QdpMC
Usage
Installation
Get started
Import modules
Set up parameters
Single-barrier options
Calculate Greeks
Re-use random numbers
Time-varying barrier level
Define payoff function
API References
Structures
qdpmc.structures.barrier_options.UpOut
qdpmc.structures.barrier_options.UpIn
qdpmc.structures.barrier_options.DownOut
qdpmc.structures.barrier_options.DownIn
qdpmc.structures.barrier_options.DoubleOut
qdpmc.structures.barrier_options.DoubleIn
qdpmc.structures.autocalls.StandardSnowball
qdpmc.structures.autocalls.UpOutDownIn
Payoffs
qdpmc.tools.payoffs.plain_vanilla
qdpmc.tools.payoffs.cash_or_nothing
qdpmc.tools.payoffs.asset_or_nothing
qdpmc.tools.payoffs.Payoff
Products
qdpmc.products.products.SnowballProd
Market Models
qdpmc.model.market_process.BlackScholes
qdpmc.model.market_process.Heston
Engines
qdpmc.engine.monte_carlo.MonteCarlo
Date Utilities
qdpmc.dateutil.date.Calendar
QdpMC
»
Index
Index
A
|
B
|
C
|
D
|
F
|
G
|
H
|
I
|
M
|
N
|
O
|
P
|
S
|
T
|
U
|
V
A
add_holiday_rule() (qdpmc.dateutil.date.Calendar method)
add_holidays() (qdpmc.dateutil.date.Calendar method)
asset_or_nothing() (in module qdpmc.tools.payoffs)
B
BlackScholes (class in qdpmc.model.market_process)
C
calc() (qdpmc.engine.monte_carlo.MonteCarlo method)
calc_value() (qdpmc.structures.autocalls.StandardSnowball method)
(qdpmc.structures.autocalls.UpOutDownIn method)
(qdpmc.structures.barrier_options.DoubleIn method)
(qdpmc.structures.barrier_options.DoubleOut method)
(qdpmc.structures.barrier_options.DownIn method)
(qdpmc.structures.barrier_options.DownOut method)
(qdpmc.structures.barrier_options.UpIn method)
(qdpmc.structures.barrier_options.UpOut method)
Calendar (class in qdpmc.dateutil.date)
caller (qdpmc.engine.monte_carlo.MonteCarlo property)
cash_or_nothing() (in module qdpmc.tools.payoffs)
D
DoubleIn (class in qdpmc.structures.barrier_options)
DoubleOut (class in qdpmc.structures.barrier_options)
DownIn (class in qdpmc.structures.barrier_options)
DownOut (class in qdpmc.structures.barrier_options)
F
find_coup_rate() (qdpmc.products.products.SnowballProd method)
G
generate_path() (qdpmc.model.market_process.Heston method)
generate_path_given_uz() (qdpmc.model.market_process.Heston method)
H
Heston (class in qdpmc.model.market_process)
I
is_trading() (qdpmc.dateutil.date.Calendar method)
M
MonteCarlo (class in qdpmc.engine.monte_carlo)
most_recent_entropy (qdpmc.engine.monte_carlo.MonteCarlo property)
N
num_trading_days_between() (qdpmc.dateutil.date.Calendar method)
O
offset() (qdpmc.dateutil.date.Calendar method)
P
Payoff (class in qdpmc.tools.payoffs)
periodic() (qdpmc.dateutil.date.Calendar method)
plain_vanilla() (in module qdpmc.tools.payoffs)
pv_log_paths() (qdpmc.structures.autocalls.StandardSnowball method)
(qdpmc.structures.autocalls.UpOutDownIn method)
(qdpmc.structures.barrier_options.DoubleIn method)
(qdpmc.structures.barrier_options.DoubleOut method)
(qdpmc.structures.barrier_options.DownIn method)
(qdpmc.structures.barrier_options.DownOut method)
(qdpmc.structures.barrier_options.UpIn method)
(qdpmc.structures.barrier_options.UpOut method)
S
sim_t_array (qdpmc.structures.autocalls.StandardSnowball property)
(qdpmc.structures.autocalls.UpOutDownIn property)
(qdpmc.structures.barrier_options.DoubleIn property)
(qdpmc.structures.barrier_options.DoubleOut property)
(qdpmc.structures.barrier_options.DownIn property)
(qdpmc.structures.barrier_options.DownOut property)
(qdpmc.structures.barrier_options.UpIn property)
(qdpmc.structures.barrier_options.UpOut property)
single_iter_caller() (qdpmc.engine.monte_carlo.MonteCarlo method)
SnowballProd (class in qdpmc.products.products)
spot (qdpmc.structures.autocalls.StandardSnowball property)
(qdpmc.structures.autocalls.UpOutDownIn property)
(qdpmc.structures.barrier_options.DoubleIn property)
(qdpmc.structures.barrier_options.DoubleOut property)
(qdpmc.structures.barrier_options.DownIn property)
(qdpmc.structures.barrier_options.DownOut property)
(qdpmc.structures.barrier_options.UpIn property)
(qdpmc.structures.barrier_options.UpOut property)
StandardSnowball (class in qdpmc.structures.autocalls)
T
to_log() (qdpmc.tools.payoffs.Payoff method)
to_scalar() (qdpmc.dateutil.date.Calendar method)
to_structure() (qdpmc.products.products.SnowballProd method)
trading_days_between() (qdpmc.dateutil.date.Calendar method)
U
UpIn (class in qdpmc.structures.barrier_options)
UpOut (class in qdpmc.structures.barrier_options)
UpOutDownIn (class in qdpmc.structures.autocalls)
V
value() (qdpmc.products.products.SnowballProd method)