quantitative-finance

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.

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

thanks

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/

**Intro t