├── .editorconfig ├── .github ├── ISSUE_TEMPLATE.md └── workflows │ └── build-test.yml ├── .gitignore ├── AUTHORS.rst ├── CONTRIBUTING.rst ├── HISTORY.rst ├── LICENSE ├── MANIFEST.in ├── Makefile ├── README.rst ├── docs ├── Makefile ├── _static │ ├── approximated-continuation-and-exercise-value-1.svg │ ├── exercise-or-hold.svg │ └── first-exercises.svg ├── authors.rst ├── conf.py ├── contributing.rst ├── history.rst ├── index.rst ├── installation.rst ├── longstaff_schwartz.rst ├── make.bat ├── modules.rst ├── readme.rst └── usage.rst ├── longstaff_schwartz ├── __init__.py ├── algorithm.py ├── binomial.py ├── cli.py ├── regression_basis.py └── stochastic_process.py ├── mypy.ini ├── notebooks ├── Binomial.ipynb ├── Brownian Motion.ipynb ├── Demo.ipynb ├── Geometric Brownian Motion.ipynb ├── Numerical Example.ipynb ├── Polynomials.ipynb ├── Regression Basis.ipynb ├── Tinkering II.ipynb └── Tinkering.ipynb ├── requirements_dev.txt ├── setup.cfg ├── setup.py ├── talks ├── talk_meetup_2019-09-18 │ ├── Notebook_Meetup_2019-09-18.ipynb │ ├── draw │ │ ├── american-option.svg │ │ ├── bermudan-swaption.svg │ │ ├── exercise-or-continue.svg │ │ ├── loan.svg │ │ ├── monte-carlo.svg │ │ ├── nested-simulation.svg │ │ └── perfect-foresight.svg │ ├── img │ │ ├── approximated-continuation-and-exercise-value-0.svg │ │ ├── approximated-continuation-and-exercise-value-1.svg │ │ ├── approximated-continuation-and-exercise-value-2.svg │ │ ├── continuation-value-approximation.svg │ │ ├── continuation-value-cashflows.svg │ │ ├── exercise-or-hold.svg │ │ ├── exercise-value.svg │ │ ├── first-exercises.svg │ │ ├── fitted-exercise-boundary.svg │ │ ├── monte-carlo.svg │ │ ├── numpy-polynomials.svg │ │ └── qrcode.png │ └── index.html └── talk_pyconde_2019-10-10 │ ├── Notebook_PyConDE_2019-10-10.ipynb │ ├── draw │ ├── american-option-contract.svg │ ├── american-option-payoff.svg │ ├── american-option-premium.svg │ ├── american-option.svg │ ├── check.svg │ ├── coin-value.svg │ ├── continuation-value-approximation.svg │ ├── exercise-or-continue.svg │ ├── monte-carlo.svg │ ├── nested-simulation.svg │ ├── perfect-foresight.svg │ ├── smiley_happy.svg │ └── smiley_neutral.svg │ ├── img │ ├── approximated-continuation-and-exercise-value-0.svg │ ├── approximated-continuation-and-exercise-value-1.svg │ ├── approximated-continuation-and-exercise-value-2.svg │ ├── background.png │ ├── binomial-fitted-exercise-boundary.svg │ ├── coin.png │ ├── continuation-value-approximation.svg │ ├── continuation-value-cashflows.svg │ ├── exercise-or-hold.svg │ ├── exercise-value.svg │ ├── first-exercises.svg │ ├── monte-carlo.svg │ ├── numpy-polynomials.svg │ └── qrcode.png │ └── index.html └── tests ├── __init__.py ├── test_binomial.py ├── test_demo.py ├── test_longstaff_schwartz.py ├── test_regression_basis.py └── test_stochastic_process.py /.editorconfig: -------------------------------------------------------------------------------- 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