sdepy.merton_jumpdiff_process.shapes

merton_jumpdiff_process.shapes(vshape)

Shape of the values to be computed and stored upon integration of the SDE.

Parameters:

vshape : int or tuple of int

Shape of the values of the integration result, as requested upon instantiation of SDE.

Returns:

vshape : int or tuple of int

Confirms or overrides the given vshape.

xshape : int or tuple of int

Shape of the values stored during integration at the output time points. out_x array passed to the let method has shape xshape + (paths,). Defaults to vshape.

wshape : int or tuple of int

Shape of the working space used during integration. x values passed to the sde and let methods have shape wshape + (paths,). Defaults to vshape.

Notes

xshape and wshape are passed to the parent paths_generator class.

hull_white_SDE and heston_SDE classes illustrate use cases for different values of vshape, xshape and/or wshape.