sdepy.heston_SDE.source_dw¶

heston_SDE.source_dw(dw=None, corr=None, rho=None)¶

Setup a source of standard Wiener process (Brownian motion) increments, to be used as ‘dw’ during integration.

Parameters:	dw : source, or source subclass, or None If an object complying with the `source` protocol, it is returned (`corr` and `rho`, as well as `self.dtype` and `self.rng`, are ignored). If a source subclass, it is instantiated with the given parameters, and returned. If None, a new instance of `wiener_source` is returned, with the given parameters. corr, rho : see `wiener_source` documentation
Returns:	An object complying with the `source` protocol, instantiating the requested stochasticity source. The shape and paths of source values are set to `self.paths`, `self.wshape` respectively. If instantiated, `dtype=self.dtype` and `rng=self.rng` keywords are used upon instantiation.