 comments

#61 - khronos ML summit

Issue - State: open - Opened by pboudier over 3 years ago

#60 - minor fix: typo miss codespelling documentation

Pull Request - State: closed - Opened by slowy07 over 3 years ago - 3 comments
Labels: cla: yes

#59 - Bjerksund-Stensland 2002 option pricing model

Pull Request - State: closed - Opened by alembcke over 3 years ago - 4 comments
Labels: cla: yes

#58 - SABR calibration

Issue - State: open - Opened by Macfly over 3 years ago - 7 comments

#57 - new pip package

Issue - State: closed - Opened by Macfly over 3 years ago - 3 comments

#56 - Asian Option

Issue - State: open - Opened by xiaozhi-alan-zhu over 3 years ago - 3 comments

#55 - Refactoring for type annotation

Pull Request - State: open - Opened by AliMuhammadOfficial over 3 years ago
Labels: cla: yes

#54 - Bjerksund-Stensland 1993 option pricing model

Pull Request - State: closed - Opened by alembcke over 3 years ago - 5 comments
Labels: cla: yes

#53 - Missing FDAmericanEngine from quantlib in American_Option_Black_Scholes.ipynb

Issue - State: closed - Opened by arthurpham over 3 years ago - 1 comment

#52 - ImportError when installing from source code

Issue - State: closed - Opened by alembcke over 3 years ago - 3 comments

#51 - Standardize dividend argument in option models

Pull Request - State: closed - Opened by alembcke over 3 years ago - 4 comments
Labels: cla: yes

#50 - Consistent argument names for dividends across option pricing models

Issue - State: closed - Opened by alembcke over 3 years ago - 3 comments

#49 - Numpy version mismatch in the first try

Issue - State: closed - Opened by mahmoodn almost 4 years ago - 3 comments

#48 - fix code quality issues

Pull Request - State: open - Opened by withshubh almost 4 years ago - 4 comments
Labels: cla: yes

#47 - libor market model

Issue - State: open - Opened by AlexandreMoulti almost 4 years ago - 3 comments

#46 - build fails

Issue - State: closed - Opened by LutzWeischerFujitsu almost 4 years ago - 4 comments

#44 - Explain class: SwapCurveBuilderResult

Pull Request - State: open - Opened by johannlilly almost 4 years ago - 2 comments
Labels: cla: yes

#43 - Time decay of American options

Issue - State: open - Opened by omdv about 4 years ago - 1 comment

#42 - HestonModel.sample_paths returns variance converging to zero

Issue - State: closed - Opened by simaki about 4 years ago - 3 comments

#40 - (docs) update README.md

Pull Request - State: closed - Opened by vladdoster about 4 years ago - 1 comment
Labels: cla: yes

#39 - Integration/interpolation methods

Issue - State: open - Opened by jonas-eschle about 4 years ago - 4 comments

#38 - Refactor datetime API to be able to run Swap Notebook with latest version …

Pull Request - State: closed - Opened by dsdinter over 4 years ago - 1 comment
Labels: cla: yes

#37 - Quant Repository

Issue - State: closed - Opened by Faysel33 over 4 years ago

#36 - Barrier Option Price XLA compatibility.

Pull Request - State: closed - Opened by DevarakondaV over 4 years ago - 2 comments
Labels: cla: yes

#35 - Add a helper function to return value and jacobian

Pull Request - State: closed - Opened by gavincyi over 4 years ago - 2 comments
Labels: cla: yes

#34 - Initial commit on Levenberg Marquardt algorithm

Pull Request - State: open - Opened by gavincyi over 4 years ago - 2 comments
Labels: cla: no

#33 - Add Levenberg-Marquardt least squares method

Issue - State: open - Opened by saxena-ashish-g over 4 years ago - 2 comments

#31 - Pricing Barrier Options

Pull Request - State: closed - Opened by DevarakondaV over 4 years ago - 5 comments
Labels: cla: yes

#30 - Heston analytics

Pull Request - State: closed - Opened by fabrice-deschatres almost 5 years ago
Labels: cla: yes

