google / google/tf-quant-finance

Integration/interpolation methods

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Description

Hi all, many thanks for this library! As I've seen, there is an integration method and interpolation. The latter are also available in other packages (tf-graphics, tf-addons) in one way or another while the integration is not (AFAIK?).

However, we implemented multiple integration algorithms and plan to put them up/into an existing repository. TFP seems nice but maybe not fully suited. However, this repository also does not seem directly like the place for this methods (as it is a very general used functionality, especially in science). Or what do you think?

Would it make sense to put this somewhere else? If so, where?

Many thanks for all the work!

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