quantmetrics.price_calculators.vg_pricing.vg_paths_Q.VGSimulatePathsQ

class quantmetrics.price_calculators.vg_pricing.vg_paths_Q.VGSimulatePathsQ(model: LevyModel, option: Option)[source]

__init__(model: LevyModel, option: Option)[source]

Initialize the VGSimulatePathsQ with a model and an option.

Parameters

modelLevyModel: The Levy model used for calculating the characteristic function.
optionOption: The option parameters including interest rate, volatility, etc.

Methods

`__init__`(model, option)	Initialize the VGSimulatePathsQ with a model and an option.
`simulate`(num_timesteps, num_paths, seed)	Returns np.ndarray The characteristic function values.