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Functions763 in github.com/LechGrzelak/QuantFinanceBook

⨍ Functions 763◇ Types & classes 72
↓ 48 callersFunctionC
(u,tau,lambd)
PythonCodes/Chapter 15/Fig15_02.py:155
↓ 19 callersFunctionA
(u,tau,eta,lambd,Rxsigma,Rrsigma,Rxr,gamma,kappa,sigmabar)
PythonCodes/Chapter 15/Fig15_02.py:188
↓ 8 callersFunctionC
(u,tau,lambd)
PythonCodes/Chapter 13/Exe13_11.py:203
↓ 6 callersFunctionCallPutOptionPriceCOSMthd
(cf,CP,S0,r,tau,K,N,L)
Solutions to Exercises/Chapter 8/Python Codes/Exercise_8_7.py:21
↓ 6 callersFunctionCallPutOptionPriceCOSMthd
(cf,CP,S0,r,tau,K,N,L)
PythonCodes/Chapter 08/Fig08_04.py:23
↓ 6 callersFunctionCallPutOptionPriceCOSMthd
(cf,CP,S0,r,tau,K,N,L)
PythonCodes/Chapter 08/Fig08_03.py:23
↓ 6 callersFunctionCallPutOptionPriceCOSMthd
(cf,CP,S0,r,tau,K,N,L)
PythonCodes/Chapter 08/Fig08_02.py:23
↓ 6 callersFunctionChFHestonModel
(r,tau,kappa,gamma,vbar,v0,rho)
PythonCodes/Chapter 08/Fig08_04.py:136
↓ 6 callersFunctionChFHestonModel
(r,tau,kappa,gamma,vbar,v0,rho)
PythonCodes/Chapter 08/Fig08_03.py:136
↓ 6 callersFunctionChFHestonModel
(r,tau,kappa,gamma,vbar,v0,rho)
PythonCodes/Chapter 08/Fig08_02.py:136
↓ 6 callersFunctionImpliedVolatility
(CP,marketPrice,K,T,S_0,r)
PythonCodes/Chapter 08/Fig08_04.py:119
↓ 6 callersFunctionImpliedVolatility
(CP,marketPrice,K,T,S_0,r)
PythonCodes/Chapter 08/Fig08_03.py:119
↓ 6 callersFunctionImpliedVolatility
(CP,marketPrice,K,T,S_0,r)
PythonCodes/Chapter 08/Fig08_02.py:119
↓ 5 callersFunctionA
(u,tau,eta,lambd,Rxsigma,Rrsigma,Rxr,gamma,kappa,sigmabar)
PythonCodes/Chapter 13/Exe13_11.py:236
↓ 5 callersFunctionAsianOption
(S,time,Ti,r,T,cp,K,nPaths)
PythonCodes/Chapter 09/Fig09_18.py:108
↓ 5 callersFunctionBS_Call_Option_Price
(CP,S_0,K,sigma,tau,r)
Solutions to Exercises/Chapter 4/Python Codes/Exercise_4_7.py:13
↓ 5 callersFunctionGeneratePathsGBMEuler
(NoOfPaths,NoOfSteps,T,r,sigma,S_0)
PythonCodes/Chapter 09/Fig09_18.py:53
↓ 5 callersFunctionHaganImpliedVolatility
(K,T,f,alpha,beta,rho,gamma)
PythonCodes/Chapter 04/Fig04_09.py:91
↓ 5 callersFunctionimplied_vol
(K)
Solutions to Exercises/Chapter 4/Python Codes/Exercise_4_7.py:24
↓ 4 callersFunctionBS_Call_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 04/Fig04_07.py:26
↓ 4 callersFunctionBS_Call_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 04/Exe04_10.py:11
↓ 4 callersFunctionBS_Call_Put_Option_Price_Shifted
(CP,S_0,K,sigma,tau,r,shift)
PythonCodes/Chapter 14/Fig14_07.py:59
↓ 4 callersFunctionCOSDensity
(cf,x,N,a,b)
Solutions to Exercises/Chapter 8/Python Codes/Exercise_8_11.py:27
↓ 4 callersFunctionCallPutOptionPriceCOSMthd
(cf,CP,S0,r,tau,K,N,L)
Solutions to Exercises/Chapter 6/Python Codes/Exercise_6_9.py:19
↓ 4 callersFunctionCallPutOptionPriceCOSMthd
(cf,CP,S0,r,tau,K,N,L)
PythonCodes/Chapter 05/Fig05_08.py:24
↓ 4 callersFunctionCallPutOptionPriceCOSMthd_StochIR
(cf,CP,S0,tau,K,N,L,P0T)
PythonCodes/Chapter 13/Fig13_06.py:29
↓ 4 callersFunctionCallPutOptionPriceCOSMthd_StochIR
(cf,CP,S0,tau,K,N,L,P0T)
PythonCodes/Chapter 13/Tab13_02.py:31
↓ 4 callersFunctionCallPutOptionPriceCOSMthd_StochIR
(cf,CP,S0,tau,K,N,L,P0T)
PythonCodes/Chapter 13/Fig13_01.py:69
↓ 4 callersFunctionChFBSHW
(u, T, P0T, lambd, eta, rho, sigma)
PythonCodes/Chapter 13/Fig13_01.py:177
↓ 4 callersFunctionChFBatesModel
(r,tau,kappa,gamma,vbar,v0,rho,xiP,muJ,sigmaJ,S0)
Solutions to Exercises/Chapter 8/Python Codes/Exercise_8_11.py:11
↓ 4 callersFunctionChFCGMY
(r,tau,C,G,M,Y,sigma)
PythonCodes/Chapter 05/Fig05_08.py:132
