sdepy.heston_SDE.sde

heston_SDE.sde(t, x, y, mu=0.0, sigma=1.0, theta=1.0, k=1.0, xi=1.0)

Stochastic Differential Equations (SDEs) to be integrated.

Parameters:

t : float

Time point at which the SDE should be evaluated.

x, y, … : arrays

Values that each equation variable takes at time t. There should be as many parameters as the number of equations stated in self.q.

sde_args : zero or more arrays, as keyword arguments

See documentation of SDE.sde.

Returns:

sde_terms : list or tuple of dict of arrays

A list or tuple of dictionaries, one per equation. See documentation of SDE.sde.

Notes

x, y, ... should be treated as read-only.