Index

_

__init__() (quantmetrics.price_calculators.cjd_pricing.cjd_calculator.CJDCalculator method) (quantmetrics.price_calculators.cjd_pricing.cjd_characteristic_function.CJDCharacteristicFunction method) (quantmetrics.price_calculators.cjd_pricing.cjd_closed_form.CJDClosedForm method) (quantmetrics.price_calculators.cjd_pricing.cjd_paths_Q.CJDSimulatePathsQ method) (quantmetrics.price_calculators.dejd_pricing.dejd_calculator.DEJDCalculator method) (quantmetrics.price_calculators.dejd_pricing.dejd_characteristic_function.DEJDCharacteristicFunction method) (quantmetrics.price_calculators.dejd_pricing.dejd_closed_form.DEJDClosedForm method) (quantmetrics.price_calculators.dejd_pricing.dejd_paths_Q.DEJDSimulatePathsQ method) (quantmetrics.price_calculators.gbm_pricing.gbm_calculator.GBMCalculator method) (quantmetrics.price_calculators.gbm_pricing.gbm_characteristic_function.GBMCharacteristicFunction method) (quantmetrics.price_calculators.gbm_pricing.gbm_closed_form.GBMClosedForm method) (quantmetrics.price_calculators.gbm_pricing.gbm_paths_Q.GBMSimulatePathsQ method) (quantmetrics.price_calculators.ljd_pricing.ljd_calculator.LJDCalculator method) (quantmetrics.price_calculators.ljd_pricing.ljd_characteristic_function.LJDCharacteristicFunction method) (quantmetrics.price_calculators.ljd_pricing.ljd_closed_form.LJDClosedForm method) (quantmetrics.price_calculators.ljd_pricing.ljd_paths_Q.LJDSimulatePathsQ method) (quantmetrics.price_calculators.vg_pricing.vg_calculator.VGCalculator method) (quantmetrics.price_calculators.vg_pricing.vg_characteristic_function.VGCharacteristicFunction method) (quantmetrics.price_calculators.vg_pricing.vg_closed_form.VGClosedForm method) (quantmetrics.price_calculators.vg_pricing.vg_paths_Q.VGSimulatePathsQ method)

C

CJDCalculator (class in quantmetrics.price_calculators.cjd_pricing.cjd_calculator) CJDCharacteristicFunction (class in quantmetrics.price_calculators.cjd_pricing.cjd_characteristic_function)

CJDClosedForm (class in quantmetrics.price_calculators.cjd_pricing.cjd_closed_form) CJDSimulatePathsQ (class in quantmetrics.price_calculators.cjd_pricing.cjd_paths_Q) ConstantJumpDiffusion (class in quantmetrics.levy_models.constant_jump_diffusion)

D

DEJDCalculator (class in quantmetrics.price_calculators.dejd_pricing.dejd_calculator) DEJDCharacteristicFunction (class in quantmetrics.price_calculators.dejd_pricing.dejd_characteristic_function) DEJDClosedForm (class in quantmetrics.price_calculators.dejd_pricing.dejd_closed_form)

DEJDSimulatePathsQ (class in quantmetrics.price_calculators.dejd_pricing.dejd_paths_Q) delta (quantmetrics.levy_models.variance_gamma.VarianceGamma property) DoubleExponentialJumpDiffusion (class in quantmetrics.levy_models.double_exponential_jump_diffusion)

E

eta1 (quantmetrics.levy_models.double_exponential_jump_diffusion.DoubleExponentialJumpDiffusion property)

eta2 (quantmetrics.levy_models.double_exponential_jump_diffusion.DoubleExponentialJumpDiffusion property)

F

fit() (quantmetrics.levy_models.constant_jump_diffusion.ConstantJumpDiffusion method) (quantmetrics.levy_models.double_exponential_jump_diffusion.DoubleExponentialJumpDiffusion method) (quantmetrics.levy_models.geometric_brownian_motion.GeometricBrownianMotion method) (quantmetrics.levy_models.lognormal_jump_diffusion.LognormalJumpDiffusion method) (quantmetrics.levy_models.variance_gamma.VarianceGamma method)

G

gamma (quantmetrics.levy_models.constant_jump_diffusion.ConstantJumpDiffusion property) GBMCalculator (class in quantmetrics.price_calculators.gbm_pricing.gbm_calculator) GBMCharacteristicFunction (class in quantmetrics.price_calculators.gbm_pricing.gbm_characteristic_function)

GBMClosedForm (class in quantmetrics.price_calculators.gbm_pricing.gbm_closed_form) GBMSimulatePathsQ (class in quantmetrics.price_calculators.gbm_pricing.gbm_paths_Q) GeometricBrownianMotion (class in quantmetrics.levy_models.geometric_brownian_motion)

