awt_quant.forecast.stochastic.stochastic_models¶

Module Contents¶

class awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator(num_paths, N, dt, device)[source]¶

num_paths[source]¶

N[source]¶

dt[source]¶

device[source]¶

simulate_gbm(mu, sigma, S0)[source]¶: Simulates Geometric Brownian Motion (GBM).

estimate_ou_parameters(data)[source]¶: Estimates Ornstein-Uhlenbeck (OU) process parameters via MLE.

simulate_ou(S0, data)[source]¶: Simulates Ornstein-Uhlenbeck (OU) process with estimated parameters.

estimate_cir_parameters(data)[source]¶: Estimates Cox-Ingersoll-Ross (CIR) process parameters via MLE.

simulate_cir(S0, data)[source]¶: Simulates Cox-Ingersoll-Ross (CIR) process with estimated parameters.

estimate_heston_parameters(cond_vol, returns)[source]¶: Estimates parameters for Heston model.

simulate_heston(S0, cond_vol, returns)[source]¶: Simulates the Heston model.