Models

Contents:

• Stochastic Processes
  • Ornstein-Uhlenbeck
    • OrnsteinUhlenbeck
      • OrnsteinUhlenbeck.apply_mc_step()
      • OrnsteinUhlenbeck.calibrate()
      • OrnsteinUhlenbeck.compute_call_price()
      • OrnsteinUhlenbeck.compute_expected_value()
      • OrnsteinUhlenbeck.conditional_probability_density()
      • OrnsteinUhlenbeck.rnd_shape()
      • OrnsteinUhlenbeck.simulate()
  • Lucia-Schwartz
    • LuciaSchwartz
      • LuciaSchwartz.compute_expected_value()
      • LuciaSchwartz.compute_fwd_value()
      • LuciaSchwartz.rnd_shape()
      • LuciaSchwartz.simulate()
• Equity
  • Local Volatility Model
    • LocalVol
      • LocalVol.apply_mc_step()
      • LocalVol.compute_local_var()
  • Heston Model
    • HestonModel
      • HestonModel.apply_mc_step()
      • HestonModel.call_price()
      • HestonModel.feller_condition()
      • HestonModel.get_initial_value()
  • Scott Chesney
    • ScottChesneyModel
      • ScottChesneyModel.apply_mc_step()
  • Stochastic Local Volatility Model
    • StochasticLocalVol
      • StochasticLocalVol.apply_mc_step()
      • StochasticLocalVol.calibrate_MC()
      • StochasticLocalVol.get_initial_value()
• Energy and Weather
  • Wind
    • Instantenous Production Models (Spot Models)
      • WindPowerModel
    • Forecast Models (Forward Models)
      • WindPowerForecastModel
      • MultiRegionWindForecastModel
  • Solar
    • SolarPowerModel
      • SolarPowerModel
  • Power
    • Spot Models
      • ResidualDemandModel
    • Forward Models
      • LinearDemandForwardModel
      • ResidualDemandForwardModel
    • LoadModel
      • LoadModel
    • SupplyFunction
      • SupplyFunction