Hi!
I
believe that examples should be nontrivial, interesting and useful for library
testing. What do you think?
To
start with I’ll write two examples:
BSM
European Option Test:
Goal: tests
errors of the solutions using different methods.
Computes and compares European call value using BSM
formula, Monte-Carlo and Finite-Differences method, displays relative error.
Tests put-call parity.
Hedging
error example:
Goals: shows usage of the QL for experimental study.
Computes profit/loss of the short European option
position due to discrete hedging.
It
would be nice to receive your example ideas.
Best
wishes,
Maxim
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