Price Calculators

The price_calculators module contains tools for implementing different pricing models, including closed-form solutions, characteristic functions, and numerical methods.

Modules

The price_calculators module is organized into the following submodules:

base_calculator.py: Defines the base class for all pricing models. This is not meant to be instantiated directly but serves as the foundation for other calculators.
gbm_pricing: Contains classes for the Geometric Brownian Motion (GBM) model. This submodule includes:
- gbm_calculator.py: Contains the GBMCalculator class for pricing using the GBM model.
- gbm_closed_form.py: Provides closed-form solutions for options under the GBM model.
- gbm_paths_Q.py: Implements path simulations under the GBM model.
cjd_pricing: Implements the Constant Jump Diffusion (CJD) model. This submodule includes:
- cjd_calculator.py: Contains the CJDCalculator class for pricing using the CJD model.
- cjd_characteristic_function.py: Implements the characteristic function for the CJD model.
- cjd_closed_form.py: Provides closed-form solutions for options under the CJD model.
- cjd_paths_Q.py: Implements path simulations under the CJD model.
ljd_pricing: Implements the Lognormal Jump Diffusion (LJD) model. This submodule includes:
- ljd_calculator.py: Contains the LJDCalculator class for pricing using the LJD model.
- ljd_characteristic_function.py: Implements the characteristic function for the LJD model.
- ljd_closed_form.py: Provides closed-form solutions for options under the LJD model.
- ljd_paths_Q.py: Implements path simulations under the LJD model.
dejd_pricing: Provides tools for the Double Exponential Jump Diffusion (DEJD) model. This submodule includes:
- dejd_calculator.py: Contains the DEJDCalculator class for pricing using the DEJD model.
- dejd_characteristic_function.py: Implements the characteristic function for the DEJD model.
- dejd_closed_form.py: Provides closed-form solutions for options under the DEJD model.
- dejd_paths_Q.py: Implements path simulations under the DEJD model.
vg_pricing: Implements the Variance Gamma (VG) model. This submodule includes:
- vg_calculator.py: Contains the VGCalculator class for pricing using the VG model.
- vg_characteristic_function.py: Implements the characteristic function for the VG model.
- vg_closed_form.py: Provides closed-form solutions for options under the VG model.

Classes

Geometric Brownian Motion (GBM)

`quantmetrics.price_calculators.gbm_pricing.gbm_calculator.GBMCalculator`	Calculator for option pricing under the Geometric Brownian Motion (GBM) model.
`quantmetrics.price_calculators.gbm_pricing.gbm_closed_form.GBMClosedForm`	Implements the closed-form solution for pricing European options under a Geometric Brownian Motion (GBM) model.
`quantmetrics.price_calculators.gbm_pricing.gbm_characteristic_function.GBMCharacteristicFunction`	Implements the characteristic function for a Geometric Brownian Motion (GBM) model.
`quantmetrics.price_calculators.gbm_pricing.gbm_paths_Q.GBMSimulatePathsQ`	Implements the paths simulation for a Geometric Brownian Motion (GBM) model under the risk-neutral measure.

Constant Jump Diffusion (CJD)

`quantmetrics.price_calculators.cjd_pricing.cjd_calculator.CJDCalculator`	Calculator for option pricing under the Constant jump-diffusion (CJD) model.
`quantmetrics.price_calculators.cjd_pricing.cjd_closed_form.CJDClosedForm`	Implements the closed-form solution for pricing European options under a constant jump-diffusion (CJD) model.
`quantmetrics.price_calculators.cjd_pricing.cjd_characteristic_function.CJDCharacteristicFunction`	Implements the characteristic function for a constant jump-diffusion (CJD) model.
`quantmetrics.price_calculators.cjd_pricing.cjd_paths_Q.CJDSimulatePathsQ`	Implements the paths simulation for a constant jump-diffusion (CJD) model under the risk-neutral measure.

Lognormal Jump Diffusion (LJD)

`quantmetrics.price_calculators.ljd_pricing.ljd_calculator.LJDCalculator`	Calculator for option pricing under the lognormal jump-diffusion (LJD) model.
`quantmetrics.price_calculators.ljd_pricing.ljd_closed_form.LJDClosedForm`	Implements the closed-form solution for pricing European options under a lognormal jump-diffusion (LJD) model.
`quantmetrics.price_calculators.ljd_pricing.ljd_characteristic_function.LJDCharacteristicFunction`	Implements the characteristic function for a lognormal jump-diffusion (LJD) model.
`quantmetrics.price_calculators.ljd_pricing.ljd_paths_Q.LJDSimulatePathsQ`	Implements the paths simulation for a lognormal jump-diffusion (LJD) model under the risk-neutral measure.

Double Exponential Jump Diffusion (DEJD)

`quantmetrics.price_calculators.dejd_pricing.dejd_calculator.DEJDCalculator`	Calculator for option pricing under the lognormal jump-diffusion (LJD) model.
`quantmetrics.price_calculators.dejd_pricing.dejd_closed_form.DEJDClosedForm`	Implements the closed-form solution for pricing European options under a lognormal jump-diffusion (LJD) model.
`quantmetrics.price_calculators.dejd_pricing.dejd_characteristic_function.DEJDCharacteristicFunction`	Implements the characteristic function for a lognormal jump-diffusion (LJD) model.
`quantmetrics.price_calculators.dejd_pricing.dejd_paths_Q.DEJDSimulatePathsQ`

Variance Gamma (VG)

`quantmetrics.price_calculators.vg_pricing.vg_calculator.VGCalculator`
`quantmetrics.price_calculators.vg_pricing.vg_closed_form.VGClosedForm`	Implements the closed-form "numerical" solution for pricing European options under a Variance Gamma (VG) model.
`quantmetrics.price_calculators.vg_pricing.vg_characteristic_function.VGCharacteristicFunction`
`quantmetrics.price_calculators.vg_pricing.vg_paths_Q.VGSimulatePathsQ`