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# Sphinx build info version 1 | ||
# This file hashes the configuration used when building these files. When it is not found, a full rebuild will be done. | ||
config: 2116aff26f83ec397cc5d8b9f9612df7 | ||
tags: 645f666f9bcd5a90fca523b33c5a78b7 |
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============== | ||
Data fetching | ||
============== | ||
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.. currentmodule:: quantflow.data | ||
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API Reference | ||
============== | ||
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.. grid:: | ||
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.. grid-item-card:: | ||
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.. toctree:: | ||
:maxdepth: 2 | ||
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sp/index | ||
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.. grid-item-card:: | ||
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.. toctree:: | ||
:maxdepth: 2 | ||
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options/index | ||
.. grid-item-card:: | ||
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.. toctree:: | ||
:maxdepth: 2 | ||
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ta/index | ||
.. grid:: | ||
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.. grid-item-card:: | ||
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.. toctree:: | ||
:maxdepth: 2 | ||
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data/index | ||
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.. grid-item-card:: | ||
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.. toctree:: | ||
:maxdepth: 2 | ||
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utils/index |
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================================== | ||
Option Pricing | ||
================================== | ||
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.. currentmodule:: quantflow.options | ||
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.. toctree:: | ||
:maxdepth: 1 | ||
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vol_surface |
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================================== | ||
VolSurface | ||
================================== | ||
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.. module:: quantflow.options.surface | ||
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.. autoclass:: VolSurface | ||
:members: |
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================ | ||
CIR | ||
================ | ||
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The Cox–Ingersoll–Ross (CIR) model | ||
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.. currentmodule:: quantflow.sp.cir | ||
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.. autoclass:: CIR | ||
:members: |
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=================== | ||
Compound Poisson | ||
=================== | ||
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.. currentmodule:: quantflow.sp.poisson | ||
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.. autoclass:: CompoundPoissonProcess | ||
:members: |
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================ | ||
Heston process | ||
================ | ||
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.. currentmodule:: quantflow.sp.heston | ||
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.. autoclass:: Heston | ||
:members: |
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=================== | ||
Stochastic Process | ||
=================== | ||
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This page gives an overview of all Stochastic Processes available in the library. | ||
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.. _sp: | ||
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.. currentmodule:: quantflow.sp.base | ||
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.. autoclass:: StochasticProcess | ||
:members: | ||
:noindex: | ||
:autosummary: | ||
:autosummary-nosignatures: | ||
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.. autoclass:: StochasticProcess1D | ||
:members: | ||
:noindex: | ||
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.. autoclass:: IntensityProcess | ||
:members: | ||
:noindex: | ||
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.. toctree:: | ||
:maxdepth: 1 | ||
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weiner | ||
poisson | ||
compound_poisson | ||
ou | ||
cir | ||
jump_diffusion | ||
heston |
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================ | ||
Jump diffusions | ||
================ | ||
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Jump-diffusions models are a class of stochastic processes that combine a diffusion process with a jump process. The jump process is a Poisson process that generates jumps in the value of the underlying asset. The jump-diffusion model is a generalization of the Black-Scholes model that allows for the possibility of large, | ||
discontinuous jumps in the value of the underlying asset. | ||
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The most famous jump-diffusion model is the Merton model, which was introduced by Robert Merton in 1976. The Merton model assumes that the underlying asset follows a geometric Brownian motion with jumps that are normally distributed. | ||
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.. currentmodule:: quantflow.sp.jump_diffusion | ||
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.. autoclass:: JumpDiffusion | ||
:members: | ||
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.. autoclass:: Merton | ||
:members: |
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================ | ||
OU Processes | ||
================ | ||
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These are the classes that implement gaussian and non-gaussian | ||
`Ornstein-Uhlenbeck <https://en.wikipedia.org/wiki/Ornstein%E2%80%93Uhlenbeck_process>` process. | ||
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.. currentmodule:: quantflow.sp.ou | ||
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.. autoclass:: Vasicek | ||
:members: | ||
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.. autoclass:: GammaOU | ||
:members: |
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================ | ||
Poisson process | ||
================ | ||
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.. currentmodule:: quantflow.sp.poisson | ||
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.. autoclass:: PoissonProcess | ||
:members: |
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=============== | ||
Weiner process | ||
=============== | ||
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.. module:: quantflow.sp.weiner | ||
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.. autoclass:: WeinerProcess | ||
:members: |
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================================== | ||
Timeseries Analysis | ||
================================== | ||
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.. currentmodule:: quantflow.ta | ||
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.. toctree:: | ||
:maxdepth: 1 | ||
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ohlc |
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================ | ||
OHLC | ||
================ | ||
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.. currentmodule:: quantflow.ta.ohlc | ||
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.. autoclass:: OHLC | ||
:members: | ||
:member-order: groupwise | ||
:member-order: groupwise | ||
:autosummary: | ||
:autosummary-nosignatures: |
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====== | ||
Utils | ||
====== | ||
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.. currentmodule:: quantflow.utils | ||
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.. toctree:: | ||
:maxdepth: 1 | ||
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paths | ||
marginal1d |
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=========== | ||
Marginal1D | ||
=========== | ||
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.. module:: quantflow.utils.marginal | ||
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.. autoclass:: Marginal1D | ||
:members: | ||
:member-order: groupwise | ||
:autosummary: | ||
:autosummary-nosignatures: |
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=========== | ||
Paths | ||
=========== | ||
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.. module:: quantflow.utils.paths | ||
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.. autoclass:: Paths | ||
:members: | ||
:member-order: groupwise | ||
:autosummary: | ||
:autosummary-nosignatures: |
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