Giter VIP home page Giter VIP logo

Comments (4)

idorrington92 avatar idorrington92 commented on May 11, 2024

I'd be happy to have a go at this

from financepy.

domokane avatar domokane commented on May 11, 2024

I am not sure this is still needed. Look in utils at solver_cg.py and solver_nm.py to see the functions that were added and where they are used to see if everything is as fast as it can be. I had lots of issues with numba but I think they now work. But I have sort of forgotten so I am not 100% sure.

from financepy.

idorrington92 avatar idorrington92 commented on May 11, 2024

I saw solver_cg but it didn't look like it was being used anywhere... and it looks like equity_vol_surface (and others) are using the scipy solver. Though it looks like it tries solver_nm and only uses scipy's CG when that fails to converge (or when the user specifies to use it).

from financepy.

domokane avatar domokane commented on May 11, 2024

Yes. My main focus was on the FX surface solver. If you see a need to work on it let me know. I am jammed on other things right now but if there is stuff to be done on this it would be very helpful.

from financepy.

Related Issues (20)

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo D3

    Bring data to life with SVG, Canvas and HTML. 📊📈🎉

Recommend Topics

  • javascript

    JavaScript (JS) is a lightweight interpreted programming language with first-class functions.

  • web

    Some thing interesting about web. New door for the world.

  • server

    A server is a program made to process requests and deliver data to clients.

  • Machine learning

    Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google ❤️ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.