TensorQuant

API Reference

  • tensorquant.analytics package
    • Submodules
    • tensorquant.analytics.gaussiankernel module
    • tensorquant.analytics.rateexposure module
    • Module contents
  • tensorquant.flows package
    • Submodules
    • tensorquant.flows.cashflow module
      • CashFlow
        • CashFlow.amount
        • CashFlow.date
        • CashFlow.has_occurred()
    • tensorquant.flows.coupon module
      • Coupon
        • Coupon.accrual_days
        • Coupon.accrual_end_date
        • Coupon.accrual_period
        • Coupon.accrual_start_date
        • Coupon.accrued_amount()
        • Coupon.accrued_days
        • Coupon.accrued_period
        • Coupon.date
        • Coupon.daycounter
        • Coupon.nominal
        • Coupon.rate
        • Coupon.ref_period_end
        • Coupon.ref_period_start
    • tensorquant.flows.fixedcoupon module
      • FixedCoupon
        • FixedCoupon.accrual_period
        • FixedCoupon.accrued_amount()
        • FixedCoupon.amount
        • FixedCoupon.day_counter
        • FixedCoupon.display()
        • FixedCoupon.rate
      • FixedRateLeg
        • FixedRateLeg.coupon_rates
        • FixedRateLeg.display_flows()
        • FixedRateLeg.price
    • tensorquant.flows.floatingcoupon module
      • FloatingCoupon
        • FloatingCoupon.accrual_period
        • FloatingCoupon.accrued_amount()
        • FloatingCoupon.amount
        • FloatingCoupon.day_counter
        • FloatingCoupon.display()
        • FloatingCoupon.fixing_date
        • FloatingCoupon.fixing_days
        • FloatingCoupon.index
        • FloatingCoupon.is_in_arrears
        • FloatingCoupon.rate
      • FloatingRateLeg
        • FloatingRateLeg.display_flows()
        • FloatingRateLeg.index
        • FloatingRateLeg.price
    • Module contents
  • tensorquant.index package
    • Submodules
    • tensorquant.index.curverateindex module
      • IborIndex
        • IborIndex.daycounter
        • IborIndex.fixing_date()
        • IborIndex.fixing_days
        • IborIndex.fixing_maturity()
      • OvernightIndex
        • OvernightIndex.fixing_date()
        • OvernightIndex.fixing_days
        • OvernightIndex.fixing_maturity()
    • tensorquant.index.index module
      • Index
        • Index.add_fixing()
        • Index.fixing()
        • Index.fixing_calendar
        • Index.fixing_time_series
        • Index.is_valid_fixing_date()
        • Index.name
        • Index.past_fixing()
    • tensorquant.index.inflationindex module
      • InflationIndex
        • InflationIndex.name
        • InflationIndex.observation_lag
        • InflationIndex.observation_lag_period
        • InflationIndex.fixing_calendar
        • InflationIndex.fixing_days
        • InflationIndex.time_series
        • InflationIndex.revised
        • InflationIndex.frequency
        • InflationIndex.fixing_date()
        • InflationIndex.fixing_days
        • InflationIndex.fixing_maturity()
    • Module contents
  • tensorquant.instruments package
    • Submodules
    • tensorquant.instruments.capfloor module
      • Cap
      • Collar
      • Floor
      • IrOption
        • IrOption.atm_rate
        • IrOption.implied_volatility
        • IrOption.is_expired
        • IrOption.maturity_date
        • IrOption.start_date
    • tensorquant.instruments.deposit module
      • Deposit
        • Deposit.ccy
        • Deposit.rate
        • Deposit.trade_date
        • Deposit.start_date
        • Deposit.end_date
        • Deposit.notional
        • Deposit.day_counter
        • Deposit.day_count_convention
        • Deposit.day_counter
        • Deposit.notional
        • Deposit.rate
        • Deposit.trade_date
    • tensorquant.instruments.forward module
      • Fra
        • Fra.ccy
        • Fra.start_date
        • Fra.end_date
        • Fra.notional
        • Fra.quote
        • Fra.day_count_convention
        • Fra.index
        • Fra.day_count_convention
        • Fra.day_counter
        • Fra.fixed_rate
        • Fra.fixing_date
        • Fra.notional
        • Fra.side
    • tensorquant.instruments.helpers module
      • DepositGenerator
        • DepositGenerator.start_delay
        • DepositGenerator.roll_convention
        • DepositGenerator.day_count_convention
        • DepositGenerator.calendar
        • DepositGenerator.build()
      • FraGenerator
