################# API Documentation ################# Overview ======== .. automodule:: sdepy Infrastructure ============== .. autosummary:: :toctree: generated/ process piecewise montecarlo Stochasticity Sources ===================== .. autosummary:: :toctree: generated/ source wiener_source poisson_source cpoisson_source odd_wiener_source even_poisson_source even_cpoisson_source true_source true_wiener_source true_poisson_source true_cpoisson_source norm_rv uniform_rv exp_rv double_exp_rv rvmap SDE Integration Framework ========================= .. autosummary:: :toctree: generated/ paths_generator integrator SDE SDEs integrate Stochastic Processes ==================== .. autosummary:: :toctree: generated/ wiener_process lognorm_process ornstein_uhlenbeck_process hull_white_process hull_white_1factor_process cox_ingersoll_ross_process full_heston_process heston_process jumpdiff_process merton_jumpdiff_process kou_jumpdiff_process wiener_SDE lognorm_SDE ornstein_uhlenbeck_SDE hull_white_SDE cox_ingersoll_ross_SDE full_heston_SDE heston_SDE jumpdiff_SDE merton_jumpdiff_SDE kou_jumpdiff_SDE Analytical Results ================== .. autosummary:: :toctree: generated/ wiener_mean wiener_var wiener_std wiener_pdf wiener_cdf wiener_chf lognorm_mean lognorm_var lognorm_std lognorm_pdf lognorm_cdf lognorm_log_chf oruh_mean oruh_var oruh_std oruh_pdf oruh_cdf hw2f_mean hw2f_var hw2f_std hw2f_pdf hw2f_cdf cir_mean cir_var cir_std cir_pdf heston_log_mean heston_log_var heston_log_std heston_log_pdf heston_log_chf mjd_log_pdf mjd_log_chf kou_mean kou_log_pdf kou_log_chf bsd1d2 bscall bscall_delta bsput bsput_delta Shortcuts ========= Stochasticity sources and preset processes may be addressed using the following shortcuts: ==================================== ============== Full name Shortcut ==================================== ============== ``wiener_source`` ``dw`` ``poisson_source`` ``dn`` ``cpoisson_source`` ``dj`` ``odd_wiener_source`` ``odd_dw`` ``even_poisson_source`` ``even_dn`` ``even_cpoisson_source`` ``even_dj`` ``true_wiener_source`` ``true_dw`` ``true_poisson_source`` ``true_dn`` ``true_cpoisson_source`` ``true_dj`` ``wiener_process`` ``wiener`` ``lognorm_process`` ``lognorm`` ``ornstein_uhlenbeck_process`` ``oruh`` ``hull_white_process`` ``hwff`` ``hull_white_1factor_process`` ``hw1f`` ``cox_ingersoll_ross_process`` ``cir`` ``full_heston_process`` ``heston_xy`` ``heston_process`` ``heston`` ``jumpdiff_process`` ``jumpdiff`` ``merton_jumpdiff_process`` ``mjd`` ``kou_jumpdiff_process`` ``kou`` ==================================== ============== Shortcuts have been wrapped as "kfuncs", objects with managed keyword arguments (see ``kfunc`` decorator documentation below). Analytical results are named according to the shortcut of the corresponding process (e.g. ``lognorm_mean``, ``lognorm_cdf`` etc. from the ``lognorm`` shortcut) and are wrapped as kfuncs as well. .. autosummary:: :toctree: generated/ kfunc iskfunc .. Testing ======= .. include:: testing.rst