sdepy.heston_process.sde¶
-
heston_process.
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 inself.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.