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khawars
commented
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Will template be supported for Visual Studio on MAC anytime later? Probably .mpack is needed.
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andygrove
commented
Jul 25, 2020
Update the TPCH example to support query 6:
select
sum(l_extendedprice * l_discount) as revenue
from
lineitem
where
l_shipdate >= date ':1'
and l_shipdate < date ':1' + interval '1' year
and l_discount between :2 - 0.01 and :2 + 0.01
and l_quantity < :3;
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Heston model has accurate density approximations for European option prices, which are of interest.
The module implementing this method should live under tf_quant_finance/volatility/heston_approximation.py. It should support both European option puts and calls approximations. Tests should be in heston_approximation_test.py in the same folder.