Index

_

__init__() (torchquantlib.models.interest_rate.black_karasinski.BlackKarasinski method) (torchquantlib.models.interest_rate.cir.CIR method) (torchquantlib.models.interest_rate.hull_white.HullWhiteModel method) (torchquantlib.models.interest_rate.lmm.LMM method) (torchquantlib.models.interest_rate.vasicek.Vasicek method) (torchquantlib.models.local_volatility.dupire_local_volatility.DupireLocalVol method), [1] (torchquantlib.models.stochastic_volatility.heston.Heston method) (torchquantlib.models.stochastic_volatility.sabr.SABR method) (torchquantlib.utils.seq2seq_pde_solver.Seq2SeqPDESolver method)

_apply_constraints() (torchquantlib.models.interest_rate.black_karasinski.BlackKarasinski method) (torchquantlib.models.interest_rate.cir.CIR method) (torchquantlib.models.interest_rate.hull_white.HullWhiteModel method) (torchquantlib.models.interest_rate.lmm.LMM method) (torchquantlib.models.interest_rate.vasicek.Vasicek method) (torchquantlib.models.stochastic_volatility.heston.Heston method) (torchquantlib.models.stochastic_volatility.sabr.SABR method)

A

american_option() (in module torchquantlib.core.asset_pricing.option.american_option)

asian_option() (in module torchquantlib.core.asset_pricing.option.exotics)

B

barrier_option() (in module torchquantlib.core.asset_pricing.option.exotics), [1] basket_option() (in module torchquantlib.core.asset_pricing.option.exotics) bermudan_option() (in module torchquantlib.core.asset_pricing.option.bermudan_option), [1]

black_scholes_merton() (in module torchquantlib.core.asset_pricing.option.black_scholes_merton) BlackKarasinski (class in torchquantlib.models.interest_rate.black_karasinski) bootstrap_yield_curve() (in module torchquantlib.utils.yield_curve_construction), [1]

C

calculate_cva() (in module torchquantlib.core.risk.valuation_adjustment.valuation_adjustment), [1] calculate_dva() (in module torchquantlib.core.risk.valuation_adjustment.valuation_adjustment), [1] calculate_fva() (in module torchquantlib.core.risk.valuation_adjustment.valuation_adjustment), [1] calculate_mva() (in module torchquantlib.core.risk.valuation_adjustment.valuation_adjustment), [1] calculate_var() (in module torchquantlib.core.risk.market_risk.var)

callable_bond() (in module torchquantlib.core.asset_pricing.bond.bond_pricer), [1], [2] chooser_option() (in module torchquantlib.core.asset_pricing.option.exotics), [1] CIR (class in torchquantlib.models.interest_rate.cir) convertible_bond() (in module torchquantlib.core.asset_pricing.bond.bond_pricer), [1], [2] coupon_bond() (in module torchquantlib.core.asset_pricing.bond.bond_pricer), [1], [2] CurranAsianOption (class in torchquantlib.core.asset_pricing.option.exotics)

D

decoder (torchquantlib.utils.seq2seq_pde_solver.Seq2SeqPDESolver attribute)

digital_option() (in module torchquantlib.core.asset_pricing.option.exotics) DupireLocalVol (class in torchquantlib.models.local_volatility.dupire_local_volatility), [1]

E

encoder (torchquantlib.utils.seq2seq_pde_solver.Seq2SeqPDESolver attribute)

ExoticOption (class in torchquantlib.core.asset_pricing.option.exotics)

F

fixed_income_forward() (in module torchquantlib.core.asset_pricing.bond.fixed_income_forward), [1], [2] forward() (torchquantlib.core.asset_pricing.option.exotics.CurranAsianOption method) (torchquantlib.core.asset_pricing.option.exotics.ExoticOption method) (torchquantlib.utils.seq2seq_pde_solver.Seq2SeqPDESolver method), [1], [2]

future_pricer() (in module torchquantlib.core.asset_pricing.money.future_pricer), [1], [2]

H

Heston (class in torchquantlib.models.stochastic_volatility.heston)

HullWhiteModel (class in torchquantlib.models.interest_rate.hull_white)

L

LMM (class in torchquantlib.models.interest_rate.lmm)

local_vol_func (torchquantlib.models.local_volatility.dupire_local_volatility.DupireLocalVol attribute) lookback_option() (in module torchquantlib.core.asset_pricing.option.exotics), [1]

