google/tf-quant-finance

Analytical approximation for a spread-option price under Black-Scholes

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#6 opened on Sep 11, 2019

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 (10 comments) (0 reactions) (1 assignee)Python (4,166 stars) (547 forks)batch import
good first issue

Description

Spread-options are particularly popular in commodity markets. A simple Kirk's approximation for European spread-option price under Black-Scholes model is of interest.

The module implementing this method should live under tf_quant_finance/volatility/spread_option.py. It should support both puts and calls. Tests should be in spread_option_test.py in the same folder.

Contributor guide

Tech stack
pythontensorflow
Domain
backend
Issue type
feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
1-3 hours
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
blocked
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
clear
Prerequisites
PythonTensorFlowOptions pricing basics
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
40
Research direction
Implement Kirk's approximation for spread options in tf quant finance/volatility/spread option.py. Support both puts and calls. Write corresponding tests in spread option test.py. Follow existing code patterns in the repository.