I’ll give it my second biggest big compliment: I’ve wanted to do something like this for years. (My biggest compliment is: why didn’t I think of that?)
Anyway, do you have a robust methodology for testing this? I’ve seen people make simple mistakes like summing volatilities or using the European options model for US options and dozens of other small issues. It would almost be as large a contribution to come up with a testing suite.
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I’ll give it my second biggest big compliment: I’ve wanted to do something like this for years. (My biggest compliment is: why didn’t I think of that?)
Anyway, do you have a robust methodology for testing this? I’ve seen people make simple mistakes like summing volatilities or using the European options model for US options and dozens of other small issues. It would almost be as large a contribution to come up with a testing suite.