#29 - Brownian bridge

Pull Request - State: closed - Opened by fabrice-deschatres almost 5 years ago - 12 comments
Labels: cla: yes

#28 - Implementing Baron-Adesi Whaley approximation of black scholes formula

Pull Request - State: closed - Opened by esztermarton almost 5 years ago
Labels: cla: yes

#27 - Working example of fwd_gradient

Issue - State: open - Opened by feribg almost 5 years ago - 15 comments

#26 - Expanding vanilla prices

Pull Request - State: closed - Opened by esztermarton almost 5 years ago - 4 comments
Labels: cla: yes

#25 - Add day count convention 30/360

Pull Request - State: closed - Opened by gavincyi almost 5 years ago - 1 comment
Labels: cla: yes

#24 - Forward Backward Difference explained with examples.

Pull Request - State: closed - Opened by rajflume almost 5 years ago
Labels: cla: yes

#23 - Revert 3 american option baron adesi whaley

Pull Request - State: closed - Opened by cyrilchim almost 5 years ago - 1 comment
Labels: cla: no

#22 - initial commit

Pull Request - State: open - Opened by Lapsilago almost 5 years ago - 5 comments
Labels: cla: yes

#21 - Fix the jupyter notebook examples

Pull Request - State: closed - Opened by gavincyi almost 5 years ago - 2 comments
Labels: cla: yes

#20 - Swap curve fitting example

Pull Request - State: closed - Opened by gavincyi almost 5 years ago - 6 comments
Labels: cla: yes

#19 - update AmericanOption notebook; fix docstring in fd_solvers

Pull Request - State: closed - Opened by kykosic almost 5 years ago - 3 comments
Labels: cla: yes

#18 - American option baron adesi whaley

Pull Request - State: closed - Opened by esztermarton almost 5 years ago - 1 comment
Labels: cla: no

#17 - Poor Performance in TensorFlow 2.1

Issue - State: closed - Opened by kykosic almost 5 years ago - 3 comments

#16 - Documentation Updates

Pull Request - State: closed - Opened by kykosic about 5 years ago - 2 comments
Labels: cla: yes

#15 - Monte_Carlo_Euler_Scheme.ipynb

Issue - State: closed - Opened by PBRAOS about 5 years ago - 3 comments

#14 - Euler Sample Path does not work under TensorFlow 2.0 with Higher Dimension

Issue - State: closed - Opened by jjchan121 about 5 years ago - 4 comments

#13 - BS vol and greeks

Issue - State: open - Opened by feribg about 5 years ago - 10 comments

#12 - TF 2.0 Compatibility

Issue - State: closed - Opened by shun-lin about 5 years ago - 3 comments

#11 - Leverage TF autograd for greeks

Issue - State: closed - Opened by feribg over 5 years ago - 1 comment

#10 - American option price under Cox-Ross-Rubinstein

Issue - State: closed - Opened by brilhana over 5 years ago - 5 comments

#9 - Approximate European option price under Heston model

Issue - State: open - Opened by cyrilchim over 5 years ago - 16 comments
Labels: good first issue

#8 - Approximate European option price under SABR model

Issue - State: open - Opened by cyrilchim over 5 years ago - 21 comments
Labels: good first issue

#7 - Pricing formulas for Barrier options under Black-Scholes

Issue - State: closed - Opened by cyrilchim over 5 years ago - 13 comments
Labels: good first issue

#6 - Analytical approximation for a spread-option price under Black-Scholes

Issue - State: open - Opened by cyrilchim over 5 years ago - 10 comments
Labels: good first issue

#5 - Bjerksund-Stensland analytic approximation for American options

Issue - State: closed - Opened by cyrilchim over 5 years ago - 34 comments
Labels: good first issue

#4 - (docs): fixed small error

Pull Request - State: closed - Opened by 0xflotus over 5 years ago - 1 comment
Labels: cla: yes

#3 - Baron-Adesi Whaley analytic approximation for American options

Issue - State: closed - Opened by saxena-ashish-g over 5 years ago - 4 comments
Labels: good first issue