sdepy.hull_white_process.shapes¶
-
hull_white_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 thelet
method has shapexshape + (paths,)
. Defaults tovshape
.- wshape : int or tuple of int
Shape of the working space used during integration.
x
values passed to thesde
andlet
methods have shapewshape + (paths,)
. Defaults tovshape
.
Notes
xshape
andwshape
are passed to the parentpaths_generator
class.hull_white_SDE
andheston_SDE
classes illustrate use cases for different values ofvshape
,xshape
and/orwshape
.