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@tlmaloney
tlmaloney / func_names.cpp
Created December 14, 2011 04:34
Implied volatility for American Options
/*
* func_names.cpp
*
* Created on: Dec 1, 2011
* Author: tlmaloney
*/
#include "func_names.h"
// boundary condition along tau_final
@tlmaloney
tlmaloney / Annuity.py
Created December 8, 2011 12:40
Annuity class
'''
Created on Dec 8, 2011
@author: tlmaloney
'''
import Asset
class Annuity(Asset.Asset):
'''
@tlmaloney
tlmaloney / Payment.py
Created December 7, 2011 19:53
Payment class
'''
Created on Nov 25, 2011
@author: tlmaloney
'''
class Payment(object):
'''
A payment is the transfer of ownership and possession of an amount of asset from Agent A to
Agent B on a specific date.
@tlmaloney
tlmaloney / Price.py
Created December 7, 2011 04:26
Price class
'''
Created on Nov 26, 2011
@author: tlmaloney
'''
import Payment
class Price(object):
'''
@tlmaloney
tlmaloney / Market.py
Created December 6, 2011 18:56
Market class
'''
Created on Nov 25, 2011
@author: tlmaloney
'''
class Market(object):
'''
A market provides information about observables, like Assets, Prices,
Agents, DiscountFactorCurves, etc.
'''
Created on Nov 25, 2011
@author: tlmaloney
'''
class Agent(object):
'''
An Agent has a name and Unique ID.
'''