tf_quant_finance.models.longstaff_schwartz.make_basket_put_payoff

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Last updated: 2023-03-16.

tf_quant_finance.models.longstaff_schwartz.make_basket_put_payoff#

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Produces a callable from samples to payoff of a simple basket put option.

tf_quant_finance.models.longstaff_schwartz.make_basket_put_payoff(
    strikes, dtype=None, name=None
)

Args:#

  • strikes: A Tensor of dtype consistent with samples and shape [num_samples, batch_size].

  • dtype: Optional dtype. Either tf.float32 or tf.float64. If supplied, represents the dtype for the ‘strikes’ as well as for the input argument of the output payoff callable. Default value: None, which means that the dtype inferred from strikes is used.

  • name: Python str name prefixed to Ops created by the callable created by this function. Default value: None which is mapped to the default name ‘put_valuer’

Returns:#

A callable from Tensor of shape [batch_size, num_samples, num_exercise_times, dim] and a scalar Tensor representing current time to a Tensor of shape [num_samples, batch_size].

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