M

module torchquantlib torchquantlib.calibration torchquantlib.core torchquantlib.core.asset_pricing, [1] torchquantlib.core.asset_pricing.bond.bond_pricer, [1] torchquantlib.core.asset_pricing.bond.fixed_income_forward, [1] torchquantlib.core.asset_pricing.money.future_pricer, [1] torchquantlib.core.asset_pricing.option torchquantlib.core.asset_pricing.option.american_option torchquantlib.core.asset_pricing.option.bermudan_option torchquantlib.core.asset_pricing.option.exotics torchquantlib.core.risk torchquantlib.core.risk.credit_risk torchquantlib.core.risk.greeks torchquantlib.core.risk.market_risk torchquantlib.core.risk.valuation_adjustment.valuation_adjustment torchquantlib.models torchquantlib.models.interest_rate torchquantlib.models.interest_rate.black_karasinski torchquantlib.models.interest_rate.cir torchquantlib.models.interest_rate.hull_white torchquantlib.models.interest_rate.lmm torchquantlib.models.interest_rate.vasicek torchquantlib.models.local_volatility.dupire_local_volatility torchquantlib.models.stochastic_volatility torchquantlib.models.stochastic_volatility.heston torchquantlib.models.stochastic_volatility.sabr torchquantlib.utils torchquantlib.utils.seq2seq_pde_solver torchquantlib.utils.yield_curve_construction

N

nelson_siegel_yield_curve() (in module torchquantlib.utils.yield_curve_construction), [1]

O

option_price() (torchquantlib.models.stochastic_volatility.heston.Heston method) (torchquantlib.models.stochastic_volatility.sabr.SABR method), [1]

P

putable_bond() (in module torchquantlib.core.asset_pricing.bond.bond_pricer), [1], [2]

Q

quanto_option() (in module torchquantlib.core.asset_pricing.option.exotics)

R

rainbow_option() (in module torchquantlib.core.asset_pricing.option.exotics)

reduced_form_model() (in module torchquantlib.core.risk.credit_risk.reduced_form_model)

S

SABR (class in torchquantlib.models.stochastic_volatility.sabr) Seq2SeqPDESolver (class in torchquantlib.utils.seq2seq_pde_solver), [1] simulate() (torchquantlib.models.interest_rate.black_karasinski.BlackKarasinski method), [1] (torchquantlib.models.interest_rate.cir.CIR method), [1] (torchquantlib.models.interest_rate.hull_white.HullWhiteModel method), [1] (torchquantlib.models.interest_rate.lmm.LMM method), [1] (torchquantlib.models.interest_rate.vasicek.Vasicek method), [1] (torchquantlib.models.local_volatility.dupire_local_volatility.DupireLocalVol method), [1], [2] (torchquantlib.models.stochastic_volatility.heston.Heston method), [1] (torchquantlib.models.stochastic_volatility.sabr.SABR method), [1]

stochastic_rate_bond() (in module torchquantlib.core.asset_pricing.bond.bond_pricer), [1], [2] StochasticModel (class in torchquantlib.models.local_volatility.dupire_local_volatility)

T

torchquantlib module torchquantlib.calibration module torchquantlib.core module torchquantlib.core.asset_pricing module, [1] torchquantlib.core.asset_pricing.bond.bond_pricer module, [1] torchquantlib.core.asset_pricing.bond.fixed_income_forward module, [1] torchquantlib.core.asset_pricing.money.future_pricer module, [1] torchquantlib.core.asset_pricing.option module torchquantlib.core.asset_pricing.option.american_option module torchquantlib.core.asset_pricing.option.bermudan_option module torchquantlib.core.asset_pricing.option.exotics module torchquantlib.core.risk module torchquantlib.core.risk.credit_risk module torchquantlib.core.risk.greeks module torchquantlib.core.risk.market_risk module

torchquantlib.core.risk.valuation_adjustment.valuation_adjustment module torchquantlib.models module torchquantlib.models.interest_rate module torchquantlib.models.interest_rate.black_karasinski module torchquantlib.models.interest_rate.cir module torchquantlib.models.interest_rate.hull_white module torchquantlib.models.interest_rate.lmm module torchquantlib.models.interest_rate.vasicek module torchquantlib.models.local_volatility.dupire_local_volatility module torchquantlib.models.stochastic_volatility module torchquantlib.models.stochastic_volatility.heston module torchquantlib.models.stochastic_volatility.sabr module torchquantlib.utils module torchquantlib.utils.seq2seq_pde_solver module torchquantlib.utils.yield_curve_construction module

V

validate_option_type() (torchquantlib.core.asset_pricing.option.exotics.ValidationMixin static method) validate_parameters() (torchquantlib.core.asset_pricing.option.exotics.ValidationMixin static method)

ValidationMixin (class in torchquantlib.core.asset_pricing.option.exotics) Vasicek (class in torchquantlib.models.interest_rate.vasicek)

Z

zero_coupon_bond() (in module torchquantlib.core.asset_pricing.bond.bond_pricer), [1], [2]