Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Add calibrated real-world model to Examples module #86

Merged

Conversation

sschlenkrich
Copy link
Member

@sschlenkrich sschlenkrich commented Jun 26, 2024

This PR adds a hybrid model to the Examples module. The hybrid model is calibrated to match volatilities and correlations observed from historical time series of interest rates and exchange rates.

Calibration methodology is implemented and documented here. Historical time series data are documented here.

Copy link

codecov bot commented Jul 14, 2024

Codecov Report

All modified and coverable lines are covered by tests ✅

Project coverage is 98.32%. Comparing base (93dc264) to head (ef3d108).

Additional details and impacted files
@@           Coverage Diff           @@
##             main      #86   +/-   ##
=======================================
  Coverage   98.32%   98.32%           
=======================================
  Files          74       74           
  Lines        3942     3942           
=======================================
  Hits         3876     3876           
  Misses         66       66           

☔ View full report in Codecov by Sentry.
📢 Have feedback on the report? Share it here.

@sschlenkrich sschlenkrich merged commit 16ef47d into frame-consulting:main Jul 14, 2024
4 checks passed
@sschlenkrich sschlenkrich deleted the wip/real-world-example branch July 14, 2024 12:24
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

2 participants