        • FraGenerator.start_delay
        • FraGenerator.fixing_days
        • FraGenerator.index_term
        • FraGenerator.roll_convention
        • FraGenerator.day_count_convention
        • FraGenerator.calendar
        • FraGenerator.index
        • FraGenerator.build()
      • OisGenerator
        • OisGenerator.start_delay
        • OisGenerator.fixing_days
        • OisGenerator.period_fix
        • OisGenerator.period_flt
        • OisGenerator.roll_convention
        • OisGenerator.day_count_convention_fix
        • OisGenerator.day_count_convention_flt
        • OisGenerator.calendar
        • OisGenerator.index
        • OisGenerator.build()
      • ProductGenerator
        • ProductGenerator.name
        • ProductGenerator.ccy
        • ProductGenerator.notional
        • ProductGenerator.build()
      • SwapGenerator
        • SwapGenerator.start_delay
        • SwapGenerator.period_fix
        • SwapGenerator.period_flt
        • SwapGenerator.roll_convention
        • SwapGenerator.day_count_convention_fix
        • SwapGenerator.day_count_convention_flt
        • SwapGenerator.calendar
        • SwapGenerator.index
        • SwapGenerator.build()
    • tensorquant.instruments.ois module
      • Ois
        • Ois.discount_curve
        • Ois.estimation_curve
        • Ois.fixed_leg
        • Ois.fixed_rate
        • Ois.floating_leg
        • Ois.notional
        • Ois.swap_type
    • tensorquant.instruments.option module
      • Option
        • Option.exercise_type
        • Option.forward
        • Option.implied_volatility
        • Option.option_type
        • Option.strike
        • Option.underlying
      • VanillaOption
    • tensorquant.instruments.product module
      • Product
        • Product.ccy
        • Product.start_date
        • Product.end_date
        • Product.price
        • Product.ccy
        • Product.end_date
        • Product.price
        • Product.start_date
    • tensorquant.instruments.swap module
      • Swap
        • Swap.discount_curve
        • Swap.estimation_curve
        • Swap.fixed_leg
        • Swap.fixed_rate
        • Swap.floating_leg
        • Swap.notional
        • Swap.swap_type
    • Module contents
  • tensorquant.markethandles package
    • Submodules
    • tensorquant.markethandles.bootstrapping module
      • CurveBootstrap
        • CurveBootstrap.evaluation_date
        • CurveBootstrap.day_counter
        • CurveBootstrap.market_env
        • CurveBootstrap.eur_generator_map
        • CurveBootstrap.strip()
      • ObjectiveFunction
        • ObjectiveFunction.rate_curve
        • ObjectiveFunction.products
        • ObjectiveFunction.pricers
        • ObjectiveFunction.market_env
        • ObjectiveFunction.__call__()
    • tensorquant.markethandles.interestrate module
      • InterestRate
        • InterestRate._r
        • InterestRate._daycounter
        • InterestRate._compounding
        • InterestRate._frequency
        • InterestRate.__str__()
        • InterestRate.compound_factor()
        • InterestRate.compounding
        • InterestRate.daycounter
        • InterestRate.discount_factor()
        • InterestRate.frequency
        • InterestRate.implied_rate()
        • InterestRate.rate
    • tensorquant.markethandles.ircurve module
      • DefaultCurve
        • DefaultCurve.from_flat_hazard_rate()
        • DefaultCurve.hazard_rates
        • DefaultCurve.marginal_pd()
        • DefaultCurve.pillars
        • DefaultCurve.reference_date
        • DefaultCurve.survival_prob()
        • DefaultCurve.survival_probs
      • FlatCurve
        • FlatCurve.rate
      • RateCurve
        • RateCurve._reference_date
        • RateCurve._daycounter_convention
        • RateCurve._daycounter
        • RateCurve._dates
        • RateCurve._pillars
        • RateCurve._pillar_days
        • RateCurve.__rates
        • RateCurve._rates
        • RateCurve.interpolation_type
        • RateCurve.interp
        • RateCurve._jacobian
        • RateCurve.dates
        • RateCurve.daycounter
        • RateCurve.daycounter_convention
        • RateCurve.discount()
        • RateCurve.forward_rate()
        • RateCurve.from_zcb()
        • RateCurve.inst_fwd()
        • RateCurve.jacobian
        • RateCurve.name
        • RateCurve.nodes
        • RateCurve.pillar_days
        • RateCurve.pillars
