stochos

README

stochos

Stochastic processes for Monte Carlo simulations

Documentation

Index

• type Distribution
• type DistributionFunc
  • func NewStandardNormal(seed int64) DistributionFunc
  • func (f DistributionFunc) Sample() float64
• type Drift
• type DriftFunc
  • func NewConstantDrift(c float64) DriftFunc
  • func NewZeroDrift() DriftFunc
  • func (f DriftFunc) Value(s, t float64) float64
• type Geometric
  • func NewGeometric(value State, drift Drift, volatility float64, distribution Distribution) *Geometric
  • func NewGeometricBrownian(value State, drift Drift, volatility float64, seed int64) *Geometric
  • func (bs Geometric) Current() State
  • func (bs *Geometric) Next(s, t float64) State
• type LocalVolatility
  • func NewLocalVolatility(value State, drift Drift, surface VolatilitySurface, seed int64) *LocalVolatility
  • func (lv LocalVolatility) Current() State
  • func (lv *LocalVolatility) Next(s, t float64) State
• type Numéraire
  • func NewNuméraire(value State, drift Drift) *Numéraire
  • func (n Numéraire) Current() State
  • func (n *Numéraire) Next(s, t float64) State
• type Path
  • func Simulate(process Process, grid TimeGrid) Path
• type Process
• type State
• type TimeGrid
  • func NewTimeGrid(ts ...float64) TimeGrid
  • func NewUniformTimeGrid(start, end float64, m int) TimeGrid
• type VolatilitySurface
• type VolatilitySurfaceFunc
  • func NewFlatSurface(value float64) VolatilitySurfaceFunc
  • func (f VolatilitySurfaceFunc) Value(t, m float64) float64

Types

type Distribution

type Distribution interface {
	Sample() float64
}

type DistributionFunc

type DistributionFunc func() float64

func NewStandardNormal

func NewStandardNormal(seed int64) DistributionFunc

func (DistributionFunc) Sample

func (f DistributionFunc) Sample() float64

type Drift

type Drift interface {
	Value(s, t float64) float64
}

type DriftFunc

type DriftFunc func(s, t float64) float64

func NewConstantDrift

func NewConstantDrift(c float64) DriftFunc

func NewZeroDrift

func NewZeroDrift() DriftFunc

func (DriftFunc) Value

func (f DriftFunc) Value(s, t float64) float64

type Geometric

type Geometric struct {
	// contains filtered or unexported fields
}

func NewGeometric

func NewGeometric(value State, drift Drift, volatility float64, distribution Distribution) *Geometric

func NewGeometricBrownian

func NewGeometricBrownian(value State, drift Drift, volatility float64, seed int64) *Geometric

func (Geometric) Current

func (bs Geometric) Current() State

func (*Geometric) Next

func (bs *Geometric) Next(s, t float64) State

type LocalVolatility

type LocalVolatility struct {
	// contains filtered or unexported fields
}

func NewLocalVolatility

func NewLocalVolatility(value State, drift Drift, surface VolatilitySurface, seed int64) *LocalVolatility

func (LocalVolatility) Current

func (lv LocalVolatility) Current() State

func (*LocalVolatility) Next

func (lv *LocalVolatility) Next(s, t float64) State

type Numéraire

type Numéraire struct {
	// contains filtered or unexported fields
}

func NewNuméraire

func NewNuméraire(value State, drift Drift) *Numéraire

func (Numéraire) Current

func (n Numéraire) Current() State

func (*Numéraire) Next

func (n *Numéraire) Next(s, t float64) State

type Path

type Path []State

func Simulate

func Simulate(process Process, grid TimeGrid) Path

type Process

type Process interface {
	Current() State
	Next(s, t float64) State
}

type State

type State = float64

type TimeGrid

type TimeGrid []float64

func NewTimeGrid

func NewTimeGrid(ts ...float64) TimeGrid

func NewUniformTimeGrid

func NewUniformTimeGrid(start, end float64, m int) TimeGrid

type VolatilitySurface

type VolatilitySurface interface {
	Value(t, m float64) float64
}

type VolatilitySurfaceFunc

type VolatilitySurfaceFunc func(t, m float64) float64

func NewFlatSurface

func NewFlatSurface(value float64) VolatilitySurfaceFunc

func (VolatilitySurfaceFunc) Value

func (f VolatilitySurfaceFunc) Value(t, m float64) float64