GitHub - brumen/mrds: forward skew model · GitHub

Name		Name	Last commit message	Last commit date
cva		cva
data		data
doc		doc
freight		freight
instruments		instruments
pricers		pricers
quartic		quartic
tensor		tensor
tests		tests
tolling		tolling
vols		vols
README.md		README.md
__init__.py		__init__.py
comskew_params.py		comskew_params.py
config.py		config.py
convert_date.py		convert_date.py
correlations.py		correlations.py
discount.py		discount.py
ds.py		ds.py
forward_curve.py		forward_curve.py
lmp.py		lmp.py
load.py		load.py
mc_cuda.py		mc_cuda.py
mrds.py		mrds.py
mrds_defaults.py		mrds_defaults.py
mrds_display.py		mrds_display.py
mrds_maths.py		mrds_maths.py
mrds_orm.py		mrds_orm.py
mrds_utils.py		mrds_utils.py
near_corr.py		near_corr.py
quad1d.py		quad1d.py
querygpu		querygpu
sg.py		sg.py
store_dec.py		store_dec.py
structured.py		structured.py
timing.py		timing.py
trade.py		trade.py

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Forward skew model:

Can be used for commodity commodity forwards/futures. Class ComSkew contains both calibration and a simulation part.

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forward skew model

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