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The module implementing this method should live under tf_quant_finance/volatility/heston_approximation.py. It should support both European option puts and calls approximations. Tests should be in heston_approximation_test.py in the same folder.
Kratos Multiphysics (A.K.A Kratos) is a framework for building parallel multi-disciplinary simulation software. Modularity, extensibility and HPC are the main objectives. Kratos has BSD license and is written in C++ with extensive Python interface.
A point load can be mathematically represented as a distribution, e.g., a Dirac delta. It breaks the Gridap flow, since one cannot use Gauss quadratures and numerical integration (what we usually do in FEM) to compute the integral of f*v in that case.
I don't want to consider hacks, e.g., touch the vector entry in a particular node in which you want to put the force (assuming the force is on
We should try to improve the fallback operations for RandomVariables in probnum.random_variables._arithmetic and the unary fallback operations in RandomVariable itself.
Ideas include:
Generic random variables can always be multiplied by Diracs which provides a closed form expression for the mean by leveraging linearity E[aX] = a E[X] if a ~ Dirac
Code coverage should be added to the Travis config (perhaps the cabal file and/or the stack options need to be changed in order to account for hpc coverage generation); currently in Travis there is only a project key.
This tool uploads hpc coverage reports to codecov.io .
Heston model has accurate density approximations for European option prices, which are of interest.
The module implementing this method should live under tf_quant_finance/volatility/heston_approximation.py. It should support both European option puts and calls approximations. Tests should be in heston_approximation_test.py in the same folder.