↓ 4 callersFunctionChFSZHW
(u,P0T,sigma0,tau,lambd,gamma, Rxsigma,Rrsigma,Rxr,eta,kappa,sigmabar)
PythonCodes/Chapter 13/Fig13_06.py:210
↓ 4 callersFunctionEUOptionPriceFromMCPathsGeneralized
(CP,S,K,T,r)
PythonCodes/Chapter 09/Tab09_02.py:112
↓ 4 callersFunctionHaganImpliedVolatility
(K,T,f,alpha,beta,rho,gamma)
PythonCodes/Chapter 04/Fig04_07.py:42
↓ 4 callersFunctionHaganImpliedVolatility
(K,T,f,alpha,beta,rho,gamma)
PythonCodes/Chapter 04/Exe04_10.py:28
↓ 4 callersFunctionHaganImpliedVolatility
(K,T,f,alpha,beta,rho,gamma)
PythonCodes/Chapter 04/Fig04_08.py:21
↓ 4 callersFunctionImpliedVolatility
(CP,marketPrice,K,T,S_0,r)
PythonCodes/Chapter 05/Fig05_08.py:126
↓ 4 callersFunctionImpliedVolatilityBlack76
(CP,marketPrice,K,T,S_0)
PythonCodes/Chapter 13/Fig13_06.py:131
↓ 4 callersFunctionImpliedVolatilityBlack76
(CP,frwdMarketPrice,K,T,frwdStock)
PythonCodes/Chapter 13/Fig13_01.py:171
↓ 4 callersFunctionP_t_T
(lambd,eta,P0T,T1,T2,rT1)
Solutions to Exercises/Chapter 11/Python Codes/Exercise_11_9_b.py:70
↓ 4 callersFunctionbreeden_litzenberger
(S, T, r, t, payoff_func)
Solutions to Exercises/Chapter 4/Python Codes/Exercise_4_7.py:31
↓ 3 callersFunctionBS_Call_Option_Price
(CP,S_0,K,sigma,tau,r)
Solutions to Exercises/Chapter 4/Python Codes/Exercise_4_9.py:13
↓ 3 callersFunctionBS_Call_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 04/Fig04_09.py:121
↓ 3 callersFunctionBS_Call_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 14/Fig14_04.py:28
↓ 3 callersFunctionBS_Call_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 08/Tab08_01.py:105
↓ 3 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 15/Fig15_02.py:120
↓ 3 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 15/Tab15_04.py:120
↓ 3 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 13/Tab13_02.py:119
↓ 3 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 14/Fig14_07.py:66
↓ 3 callersFunctionC
(u,tau,lambd)
PythonCodes/Chapter 15/Tab15_04.py:155
↓ 3 callersFunctionC
(u,tau,lambd)
PythonCodes/Chapter 13/Fig13_06.py:151
↓ 3 callersFunctionCOSDensity
(cf,x,N,a,b)
PythonCodes/Chapter 05/Fig05_03.py:65
↓ 3 callersFunctionCallPutCoefficients
(CP,a,b,k)
Solutions to Exercises/Chapter 8/Python Codes/Exercise_8_7.py:129
↓ 3 callersFunctionCallPutOptionPriceCOSMthd
(cf,CP,S0,r,tau,K,N,L)
PythonCodes/Chapter 08/Fig08_06.py:23
↓ 3 callersFunctionCallPutOptionPriceCOSMthd_StochIR
(cf,CP,S0,tau,K,N,L,P0T)
PythonCodes/Chapter 13/Tab13_01.py:32
↓ 3 callersFunctionChFBatesModel
(r,tau,kappa,gamma,vbar,v0,rho,xiP,muJ,sigmaJ)
PythonCodes/Chapter 08/Fig08_06.py:136
↓ 3 callersFunctionChFForMertonModel
(r,tau,muJ,sigmaJ,sigma,xiP, S0)
PythonCodes/Chapter 05/Fig05_03.py:52
↓ 3 callersFunctionGeneratePathsCorrelatedBM
(NoOfPaths,NoOfSteps,T,rho)
PythonCodes/Chapter 07/Fig07_01.py:11
↓ 3 callersFunctionGeneratePathsTwoStocksEuler
(NoOfPaths,NoOfSteps,T,r,S10,S20,rho,sigma1,sigma2)
PythonCodes/Chapter 09/Exe09_14.py:10
↓ 3 callersFunctionHW_SwapPrice
(CP,notional,K,t,Ti,Tm,n,r_t,P0T,lambd,eta)
PythonCodes/Chapter 12/Fig12_06.py:146
↓ 3 callersFunctionHW_SwapPrice
(CP,notional,K,t,Ti,Tm,n,r_t,P0T,lambd,eta)
PythonCodes/Chapter 12/Fig12_05.py:146
↓ 3 callersFunctionHW_SwapPrice
(CP,notional,K,t,Ti,Tm,n,r_t,P0T,lambd,eta)
PythonCodes/Chapter 12/Fig12_07.py:146
↓ 3 callersFunctionHW_ZCB_CallPutPrice
(CP,K,lambd,eta,P0T,T1,T2)
PythonCodes/Chapter 12/Fig12_04.py:151
↓ 3 callersFunctionHW_theta
(lambd,eta,P0T)
PythonCodes/Chapter 12/Fig12_06.py:57
↓ 3 callersFunctionHW_theta
