high-performance-computing

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.

Just an FYI whilst I was trawling through the ROCm GitHub page:

https://rocmdocs.amd.com/en/latest/Programming_Guides/Programming-Guides.html#

As mentioned in precice/tutorials#231 reading and writing multiple times within one timestep is allowed usage of the preCICE API. We should therefore implement corresponding tests (I believe we don't have any test going into this direction yet?).

Example

Textbook API usage

initialize
while(ongoing){
  read
  solve
  write
  advance
}

[elast