Index

_

__init__() (AliasMethod method) (Asian method) (Barrier method) (BinarySearchTree method) (BinarySearchTreeAdapted method) (BinarySearchTreeAdapted1D method) (BlackScholesModel method) (BlackScholesParameters method) (Bond method) (Butterfly method) (CallSpread method) (Cap method) (CDS method) (CFBlackScholes method) (CFLevyCopulaModel method) (CFLevyModel method) (CFVarianceGammaModel method) (CGMYModel method) (CGMYParameters method) (ClaytonCopula method) (Configuration method) (ConfigurationMultiLevel method) (ConfigurationStandard method) (Constant method) (ControlVariates method) (ConvergenceCriteria method) (ConvergenceRates method) (Coordinate1D method) (CoordinateND method) (COSPricer method) (CouplingLevyCopulaSimulation method) (CouplingLevyCopulaSimulationFixedTimes method) (CouplingLevyCopulaSimulationMaximumStep method) (CouplingLevyCopulaSimulationWithJumpTimes method) (CouplingMarkovChain method) (CouplingProcessLevyCopula method) (CouplingSDE method) (CouplingSimulation method) (CouplingSimulationFixedTimes method) (CouplingSimulationMaximumStep method) (CouplingSimulationWithJumpTimes method) (CTMCCredit method) (CTMCGrid method) (CTMCGridGeometric method) (CTMCGridProbabilityStep method) (CTMCUniformGrid method) (Cumulant method) (DefaultTime method) (DefaultTimeNthUnderlying method) (Density method) (DiagX method) (Digital method) (Domain method) (Engine method), [1] (ExponentialOfCGMYModel method) (ExponentialOfHEMModel method) (ExponentialOfMertonModel method) (ExponentialOfVarianceGammaModel method) (FFTPricer method) (FixedCoupon method) (Forward method) (ForwardMarketSDEFunction method) (FrankLevyCopula method) (GilesConvergenceCriteria method) (Grid method) (Heap method) (HEMModel method) (HEMParameters method) (HuffmanTree method) (Indicators method) (InternalNode method) (InversionMethod method) (Knuth method) (Leaf method) (LevyCopula2dSeriesRepresentation method) (LevyCopulaModel method) (LevyDrivenSDEModel method) (LevyForwardModel method) (LevyLiborModel method) (LevyModel method) (LevyProcess method) (LevyTriplet method) (LiborSDEFunction method) (LookBack method) (MarkovChain method) (MarkovChainLevyCopula method) (MarkovChainLevyLiborModel method) (MarkovChainProcess method) (MarkovChainSDE method) (MaximumOfPerformances method) (MCLevyCopulaSimulation method) (MCLevyCopulaSimulationFixedTimes method) (MCLevyCopulaSimulationMaximumStep method) (MCLevyCopulaSimulationWithJumpTimes method) (MCPath method) (MCSimulationFixedTimes method) (MCSimulationMaximumStep method) (MCSimulationWithJumpTimes method) (MCStatistics method) (Mean method) (MertonModel method) (MertonParameters method) (MLMCPath method) (MLMCResults method) (MLMCStatistics method) (Model method) (MyBoundary method) (Node method) (NonCenteredMoments method) (NoStatistic method) (NthDefaultTimes method) (NthSpot method) (PairingToZ1d method) (PairingToZd method) (Payoff method) (PayoffOnTheFly method) (Performances method) (Point method) (Poisson method) (PoissonNumpy method) (Process method) (Product method) (PureDiffusiveModel method) (Rainbow method) (Ratchet method) (RectangleBoundary method) (Sampling method) (SDEFunction method) (SimplexBoundary method) (Simulation method) (SimulationFixedTimes method) (SimulationMaximumStep method) (SimulationWithJumpTimes method) (SpatialGrid method) (StatesManager method) (Statistic method) (StochasticJumpPath method) (StochasticSDEPath method) (Swaption method) (TableMethod method) (TimeGrid method) (TruncatedLevyMeasure method) (Uniform method) (Uniform1DGrid method) (Vanilla method) (VarianceGammaModel method) (VarianceReductionMethod method) (VGParameters method)

A

a_n() (in module rpylib.numerical.numbers) add() (MCStatistics method) (MLMCStatistics method) (NoStatistic method) (Statistic method) (VarianceReductionMethod method) add_mc_statistic() (MLMCStatistics method) ALGORITHM (class in rpylib.distribution.univariate.poisson)

ALIAS (SamplingMethod attribute) AliasMethod (class in distribution.variate.alias) ANTITHETIC (VarianceReduction attribute) antithetic_value() (StochasticJumpPath method) (StochasticPath method) (StochasticSDEPath method) argument_with_condition() (in module rpylib.tools.parameter) Asian (class in rpylib.product.underlying) atm_strike() (in module rpylib.model.utils)

B

b_fun() (MyBoundary static method) Barrier (class in rpylib.product.payoff) BARRIER (OptionType attribute) BarrierType (class in rpylib.product.payoff) between() (in module rpylib.tools.parameter) BinarySearchTree (class in distribution.variate.binarysearchtree) BINARYSEARCHTREE (SamplingMethod attribute) BinarySearchTreeAdapted (class in rpylib.distribution.variate.binarysearchtreeadapted) BINARYSEARCHTREEADAPTED (SamplingMethod attribute) BinarySearchTreeAdapted1D (class in rpylib.distribution.variate.binarysearchtreeadapted) BINARYSEARCHTREEADAPTED1D (SamplingMethod attribute) BLACKSCHOLES (ModelType attribute)