        • RateCurve.rates
        • RateCurve.reference_date
        • RateCurve.zero_rate()
    • tensorquant.markethandles.utils module
      • Currency
        • Currency.EUR
        • Currency.USD
        • Currency.GBP
        • Currency.JPY
        • Currency.CAD
        • Currency.CHF
        • Currency.AUD
        • Currency.AUD
        • Currency.CAD
        • Currency.CHF
        • Currency.EUR
        • Currency.GBP
        • Currency.JPY
        • Currency.USD
        • Currency.__str__()
      • ExerciseType
        • ExerciseType.American
        • ExerciseType.Bermudan
        • ExerciseType.European
      • OptionType
        • OptionType.Call
        • OptionType.Put
      • PayoffType
        • PayoffType.AssetOrNothing
        • PayoffType.CashOrNothing
        • PayoffType.PlainVanilla
      • Position
        • Position.Long
        • Position.Short
        • Position.Long
        • Position.Short
      • SwapType
        • SwapType.Payer
        • SwapType.Receiver
        • SwapType.Payer
        • SwapType.Receiver
      • extract_value()
    • tensorquant.markethandles.volatilitysurface module
      • BlackConstantVolatility
        • BlackConstantVolatility.volatility()
      • VolatilitySurface
        • VolatilitySurface.calendar
        • VolatilitySurface.daycounter
        • VolatilitySurface.maturity
        • VolatilitySurface.reference_date
        • VolatilitySurface.strike
        • VolatilitySurface.variance()
        • VolatilitySurface.volatility()
        • VolatilitySurface.volatility_matrix
    • Module contents
  • tensorquant.models package
    • Submodules
    • tensorquant.models.brownian module
      • ArithmeticBrownianMotion
        • ArithmeticBrownianMotion.diffusion()
        • ArithmeticBrownianMotion.drift()
        • ArithmeticBrownianMotion.evolve()
        • ArithmeticBrownianMotion.initial_values()
        • ArithmeticBrownianMotion.size()
      • GeometricBrownianMotion
        • GeometricBrownianMotion.diffusion()
        • GeometricBrownianMotion.drift()
        • GeometricBrownianMotion.evolve()
        • GeometricBrownianMotion.initial_values()
        • GeometricBrownianMotion.size()
    • tensorquant.models.hullwhite module
      • HullWhiteProcess
        • HullWhiteProcess._process
        • HullWhiteProcess._a
        • HullWhiteProcess._sigma
        • HullWhiteProcess._term_structure
        • HullWhiteProcess.A_B()
        • HullWhiteProcess.a
        • HullWhiteProcess.alpha()
        • HullWhiteProcess.diffusion()
        • HullWhiteProcess.drift()
        • HullWhiteProcess.expectation()
        • HullWhiteProcess.initial_values()
        • HullWhiteProcess.sigma
        • HullWhiteProcess.size()
        • HullWhiteProcess.std_deviation()
        • HullWhiteProcess.variance()
        • HullWhiteProcess.x0
        • HullWhiteProcess.zero_bond()
    • tensorquant.models.ornsteinuhlenbeck module
      • OrnsteinUhlenbeckProcess
        • OrnsteinUhlenbeckProcess.mr_speed
        • OrnsteinUhlenbeckProcess.volatility
        • OrnsteinUhlenbeckProcess.x0
        • OrnsteinUhlenbeckProcess.level
        • OrnsteinUhlenbeckProcess.diffusion()
        • OrnsteinUhlenbeckProcess.drift()
        • OrnsteinUhlenbeckProcess.expectation()
        • OrnsteinUhlenbeckProcess.initial_values()
        • OrnsteinUhlenbeckProcess.level
        • OrnsteinUhlenbeckProcess.mr_speed
        • OrnsteinUhlenbeckProcess.size()
        • OrnsteinUhlenbeckProcess.std_deviation()
        • OrnsteinUhlenbeckProcess.variance()
        • OrnsteinUhlenbeckProcess.volatility
        • OrnsteinUhlenbeckProcess.x0
    • tensorquant.models.stochasticprocess module
      • StochasticProcess
        • StochasticProcess.size()
        • StochasticProcess.initial_values()
        • StochasticProcess.drift()
        • StochasticProcess.diffusion()
        • StochasticProcess.expectation()
        • StochasticProcess.std_deviation()
        • StochasticProcess.evolve()
        • StochasticProcess.diffusion()
        • StochasticProcess.drift()
        • StochasticProcess.evolve()
        • StochasticProcess.expectation()
        • StochasticProcess.factors
        • StochasticProcess.initial_values()
        • StochasticProcess.size()
        • StochasticProcess.std_deviation()
    • Module contents
