Index

_

__init__() (awt_quant.forecast.garch_forecast.GARCHOptimizer method) (awt_quant.forecast.macro_forecast.MacroDataForecasting method) (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator method) (awt_quant.forecast.stochastic.portfolio.portfolio_forecast.PortfolioForecast method) (awt_quant.forecast.stochastic.portfolio.PortfolioForecast method) (awt_quant.forecast.stochastic.SPDEMCSimulator method) (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator method) (awt_quant.forecast.stochastic.StochasticSimulator method)

A

api_forecast() (in module awt_quant.forecast.macro_forecast), [1] assets (awt_quant.forecast.portfolio.portfolio_forecast.PortfolioForecast attribute) (awt_quant.forecast.stochastic.portfolio.portfolio_forecast.PortfolioForecast attribute) awt_quant module awt_quant.data_fetch module, [1] awt_quant.data_fetch.macro module, [1] awt_quant.data_fetch.yf_fetch module, [1] awt_quant.forecast module awt_quant.forecast.garch_forecast module, [1] awt_quant.forecast.lag_llama_forecast module awt_quant.forecast.macro_forecast module, [1] awt_quant.forecast.portfolio module awt_quant.forecast.portfolio.portfolio_forecast module

awt_quant.forecast.portfolio.portfolio_simulations module awt_quant.forecast.stochastic module, [1] awt_quant.forecast.stochastic.pde_forecast module, [1] awt_quant.forecast.stochastic.portfolio module, [1] awt_quant.forecast.stochastic.portfolio.portfolio_forecast module, [1] awt_quant.forecast.stochastic.portfolio.portfolio_simulations module, [1] awt_quant.forecast.stochastic.run_simulations module, [1] awt_quant.forecast.stochastic.stochastic_likelihoods module, [1] awt_quant.forecast.stochastic.stochastic_models module, [1] awt_quant.risk module awt_quant.risk.tearsheet module awt_quant.utils module, [1]

B

backtest() (awt_quant.forecast.portfolio.portfolio_forecast.PortfolioForecast method) (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator method), [1] (awt_quant.forecast.stochastic.portfolio.portfolio_forecast.PortfolioForecast method), [1] (awt_quant.forecast.stochastic.portfolio.PortfolioForecast method) (awt_quant.forecast.stochastic.SPDEMCSimulator method) (in module awt_quant.forecast.lag_llama_forecast)

backwards() (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator method), [1] (awt_quant.forecast.stochastic.SPDEMCSimulator method) best_model (awt_quant.forecast.garch_forecast.GARCHOptimizer attribute), [1], [2] best_p (awt_quant.forecast.garch_forecast.GARCHOptimizer attribute), [1], [2] best_q (awt_quant.forecast.garch_forecast.GARCHOptimizer attribute), [1], [2]

C

calendar (in module awt_quant.forecast.stochastic.run_simulations) common_index() (in module awt_quant.risk.tearsheet) compare_multiple_portfolio_simulations() (in module awt_quant.forecast.stochastic) (in module awt_quant.forecast.stochastic.portfolio) (in module awt_quant.forecast.stochastic.portfolio.portfolio_simulations), [1]

compute_beta() (in module awt_quant.risk.tearsheet) convert_numpy_floats() (in module awt_quant.forecast.macro_forecast), [1] copula_simulation() (awt_quant.forecast.portfolio.portfolio_forecast.PortfolioForecast method) (awt_quant.forecast.stochastic.portfolio.portfolio_forecast.PortfolioForecast method), [1] (awt_quant.forecast.stochastic.portfolio.PortfolioForecast method)

D

data (in module awt_quant.risk.tearsheet) dates_train (awt_quant.forecast.garch_forecast.GARCHOptimizer attribute), [1], [2] device (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator attribute) (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator attribute) download_data() (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator method), [1] (awt_quant.forecast.stochastic.SPDEMCSimulator method) (in module awt_quant.data_fetch) (in module awt_quant.data_fetch.yf_fetch), [1]

dt (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator attribute), [1], [2] (awt_quant.forecast.stochastic.SPDEMCSimulator attribute) (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator attribute) (in module awt_quant.forecast.stochastic.run_simulations)

