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A9.1 acceptance: European values, reference-trade inputs; A9.5 item 1… FMM Linux CI #34: Commit 6f7d765 pushed by edherranz
55m 57s fmm
fmm
55m 57s
A9.1: Hagan's reduced cross-currency callable pricing on the FMM; det… FMM Linux CI #33: Commit 3e34323 pushed by edherranz
49m 29s fmm
fmm
49m 29s
Python-package route: single-run exposure + XVA chain and a cancellab… FMM Linux CI #32: Commit 888701e pushed by edherranz
56m 20s fmm
fmm
56m 20s
FMM_Exposure: side-by-side exposure profiles of the A7 runs (a7_profi… FMM Linux CI #31: Commit da4f2dc pushed by edherranz
56m 20s fmm
fmm
56m 20s
fmmExposure analytic: exact curve value as the cube's time-zero slot … FMM Linux CI #30: Commit 2b49f88 pushed by edherranz
38m 35s fmm
fmm
38m 35s
fmmExposure analytic: every contractual date of the netting set is a … FMM Linux CI #29: Commit 8c76ef3 pushed by edherranz
55m 31s fmm
fmm
55m 31s
A6 sensitivities: joint bootstrap stops at its fixed point (stationar… FMM Linux CI #28: Commit 1e08bdc pushed by edherranz
35m 35s fmm
fmm
35m 35s
A6 groundwork: exercise-policy treatment (PolicyMode Retrain | Frozen… FMM Linux CI #27: Commit 1e2afa3 pushed by edherranz
56m 30s fmm
fmm
56m 30s
A5 close-out item 2: cap/floor (optionlet) basket as a general FmmBui… FMM Linux CI #26: Commit 8f06d49 pushed by edherranz
31m 54s fmm
fmm
31m 54s
Examples/CallableBond_LgmGridFirstCoupon: stock-market reproduction o… FMM Linux CI #25: Commit 2b2631a pushed by edherranz
54m 59s fmm
fmm
54m 59s
A5 close-out: notice periods, maturity-anchored grid lattice, period-… FMM Linux CI #24: Commit 4c4b5da pushed by edherranz
54m 38s fmm
fmm
54m 38s
Examples: drop the accidentally committed FMM example comparator outp… FMM Linux CI #23: Commit 9d30593 pushed by edherranz
53m 35s fmm
fmm
53m 35s
A5.3: FMM examples (Bermudan swaption, callable bond) on the pinned P… FMM Linux CI #22: Commit 0d0121a pushed by edherranz
54m 44s fmm
fmm
54m 44s
A5.2: OREData integration of the FMM: FmmData, FmmBuilder (IrModelBui… FMM Linux CI #21: Commit 6fd5cf1 pushed by edherranz
54m 18s fmm
fmm
54m 18s
A5.1: FMM date grid, IrModel adapter, QuantLib Swaption engine, Multi… FMM Linux CI #20: Commit 05381db pushed by edherranz
26m 9s fmm
fmm
26m 9s
A3 deal-strike test: MC reference precision threshold 0.25 bp (1y exp… FMM Linux CI #19: Commit a5c277a pushed by edherranz
29m 58s fmm
fmm
29m 58s
A3 strike-aware swaption approximation (effective shift), same-model … FMM Linux CI #18: Commit 747ecfa pushed by edherranz
34m 0s fmm
fmm
34m 0s
A4 wave 4: paired-CRN identities, precision below 0.5% of option valu… FMM Linux CI #17: Commit 51ab642 pushed by edherranz
32m 4s fmm
fmm
32m 4s
A4 wave 3: intrinsic-value regressor + uniform ITM filter, notice-per… FMM Linux CI #16: Commit acb783a pushed by edherranz
20m 49s fmm
fmm
20m 49s
A4 acceptance 5: 3F FMM vs 1F LGM on a shared calibrated coterminal b… FMM Linux CI #15: Commit afbd30a pushed by edherranz
30m 17s fmm
fmm
30m 17s
A4 wave 2: issuer-spread discounting; callable bond, accreting note +… FMM Linux CI #14: Commit db964c6 pushed by edherranz
28m 0s fmm
fmm
28m 0s
A4 acceptance 4: Andersen-Broadie dual upper bound (nested simulation… FMM Linux CI #13: Commit 181be5f pushed by edherranz
27m 16s fmm
fmm
27m 16s
A4 core: FMM LSM pricer + standard callable products FMM Linux CI #12: Commit 3c040b7 pushed by edherranz
28m 12s fmm
fmm
28m 12s
A3 acceptance 4: replication-mode FMM reprices LGM coterminal swaptio… FMM Linux CI #11: Commit c5002ca pushed by edherranz
27m 50s fmm
fmm
27m 50s
A3: calibration library (separable Lambda_j a(t), a(0)=1 normalizatio… FMM Linux CI #10: Commit 06cefc3 pushed by edherranz
27m 51s fmm
fmm
27m 51s