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Fix SVJ model #22

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Merged
merged 3 commits into from
Jan 5, 2025
Merged

Fix SVJ model #22

merged 3 commits into from
Jan 5, 2025

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lsbardel
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@lsbardel lsbardel commented Jan 5, 2025

  • Add more docs
  • Add black_delta function
  • Fix double exponential distribution
  • Fix Heston with exponential Jumps
  • Add exponential sampling example

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Codecov Report

Attention: Patch coverage is 72.72727% with 24 lines in your changes missing coverage. Please review.

Project coverage is 67.73%. Comparing base (6a4ee9a) to head (c6b9858).

Files with missing lines Patch % Lines
quantflow/options/calibration.py 46.66% 16 Missing ⚠️
quantflow/options/bs.py 20.00% 4 Missing ⚠️
quantflow/utils/distributions.py 85.71% 4 Missing ⚠️
Additional details and impacted files
@@            Coverage Diff             @@
##             main      #22      +/-   ##
==========================================
- Coverage   68.21%   67.73%   -0.49%     
==========================================
  Files          41       41              
  Lines        2495     2526      +31     
==========================================
+ Hits         1702     1711       +9     
- Misses        793      815      +22     

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@lsbardel lsbardel merged commit 5734d68 into main Jan 5, 2025
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@lsbardel lsbardel deleted the ls-vol branch January 5, 2025 17:22
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2 participants