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TODO.md

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TO DO

HIGH PRIORITY

  • Inflation - TIPS bonds with correct yield measures
  • Perpetual - Perpetual bonds with correct yield measures
  • Equities - Convertible bond model - check accrued interest on tree
  • Credit - Finish testing FinCDSTranche and add repr method
  • Equities - Convertible bond model - check credit modelling - testing

MEDIUM PRIORITY

Calibration framework for Ibor and Equity derivatives

Equities - American Vanilla option approximations Equities - SABR model Equities - Implement Sobol across products Equities - Vol surface calibration Equities - Discrete dividends Equities - Log contracts using given skew curve Equities - Breedon-Litzenburger implied distribution of terminal stock price Equities - Fitting the skew parametrically Equities - Add interest rate risk to the Convertible bond model. Equities - Range Notes Equities - CPPI Equities - Bull Notes Equities - Payoff language Equities - Power options Equities - Variance swaps using given skew curve

FX - Barrier bending FX - Breedon-Litzenburger implied distribution of terminal stock price FX - Heston model

Ibor - Implement G2++ rate model Ibor - Implement CIR model Ibor - Shifted Vasicek Tree Ibor - Shifted BDT tree Ibor - Shifted BK Tree Ibor - Shifted CIR Tree Ibor - Add OIS product to the library Ibor - Add OIS to the Ibor curve construction Ibor - Swaption surface object Ibor - Cap floor curve object Ibor - BGM with swaption and cap/floor calibration Ibor - Bermudan Swaption pricing and risk using Andersen approach Ibor - Bermudan Swaption pricing and risk using LS approach Ibor - Range Accruals using BGM Ibor - Extend swaption pricing to the two curve approach

Inflation - Inflation Derivative - zeros and swaps using appropriate adjustments Inflation - Building an inflation curve

Commodities - New asset class

LOW PRIORITY

Curves - Consider adding splines Models - BGM Calibration Models - Finite difference schemes ? Models - Jump diffusion Models - Test Heston Model

DONE

Ibor - Extend swap pricing to two curve approach Equities - Add term structure of interest rates to all models so that full discount curve is respected. Notebooks- Add Disclaimer Ibor - Cap and floor pricing and risk Models - Sobol sequences implementation Equities - Cliquets FX - Fitting the skew parametrically Equities - Vanillas FX - Vanilla FX options FX - Digital FX options FX - FX One-touch FX - FX Barriers FX - Calibrating to volatility smile (RR and MS) Ibor - Add IR futures to the Ibor curve construction Bonds - Options on Bonds using Jamshidian Bonds - Options on Bonds using Hull-White Bonds - American Callable fixed coupon bonds using HW Bonds - American Callable floating coupon bonds using HW Bonds - American Callable/Puttable fixed coupon bonds using HW Bonds - American Callable/Puttable floating coupon bonds using HW Curves - B splines Models - Hull-White Trinomial Tree Ibor - European Swaption pricing and risk