Last updated: 2023-03-16.
Module: tf_quant_finance.models#
TensorFlow Quantitative Finance tools to build Diffusion Models.
Modules#
cir module: CIR model.
euler_sampling module: The Euler sampling method for ito processes.
heston module: Heston model.
hjm module: HJM model.
hull_white module: TensorFlow Quantitative Finance tools to build Hull White type models.
longstaff_schwartz module: LSM algorithm methods.
milstein_sampling module: The Milstein sampling method for ito processes.
sabr module: Sabr model.
Classes#
class GenericItoProcess: Generic Ito process defined from a drift and volatility function.
class GeometricBrownianMotion: Geometric Brownian Motion.
class HestonModel: Heston Model with piecewise constant parameters.
class ItoProcess: Interface for specifying Ito processes.
class JoinedItoProcess: Join of Ito Processes with specified time dependent correlations.
class MultivariateGeometricBrownianMotion: Multivariate Geometric Brownian Motion.
class PathScale: Represents what scale a path is on.
class ReturnsType: Represents types of return processes.
class SabrModel: Implements the SABR model defined by the following equations.
class ValuationMethod: Valuation methods.
Functions#
realized_volatility(...): Calculates the total realized volatility for each path.