These 9 commits are when the Protocol Buffers files have changed:
| Commit: | 2105292 | |
|---|---|---|
| Author: | Cyril Chimisov | |
| Committer: | TF Quant Finance Bot | |
Add American option to the Instrument proto. Remove unused imports. PiperOrigin-RevId: 332480304
The documentation is generated from this commit.
| Commit: | f9298db | |
|---|---|---|
| Author: | Cyril Chimisov | |
| Committer: | TF Quant Finance Bot | |
Add American equity option pricer. PiperOrigin-RevId: 332313899
| Commit: | bc54424 | |
|---|---|---|
| Author: | Cyril Chimisov | |
| Committer: | TF Quant Finance Bot | |
Add American equiry option proto. PiperOrigin-RevId: 331741896
| Commit: | 93881d8 | |
|---|---|---|
| Author: | Cyril Chimisov | |
| Committer: | TF Quant Finance Bot | |
Refactor market data handling: - Introduce RateIndex proto. This holds three fields: type (e.g., LIBOR_3M), name, (e.g., "EUR_LIBOR_BBA") and source (e.g., "LIBOR02"); - Yield curves are characterized by being either `RiskFreeCurve` or `RateIndexCurve`; - Market data dictionary for rate instruments is now of the type market_data_dict = { "USD": { "risk_free_curve": {"dates": DateTensor, "discounts": tf.Tensor}, "LIBOR_3M" : {"dates": DateTensor, "discounts": tf.Tensor}, surface_id: "to be specified", fixings: "to be specified"},} PiperOrigin-RevId: 324767398
| Commit: | 592cec1 | |
|---|---|---|
| Author: | Amit Varshney | |
| Committer: | TF Quant Finance Bot | |
Create a proto for swaptions. PiperOrigin-RevId: 322595183
| Commit: | fe5ffb7 | |
|---|---|---|
| Author: | Cyril Chimisov | |
| Committer: | TF Quant Finance Bot | |
Add `Instrument` proto. PiperOrigin-RevId: 322188948
| Commit: | 0344d18 | |
|---|---|---|
| Author: | Cyril Chimisov | |
| Committer: | TF Quant Finance Bot | |
Replace `basis_points` with `spread`; `day_count_convention` with `daycount_convention`. Add EOM_PREVIOS and EOM_FOLLOWING handling of business day convention. PiperOrigin-RevId: 322107826
| Commit: | 5bd4ad2 | |
|---|---|---|
| Author: | Cyril Chimisov | |
| Committer: | TF Quant Finance Bot | |
Create framework module for the pricing platform. PiperOrigin-RevId: 321592207
| Commit: | 3780442 | |
|---|---|---|
| Author: | Cyril Chimisov | |
| Committer: | TF Quant Finance Bot | |
Add instrument protos to the experimental folder. PiperOrigin-RevId: 321545420