torchquantlib package

Subpackages

• Calibration
  • ModelCalibrator
    • Class Description
    • Parameters
    • Methods
• Core
  • Asset Pricing
    • Bond
      • Bond Pricer
      • Fixed Income Forward
      • callable_bond()
      • convertible_bond()
      • coupon_bond()
      • putable_bond()
      • stochastic_rate_bond()
      • zero_coupon_bond()
      • fixed_income_forward()
    • Money Market
      • Future Pricer
      • future_pricer()
    • Option
      • American Option
      • Asian Option
      • Black-Scholes-Merton Model
      • Bermudan Option
  • Risk
    • Credit Risk
      • Structural Model
      • Reduced Form Model
    • Market Risk
      • Value at Risk (VaR)
      • Expected Shortfall (ES)
      • Stress Testing
      • Scenario Analysis
    • Valuation Adjustment
      • Valuation Adjustment API
      • calculate_cva()
      • calculate_dva()
      • calculate_fva()
      • calculate_mva()
    • Greeks
      • Malliavin Greeks for european_option_greeks
      • Malliavin Greeks for Digital Options
      • Malliavin Greeks for Barrier Options
      • Malliavin Greeks for Lookback Options
      • Malliavin Greeks for Basket Options
      • Malliavin Greeks for Asian Options:
• Models
  • Interest Rate Models
    • Black-Karasinski Model
      • BlackKarasinski
      • Class Methods
    • Cox-Ingersoll-Ross (CIR) Model
      • CIR
      • Class Methods
    • Hull-White Model
      • HullWhiteModel
      • Class Methods
    • Libor Market Model (LMM)
      • LMM
      • Class Methods
    • Vasicek Model
      • Vasicek
      • Class Methods
  • Local Volatility Models
    • Dupire Local Volatility Model
      • DupireLocalVol
    • DupireLocalVol
      • DupireLocalVol.simulate()
    • StochasticModel
  • Stochastic Volatility Models
    • Heston Model
      • Heston
      • Class Methods
      • Model Description
    • SABR Model
      • SABR
      • Class Methods
      • Model Description
• Utils
  • seq2seq_pde_solver
    • Seq2SeqPDESolver
      • Seq2SeqPDESolver.forward()
    • Seq2SeqPDESolver
      • Seq2SeqPDESolver.__init__()
      • Seq2SeqPDESolver.forward()
      • Seq2SeqPDESolver.encoder
      • Seq2SeqPDESolver.decoder
      • Seq2SeqPDESolver.forward()
  • Yield Curve Construction
    • bootstrap_yield_curve()
    • nelson_siegel_yield_curve()
    • Bootstrap Yield Curve
      • bootstrap_yield_curve()
      • Usage Example
    • Nelson-Siegel Yield Curve
      • nelson_siegel_yield_curve()
      • Usage Example

Module contents