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Add models for rates and tradeable assets #6

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merged 1 commit into from
Jul 22, 2023

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sschlenkrich
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This PR adds models for interest rates and tradeable assets:

  • multi-factor Gaussian HJM model for rates,
  • lognormal model for FX, Equity, indices
  • update tests and documentation

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Codecov Report

Merging #6 (d1dd05a) into main (bc4d21b) will decrease coverage by 1.78%.
The diff coverage is 91.84%.

@@            Coverage Diff             @@
##             main       #6      +/-   ##
==========================================
- Coverage   95.42%   93.65%   -1.78%     
==========================================
  Files           7       13       +6     
  Lines         175      457     +282     
==========================================
+ Hits          167      428     +261     
- Misses          8       29      +21     
Impacted Files Coverage Δ
src/DiffFusion.jl 100.00% <ø> (ø)
src/models/Model.jl 80.95% <80.95%> (ø)
src/models/asset/LognormalAssetModel.jl 94.28% <94.28%> (ø)
src/utils/Integrations.jl 94.44% <94.44%> (ø)
src/models/rates/GaussianHjmModel.jl 94.93% <94.93%> (ø)
src/models/asset/AssetModel.jl 100.00% <100.00%> (ø)
src/models/rates/SeparableHjmModel.jl 100.00% <100.00%> (ø)

... and 1 file with indirect coverage changes

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@sschlenkrich sschlenkrich merged commit 2844f4c into frame-consulting:main Jul 22, 2023
@sschlenkrich sschlenkrich deleted the wip/models branch July 28, 2023 15:32
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3 participants