Refactor sensitivity calculation for AMC payoffs #53
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- Amend AMC payoffs for smooth step function - Add has_amc_function to identify AMC payoffs - Add regression re-calibration to sensitivity calculation - Add swaption sensitivity component test - Add gradient calculation via FiniteDifferences
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Codecov ReportAttention:
Additional details and impacted files@@ Coverage Diff @@
## main #53 +/- ##
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- Coverage 98.98% 98.76% -0.23%
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Files 59 59
Lines 2957 2988 +31
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+ Hits 2927 2951 +24
- Misses 30 37 +7 ☔ View full report in Codecov by Sentry. |
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This PR updates and adds functions for Delta and Vega calculation. It aims at allowing sensitivity calculation for AMC-based payoffs.