E

end_date (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator attribute), [1], [2] (awt_quant.forecast.stochastic.SPDEMCSimulator attribute) end_dates (in module awt_quant.forecast.stochastic.run_simulations) eq_class (in module awt_quant.forecast.stochastic.run_simulations) eq_classes (in module awt_quant.forecast.stochastic.run_simulations) equation (awt_quant.forecast.portfolio.portfolio_forecast.PortfolioForecast attribute) (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator attribute), [1], [2] (awt_quant.forecast.stochastic.portfolio.portfolio_forecast.PortfolioForecast attribute) (awt_quant.forecast.stochastic.SPDEMCSimulator attribute)

error_estimation() (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator method), [1] (awt_quant.forecast.stochastic.SPDEMCSimulator method) estimate_cir_parameters() (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator method), [1] (awt_quant.forecast.stochastic.StochasticSimulator method) estimate_heston_parameters() (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator method), [1] (awt_quant.forecast.stochastic.StochasticSimulator method) estimate_ou_parameters() (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator method), [1] (awt_quant.forecast.stochastic.StochasticSimulator method) evaluate_forecasts() (in module awt_quant.forecast.lag_llama_forecast) execute_forecasts() (awt_quant.forecast.macro_forecast.MacroDataForecasting method), [1]

F

fetch_stock_data() (in module awt_quant.forecast.lag_llama_forecast) financial_calendar_days_before() (in module awt_quant.utils), [1] fit() (awt_quant.forecast.garch_forecast.GARCHOptimizer method), [1] fitted_model (awt_quant.forecast.garch_forecast.GARCHOptimizer attribute), [1], [2] forecast() (awt_quant.forecast.garch_forecast.GARCHOptimizer method), [1] (awt_quant.forecast.portfolio.portfolio_forecast.PortfolioForecast method) (awt_quant.forecast.stochastic.portfolio.portfolio_forecast.PortfolioForecast method), [1] (awt_quant.forecast.stochastic.portfolio.PortfolioForecast method)

forecast_periods (in module awt_quant.forecast.stochastic.run_simulations) forecast_results (awt_quant.forecast.macro_forecast.MacroDataForecasting attribute) forecast_with_autots() (awt_quant.forecast.macro_forecast.MacroDataForecasting method), [1] forecasted_vol (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator attribute) FRED_API_KEY (in module awt_quant.data_fetch.macro)

G

GARCH_fit (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator attribute) GARCHOptimizer (class in awt_quant.forecast.garch_forecast), [1] get_bulk_macro() (in module awt_quant.data_fetch) (in module awt_quant.data_fetch.macro), [1] get_device() (in module awt_quant.forecast.lag_llama_forecast) get_fred_series() (in module awt_quant.data_fetch) (in module awt_quant.data_fetch.macro), [1]

get_fred_series_info() (in module awt_quant.data_fetch) (in module awt_quant.data_fetch.macro), [1] get_lag_llama_predictions() (in module awt_quant.forecast.lag_llama_forecast) get_macro() (in module awt_quant.data_fetch) (in module awt_quant.data_fetch.macro), [1]

H

hurst() (in module awt_quant.utils), [1], [2]

L

LAG_LLAMA_CKPT_PATH (in module awt_quant.forecast.lag_llama_forecast)

M

MACRO_INDICATORS (in module awt_quant.data_fetch.macro) MacroDataForecasting (class in awt_quant.forecast.macro_forecast), [1] main() (in module awt_quant.forecast.lag_llama_forecast) meta_data (awt_quant.forecast.macro_forecast.MacroDataForecasting attribute) module awt_quant awt_quant.data_fetch, [1] awt_quant.data_fetch.macro, [1] awt_quant.data_fetch.yf_fetch, [1] awt_quant.forecast awt_quant.forecast.garch_forecast, [1] awt_quant.forecast.lag_llama_forecast awt_quant.forecast.macro_forecast, [1] awt_quant.forecast.portfolio awt_quant.forecast.portfolio.portfolio_forecast awt_quant.forecast.portfolio.portfolio_simulations awt_quant.forecast.stochastic, [1] awt_quant.forecast.stochastic.pde_forecast, [1] awt_quant.forecast.stochastic.portfolio, [1] awt_quant.forecast.stochastic.portfolio.portfolio_forecast, [1] awt_quant.forecast.stochastic.portfolio.portfolio_simulations, [1] awt_quant.forecast.stochastic.run_simulations, [1] awt_quant.forecast.stochastic.stochastic_likelihoods, [1] awt_quant.forecast.stochastic.stochastic_models, [1] awt_quant.risk awt_quant.risk.tearsheet awt_quant.utils, [1]

N

N (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator attribute) neg_log_likelihood_cir() (in module awt_quant.forecast.stochastic) (in module awt_quant.forecast.stochastic.stochastic_likelihoods), [1] neg_log_likelihood_ou() (in module awt_quant.forecast.stochastic) (in module awt_quant.forecast.stochastic.stochastic_likelihoods), [1]

num_paths (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator attribute), [1], [2] (awt_quant.forecast.stochastic.SPDEMCSimulator attribute) (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator attribute) (in module awt_quant.forecast.stochastic.run_simulations) num_sim (in module awt_quant.forecast.stochastic.run_simulations)