  • tensorquant.numericalhandles package
    • Submodules
    • tensorquant.numericalhandles.interpolation module
      • LinearInterp
        • LinearInterp.interpolate()
    • tensorquant.numericalhandles.newton module
      • newton()
      • newton_1d()
    • Module contents
  • tensorquant.pricers package
    • Submodules
    • tensorquant.pricers.black module
      • BlackScholesPricer
        • BlackScholesPricer.calculate_price()
      • bjerksund_stensland_calc()
      • blackscholes_calc()
    • tensorquant.pricers.deposit module
      • DepositPricer
        • DepositPricer.calculate_price()
    • tensorquant.pricers.factory module
      • PricerAssignment
        • PricerAssignment.create()
    • tensorquant.pricers.fixedflow module
      • FixedCouponDiscounting
        • FixedCouponDiscounting.calculate_price()
      • FixedLegDiscounting
        • FixedLegDiscounting.calculate_price()
    • tensorquant.pricers.floatingflow module
      • FloatingCouponDiscounting
        • FloatingCouponDiscounting.amount()
        • FloatingCouponDiscounting.calc_forward()
        • FloatingCouponDiscounting.calculate_price()
        • FloatingCouponDiscounting.floating_rate()
      • FloatingLegDiscounting
        • FloatingLegDiscounting.calculate_price()
      • OisCouponDiscounting
        • OisCouponDiscounting.amount()
        • OisCouponDiscounting.calculate_price()
        • OisCouponDiscounting.floating_rate()
      • OisLegDiscounting
        • OisLegDiscounting.calculate_price()
    • tensorquant.pricers.fradiscounting module
      • FraPricer
        • FraPricer.calculate_price()
    • tensorquant.pricers.pricer module
      • Pricer
        • Pricer.calculate_price()
        • Pricer.price()
        • Pricer.calculate_price()
        • Pricer.price()
        • Pricer.tape
    • tensorquant.pricers.swapdiscounting module
      • OisPricer
        • OisPricer.calculate_price()
      • SwapPricer
        • SwapPricer.calculate_price()
    • Module contents
  • tensorquant.timehandles package
    • Submodules
    • tensorquant.timehandles.daycounter module
      • DayCounter
        • DayCounter.day_count()
        • DayCounter.year_days()
        • DayCounter.year_fraction()
    • tensorquant.timehandles.grid module
      • DateGrid
        • DateGrid.dates
        • DateGrid.daycounter
        • DateGrid.daycounter_convention
        • DateGrid.times
    • tensorquant.timehandles.schedule module
      • ScheduleGenerator
        • ScheduleGenerator.generate()
    • tensorquant.timehandles.targetcalendar module
      • TARGET
        • TARGET.is_business_day()
    • tensorquant.timehandles.tqcalendar module
      • Calendar
        • Calendar.adjust()
        • Calendar.advance()
        • Calendar.end_of_month()
        • Calendar.is_business_day()
        • Calendar.is_end_of_month()
        • Calendar.is_holiday()
        • Calendar.is_weekend()
    • tensorquant.timehandles.utils module
      • BusinessDayConvention
        • BusinessDayConvention.Following
        • BusinessDayConvention.HalfMonthModifiedFollowing
        • BusinessDayConvention.ModifiedFollowing
        • BusinessDayConvention.ModifiedPreceding
        • BusinessDayConvention.Nearest
        • BusinessDayConvention.Preceding
        • BusinessDayConvention.Unadjusted
      • CompoundingType
        • CompoundingType.Compounded
        • CompoundingType.Continuous
        • CompoundingType.Simple
      • DayCounterConvention
        • DayCounterConvention.Actual360
        • DayCounterConvention.Actual365
        • DayCounterConvention.ActualActual
        • DayCounterConvention.Thirty360
        • DayCounterConvention.Thirty360E
      • Frequency
        • Frequency.Annual
        • Frequency.Bimonthly
        • Frequency.Biweekly
        • Frequency.Daily
        • Frequency.EveryFourthMonth
        • Frequency.EveryFourthWeek
        • Frequency.Monthly
        • Frequency.NoFrequency
        • Frequency.Once
        • Frequency.OtherFrequency
        • Frequency.Quarterly
        • Frequency.Semiannual
        • Frequency.Weekly
      • Settings
        • Settings.evaluation_date
      • TimeUnit
        • TimeUnit.Days
        • TimeUnit.Months
        • TimeUnit.Weeks
        • TimeUnit.Years
      • decode_term()
    • Module contents
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