K

kappa (quantmetrics.levy_models.variance_gamma.VarianceGamma property)

L

lambda_ (quantmetrics.levy_models.constant_jump_diffusion.ConstantJumpDiffusion property) (quantmetrics.levy_models.double_exponential_jump_diffusion.DoubleExponentialJumpDiffusion property) (quantmetrics.levy_models.lognormal_jump_diffusion.LognormalJumpDiffusion property) LJDCalculator (class in quantmetrics.price_calculators.ljd_pricing.ljd_calculator)

LJDCharacteristicFunction (class in quantmetrics.price_calculators.ljd_pricing.ljd_characteristic_function) LJDClosedForm (class in quantmetrics.price_calculators.ljd_pricing.ljd_closed_form) LJDSimulatePathsQ (class in quantmetrics.price_calculators.ljd_pricing.ljd_paths_Q) LognormalJumpDiffusion (class in quantmetrics.levy_models.lognormal_jump_diffusion)

M

m (quantmetrics.levy_models.variance_gamma.VarianceGamma property) model_params_conds_valid (quantmetrics.levy_models.constant_jump_diffusion.ConstantJumpDiffusion property) (quantmetrics.levy_models.double_exponential_jump_diffusion.DoubleExponentialJumpDiffusion property) (quantmetrics.levy_models.geometric_brownian_motion.GeometricBrownianMotion property) (quantmetrics.levy_models.lognormal_jump_diffusion.LognormalJumpDiffusion property) (quantmetrics.levy_models.variance_gamma.VarianceGamma property) module quantmetrics.levy_models.constant_jump_diffusion quantmetrics.levy_models.double_exponential_jump_diffusion quantmetrics.levy_models.geometric_brownian_motion quantmetrics.levy_models.lognormal_jump_diffusion quantmetrics.levy_models.variance_gamma quantmetrics.price_calculators.ljd_pricing.ljd_characteristic_function quantmetrics.price_calculators.ljd_pricing.ljd_closed_form

mu (quantmetrics.levy_models.constant_jump_diffusion.ConstantJumpDiffusion property) (quantmetrics.levy_models.double_exponential_jump_diffusion.DoubleExponentialJumpDiffusion property) (quantmetrics.levy_models.geometric_brownian_motion.GeometricBrownianMotion property) (quantmetrics.levy_models.lognormal_jump_diffusion.LognormalJumpDiffusion property) (quantmetrics.levy_models.variance_gamma.VarianceGamma property) muJ (quantmetrics.levy_models.lognormal_jump_diffusion.LognormalJumpDiffusion property)

P

p (quantmetrics.levy_models.double_exponential_jump_diffusion.DoubleExponentialJumpDiffusion property) pdf() (quantmetrics.levy_models.constant_jump_diffusion.ConstantJumpDiffusion method) (quantmetrics.levy_models.double_exponential_jump_diffusion.DoubleExponentialJumpDiffusion method) (quantmetrics.levy_models.geometric_brownian_motion.GeometricBrownianMotion method) (quantmetrics.levy_models.lognormal_jump_diffusion.LognormalJumpDiffusion method) (quantmetrics.levy_models.variance_gamma.VarianceGamma method)

Q

quantmetrics.levy_models.constant_jump_diffusion module quantmetrics.levy_models.double_exponential_jump_diffusion module quantmetrics.levy_models.geometric_brownian_motion module quantmetrics.levy_models.lognormal_jump_diffusion module

quantmetrics.levy_models.variance_gamma module quantmetrics.price_calculators.ljd_pricing.ljd_characteristic_function module quantmetrics.price_calculators.ljd_pricing.ljd_closed_form module

S

sigma (quantmetrics.levy_models.constant_jump_diffusion.ConstantJumpDiffusion property) (quantmetrics.levy_models.double_exponential_jump_diffusion.DoubleExponentialJumpDiffusion property) (quantmetrics.levy_models.geometric_brownian_motion.GeometricBrownianMotion property) (quantmetrics.levy_models.lognormal_jump_diffusion.LognormalJumpDiffusion property)

sigmaJ (quantmetrics.levy_models.lognormal_jump_diffusion.LognormalJumpDiffusion property)

V

VarianceGamma (class in quantmetrics.levy_models.variance_gamma) VGCalculator (class in quantmetrics.price_calculators.vg_pricing.vg_calculator)

VGCharacteristicFunction (class in quantmetrics.price_calculators.vg_pricing.vg_characteristic_function) VGClosedForm (class in quantmetrics.price_calculators.vg_pricing.vg_closed_form) VGSimulatePathsQ (class in quantmetrics.price_calculators.vg_pricing.vg_paths_Q)