Commit Graph

3 Commits

Author SHA1 Message Date
Martin Molinero 52d80e74f0 Indicator extensions support all indicator types 2018-08-14 18:14:46 -03:00
quant1729 145ba7bd83 Updated code as per PR 2017-01-02 19:47:23 +01:00
quant1729 55299e60fb Added new constructors to IBMapper class
Added support for history requirements, exposed by vol models. AM processes requirements.
Added new volatility model - standard deviation of returns - default vol model. Compared its results with publicly available.
Refactored option pricing engine to support optimal approximation calculations.
Added basic greeks approximation in case they are not available in QL. Tests.
Updated BasicTemplateOptionHistoryAlgorithm to print greeks.
2016-11-25 15:11:01 +01:00