sdepy.hull_white_SDE.sde¶
-
hull_white_SDE.
sde
(s, x, theta=0.0, k=1.0, sigma=1.0)[source]¶ Stochastic Differential Equation (SDE) to be integrated.
Parameters: - t : float
Time point at which the SDE should be evaluated.
- x : array
Values that the stochastic process takes at time
t
.- sde_args : zero or more arrays, as keyword arguments
SDE parameters, as implied by the
sde
method signature. Passed upon instantiation of theSDE
class as possibly time-dependent array-like, these parameters are served to thesde
method once evaluated att
and converted to arrays vianp.asarray
.
Returns: - sde_terms : dict of arrays
Contains, for each differential stated in the
source
attribute, the value of the corresponding coefficient in the represented SDE.
Notes
x
should be treated as read-only.