P

parser (in module awt_quant.forecast.stochastic.run_simulations) plot_correlogram() (in module awt_quant.utils), [1] plot_forecast() (awt_quant.forecast.portfolio.portfolio_forecast.PortfolioForecast method) (awt_quant.forecast.stochastic.portfolio.portfolio_forecast.PortfolioForecast method), [1] (awt_quant.forecast.stochastic.portfolio.PortfolioForecast method) plot_forecasts() (in module awt_quant.forecast.lag_llama_forecast) plot_macro_series() (in module awt_quant.data_fetch) (in module awt_quant.data_fetch.macro), [1] plot_sim (in module awt_quant.forecast.stochastic.run_simulations) plot_simulation() (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator method), [1] (awt_quant.forecast.stochastic.SPDEMCSimulator method)

plot_vol (awt_quant.forecast.garch_forecast.GARCHOptimizer attribute), [1], [2] (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator attribute) (in module awt_quant.forecast.stochastic.run_simulations) plot_volatility() (awt_quant.forecast.garch_forecast.GARCHOptimizer method), [1] portfolio (awt_quant.forecast.portfolio.portfolio_forecast.PortfolioForecast attribute) (awt_quant.forecast.stochastic.portfolio.portfolio_forecast.PortfolioForecast attribute) PortfolioForecast (class in awt_quant.forecast.portfolio.portfolio_forecast) (class in awt_quant.forecast.stochastic.portfolio) (class in awt_quant.forecast.stochastic.portfolio.portfolio_forecast), [1] position (awt_quant.forecast.portfolio.portfolio_forecast.PortfolioForecast attribute) (awt_quant.forecast.stochastic.portfolio.portfolio_forecast.PortfolioForecast attribute) preprocess_data() (awt_quant.forecast.macro_forecast.MacroDataForecasting method), [1]

Q

quantity (awt_quant.forecast.portfolio.portfolio_forecast.PortfolioForecast attribute) (awt_quant.forecast.stochastic.portfolio.portfolio_forecast.PortfolioForecast attribute)

R

risk_tearSheet() (in module awt_quant.risk.tearsheet) run_multiple_simulations() (in module awt_quant.forecast.stochastic.run_simulations), [1] run_portfolio_simulation() (in module awt_quant.forecast.stochastic) (in module awt_quant.forecast.stochastic.portfolio) (in module awt_quant.forecast.stochastic.portfolio.portfolio_simulations), [1]

run_single_simulation() (in module awt_quant.forecast.stochastic.run_simulations), [1]

S

series (awt_quant.forecast.garch_forecast.GARCHOptimizer attribute), [1], [2] SERIES_INFO_API_STR (in module awt_quant.data_fetch.macro) SERIES_TS_API_STR (in module awt_quant.data_fetch.macro) sim (in module awt_quant.forecast.stochastic.pde_forecast) simulate() (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator method), [1] (awt_quant.forecast.stochastic.SPDEMCSimulator method) simulate_cir() (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator method), [1] (awt_quant.forecast.stochastic.StochasticSimulator method) simulate_gbm() (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator method), [1] (awt_quant.forecast.stochastic.StochasticSimulator method) simulate_heston() (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator method), [1] (awt_quant.forecast.stochastic.StochasticSimulator method)

simulate_ou() (awt_quant.forecast.stochastic.stochastic_models.StochasticSimulator method), [1] (awt_quant.forecast.stochastic.StochasticSimulator method) SPDEMCSimulator (class in awt_quant.forecast.stochastic) (class in awt_quant.forecast.stochastic.pde_forecast), [1] start_date (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator attribute), [1], [2] (awt_quant.forecast.stochastic.SPDEMCSimulator attribute) StochasticSimulator (class in awt_quant.forecast.stochastic) (class in awt_quant.forecast.stochastic.stochastic_models), [1] symbols (awt_quant.forecast.portfolio.portfolio_forecast.PortfolioForecast attribute) (awt_quant.forecast.stochastic.portfolio.portfolio_forecast.PortfolioForecast attribute)

T

ticker (awt_quant.forecast.garch_forecast.GARCHOptimizer attribute), [1], [2] (awt_quant.forecast.stochastic.pde_forecast.SPDEMCSimulator attribute), [1], [2] (awt_quant.forecast.stochastic.SPDEMCSimulator attribute)

time_series (awt_quant.forecast.macro_forecast.MacroDataForecasting attribute) timegpt (in module awt_quant.forecast.macro_forecast) TIMEGPT_API_KEY (in module awt_quant.forecast.macro_forecast) train_test_splits (in module awt_quant.forecast.stochastic.run_simulations)