federicomariamassari/willowtree
Robust and flexible Python implementation of the willow tree lattice for derivatives pricing.
PythonMIT
Issues
- 1
Enhancement: Plot willow tree even if no transition matrix is well-defined. Case: k > 1.
#9 opened by federicomariamassari - 1
Bug: IndexError when P[0] is bad and only one matrix in the chain is well-behaved.
#8 opened by federicomariamassari - 2
- 1
- 1
- 0
Enhancement: Use Python's multiprocessing to speed up the algorithm.
#6 opened by federicomariamassari - 3
Bug: LP algorithm occasionally returns probabilities outside range.
#4 opened by federicomariamassari - 3
Bug: Last replaceable matrix in the chain not replaced; vector t always shortened.
#3 opened by federicomariamassari - 1