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Affine Calibraton #128

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Merged
grinisrit merged 12 commits into from
Apr 24, 2026
Merged

Affine Calibraton #128

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5d770a1
Add AP calibration fixes: market-anchored curves, vectorized pricing,…
SugoiKitsune Dec 8, 2025
eae8922
Enhanced model: time-varying theta in separate notebook, restored ori…
Dec 25, 2025
01cdfb5
Merge remote-tracking branch 'upstream/master' into ap_calib
Dec 26, 2025
27d6902
Fix multi-theta calibration: use scalar epsilon instead of time-varying
Dec 27, 2025
b0ed27d
Add multi-theta CIR caplet calibration (fast GPU version)
SugoiKitsune Feb 26, 2026
81a7d00
HW-Heston v8 calibration: notebooks, weights, docs, shared module
SugoiKitsune Mar 17, 2026
1c0c4e0
Rename docs/quant/ap to docs/quant/affine_calibration
SugoiKitsune Mar 17, 2026
a693355
Update .gitignore: exclude local-only folders and scratch files
SugoiKitsune Mar 17, 2026
ea609a7
Remove outdated README from affine_calibration
SugoiKitsune Mar 17, 2026
276d73a
Fix ap->affine_calibration imports, restructure vol_surface_review, r…
SugoiKitsune Mar 17, 2026
8b56f8d
Upgrade calibration to v9: 50k MC paths, 5k iterations, fix encoding
SugoiKitsune Mar 18, 2026
a941a2f
v9 calibration: 8000 iter, 50k paths, save checkpoint and surface image
SugoiKitsune Mar 18, 2026
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12 changes: 12 additions & 0 deletions .gitignore
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Expand Up @@ -33,6 +33,18 @@ data/
*.hdf5
tmp*
*.numbers

# Local-only folders (reports, archives, RAG)
docs/quant/affine_calibration/Final report/
docs/quant/affine_calibration/Initial report/
docs/quant/affine_calibration/archive/
docs/quant/affine_calibration/multi_theta/archive/
docs/quant/affine_calibration/rag/

# Scratch files
temp_original.ipynb
test_torch.py

*.xlsx

# Notebooks temp data
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