Models

• Interest Rate Models
  • Black-Karasinski Model
    • BlackKarasinski
      • BlackKarasinski.__init__()
      • BlackKarasinski.simulate()
      • BlackKarasinski._apply_constraints()
      • BlackKarasinski.simulate()
    • Class Methods
  • Cox-Ingersoll-Ross (CIR) Model
    • CIR
      • CIR.__init__()
      • CIR.simulate()
      • CIR._apply_constraints()
      • CIR.simulate()
    • Class Methods
  • Hull-White Model
    • HullWhiteModel
      • HullWhiteModel.__init__()
      • HullWhiteModel.simulate()
      • HullWhiteModel._apply_constraints()
      • HullWhiteModel.simulate()
    • Class Methods
  • Libor Market Model (LMM)
    • LMM
      • LMM.__init__()
      • LMM.simulate()
      • LMM._apply_constraints()
      • LMM.simulate()
    • Class Methods
  • Vasicek Model
    • Vasicek
      • Vasicek.__init__()
      • Vasicek.simulate()
      • Vasicek._apply_constraints()
      • Vasicek.simulate()
    • Class Methods
• Local Volatility Models
  • Dupire Local Volatility Model
    • DupireLocalVol
      • DupireLocalVol.__init__()
      • DupireLocalVol.simulate()
      • DupireLocalVol.local_vol_func
      • DupireLocalVol.__init__()
      • DupireLocalVol.simulate()
  • DupireLocalVol
    • DupireLocalVol.simulate()
  • StochasticModel
• Stochastic Volatility Models
  • Heston Model
    • Heston
      • Heston.__init__()
      • Heston.simulate()
      • Heston._apply_constraints()
      • Heston.option_price()
      • Heston.simulate()
    • Class Methods
    • Model Description
  • SABR Model
    • SABR
      • SABR.__init__()
      • SABR.simulate()
      • SABR.option_price()
      • SABR._apply_constraints()
      • SABR.option_price()
      • SABR.simulate()
    • Class Methods
    • Model Description