(lambd,eta,P0T)
PythonCodes/Chapter 12/Fig12_04.py:55
↓ 3 callersFunctionHW_theta
(lambd,eta,P0T)
PythonCodes/Chapter 12/Fig12_05.py:57
↓ 3 callersFunctionHW_theta
(lambd,eta,P0T)
PythonCodes/Chapter 12/Fig12_07.py:57
↓ 3 callersFunctionImpliedVolatility
(CP,marketPrice,K,T,S_0,r,initialVol = 0.4)
PythonCodes/Chapter 05/Fig05_05.py:39
↓ 3 callersFunctionImpliedVolatility
(CP,marketPrice,K,T,S_0,r)
PythonCodes/Chapter 08/Fig08_06.py:119
↓ 3 callersFunctionImpliedVolatilityBlack76
(CP,marketPrice,K,T,S_0)
PythonCodes/Chapter 13/Tab13_02.py:135
↓ 3 callersFunctionMertonCallPrice
(CP,S0,K,r,tau,muJ,sigmaJ,sigma,xiP)
PythonCodes/Chapter 05/Fig05_05.py:46
↓ 3 callersFunctionpdf_from_vc
(imp_vols, Ks, S0, T, r, t)
Solutions to Exercises/Chapter 4/Python Codes/Exercise_4_9.py:29
↓ 3 callersFunctionscipy_1d_interpolate
(xs, ys, kind)
Solutions to Exercises/Chapter 4/Python Codes/Exercise_4_9.py:24
↓ 2 callersFunctionA
(u,tau,eta,lambd,Rxsigma,Rrsigma,Rxr,gamma,kappa,sigmabar)
PythonCodes/Chapter 13/Tab13_01.py:188
↓ 2 callersFunctionA
(u,tau,eta,lambd,Rxsigma,Rrsigma,Rxr,gamma,kappa,sigmabar)
PythonCodes/Chapter 13/Fig13_06.py:184
↓ 2 callersFunctionA
(u,tau,eta,lambd,Rxsigma,Rrsigma,Rxr,gamma,kappa,sigmabar)
PythonCodes/Chapter 13/Tab13_02.py:189
↓ 2 callersFunctionAssetOfNothingPayoff
(S1,S2,K,T,r)
PythonCodes/Chapter 09/Exe09_14.py:53
↓ 2 callersFunctionBSHWVolatility
(T,eta,sigma,rho,lambd)
PythonCodes/Chapter 13/Exe13_1b.py:169
↓ 2 callersFunctionBS_Call_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 13/Exe13_1b.py:114
↓ 2 callersFunctionBS_Call_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 04/Exe04_08.py:11
↓ 2 callersFunctionBS_Call_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 04/Fig04_03.py:105
↓ 2 callersFunctionBS_Call_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 08/Fig08_06.py:105
↓ 2 callersFunctionBS_Call_Option_Price_FrwdStart
(K,sigma,T1,T2,r)
Solutions to Exercises/Chapter 10/Python Codes/Exercise_10_7.py:97
↓ 2 callersFunctionBS_Call_Option_Price_FrwdStart
(K,sigma,T1,T2,r)
PythonCodes/Chapter 10/Fig10_01.py:110
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,t,T,r)
Solutions to Exercises/Chapter 3/Python Codes/Exercise_3_3.py:18
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 15/Tab15_03.py:23
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 13/Exe13_11.py:169
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 13/Tab13_01.py:120
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 13/Fig13_06.py:117
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 04/Fig04_10.py:84
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,t,T,r)
PythonCodes/Chapter 04/Fig04_01.py:47
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,t,T,r)
PythonCodes/Chapter 04/Fig04_05.py:47
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 14/Fig14_03.py:31
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 12/Fig12_04.py:175
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 10/Fig10_02.py:100
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 08/Fig08_04.py:105
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 08/Fig08_03.py:105
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,tau,r)
PythonCodes/Chapter 08/Fig08_02.py:105
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,t,T,r)
PythonCodes/Chapter 03/Fig03_03.py:46
↓ 2 callersFunctionBS_Call_Put_Option_Price
(CP,S_0,K,sigma,t,T,r)
PythonCodes/Chapter 03/Fig03_04.py:46
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