quantitative-finance

Hi I wonder if there is any chance to add Chilean Calendar to the library

thanks

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.

According to @rspadim, functions in entropy.py could use numpy array instead of strings, as it's better to numba.

Guide on how to implement this is available in the comments in PR #311 .

This is the onboarding issue for new contributors to fastquant 😄

Please read through the references below and feel free to ask for help in the issues or slack channel!

Tutorials on the fastquant website:

https://enzoampil.github.io/fastquant-blog/

fastquant example notebooks:

https://nbviewer.jupyter.org/github/enzoampil/fastquant/tree/master/examples/

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