BlackScholesModel (class in rpylib.model.levymodel.mixed.blackscholes) BlackScholesParameters (class in rpylib.model.levymodel.mixed.blackscholes) blumenthal_getoor_index() (LevyCopulaModel method) (LevyDrivenSDEModel method) (LevyMeasure method) (LevyModel method) (TruncatedLevyMeasure method) Bond (class in rpylib.product.payoff) bound_supremum() (LevyCopula2dSeriesRepresentation method) Boundary (class in rpylib.distribution.pairing) Butterfly (class in rpylib.product.payoff) butterfly() (CFBlackScholes method) (COSPricer method)

C

c (CGMYParameters property) calibrate_model_parameter() (in module rpylib.model.utils) calibrate_model_parameter_to_atm_call() (in module rpylib.model.utils) CALL (PayoffType attribute) call() (CFBlackScholes method) (CFVarianceGammaModel method) (COSPricer method) (FFTPricer method) CallSpread (class in rpylib.product.payoff) canonical_drift() (LevyTriplet method) Cantor (class in rpylib.distribution.pairing) Cap (class in rpylib.product.payoff) cdf() (COSPricer method) (LevyCopulaModel method) (LevyModel method) CDS (class in rpylib.product.payoff) cds_spread() (CFLevyModel method) CENTER (LevyRepresentation attribute) center_drift() (LevyTriplet method) CFBlackScholes (class in rpylib.numerical.closedform.cfblackscholes) CFLevyCopulaModel (class in rpylib.numerical.closedform.cflevycopula) CFLevyModel (class in rpylib.numerical.closedform.cflevymodel) CFVarianceGammaModel (class in rpylib.numerical.closedform.cfvariancegamma) CGMY (ModelType attribute) CGMYModel (class in rpylib.model.levymodel.purejump.cgmy) CGMYParameters (class in rpylib.model.levymodel.purejump.cgmy) characteristic_function() (LevyCopulaModel method) (LevyModel method) check_consistency() (Underlying method) cl (MLMCResults property) ClaytonCopula (class in rpylib.distribution.levycopula) compute_coefficients() (ControlVariates method) (NoControlVariates method) compute_coefficients_mlmc() (ControlVariates method) (NoControlVariates method) compute_convergence_rates() (in module rpylib.montecarlo.configuration) compute_drift_term() (MarkovChainLevyLiborModel method) compute_intensity_of_jumps() (in module rpylib.distribution.samplingfactory) compute_left_axis() (in module rpylib.grid.spatial) compute_level_l() (Engine method) compute_mc_paths_giles() (in module rpylib.montecarlo.multilevel.criteria) compute_mu_h() (in module rpylib.process.markovchain.markovchain) compute_right_axis() (in module rpylib.grid.spatial) compute_times_grid() (Asian method) (Underlying method) compute_total_number_of_states_and_frontier() (Domain method) compute_truncation() (in module rpylib.grid.spatial) compute_truncation_helper() (in module rpylib.grid.spatial) conditional_distribution() (ClaytonCopula method) (DependentComponentsCopula method) (LevyCopula method) Configuration (class in rpylib.montecarlo.configuration) ConfigurationMultiLevel (class in rpylib.montecarlo.configuration) ConfigurationStandard (class in rpylib.montecarlo.configuration) consistency_check (MLMCResults property) Constant (class in rpylib.model.levydrivensde.levydrivensde) ControlVariates (class in rpylib.product.product) ConvergenceCriteria (class in rpylib.montecarlo.multilevel.criteria) ConvergenceRates (class in rpylib.montecarlo.configuration) Coordinate1D (class in rpylib.grid.grid) CoordinateND (class in rpylib.grid.grid) Coordinates (class in rpylib.grid.grid)

coordinates (Point attribute) COSPricer (class in rpylib.numerical.cosmethod) cost (MLMCResults property) cost() (AliasMethod method) (BinarySearchTreeAdapted method) (InversionMethod method) (Knuth method) (Poisson method) (Sampling method) coupling_state() (CouplingSimulation method) coupling_states_for_a_slice() (CouplingSimulation method) CouplingLevyCopulaSimulation (class in rpylib.process.coupling.couplinglevycopula) CouplingLevyCopulaSimulationFixedTimes (class in rpylib.process.coupling.couplinglevycopula) CouplingLevyCopulaSimulationMaximumStep (class in rpylib.process.coupling.couplinglevycopula) CouplingLevyCopulaSimulationWithJumpTimes (class in rpylib.process.coupling.couplinglevycopula) CouplingMarkovChain (class in rpylib.process.coupling.couplingmarkovchain) CouplingProcessLevyCopula (class in rpylib.process.coupling.couplinglevycopula) CouplingSDE (class in rpylib.process.coupling.couplingsde) CouplingSimulation (class in rpylib.process.coupling.couplingmarkovchain) CouplingSimulationFixedTimes (class in rpylib.process.coupling.couplingmarkovchain) CouplingSimulationMaximumStep (class in rpylib.process.coupling.couplingmarkovchain) CouplingSimulationWithJumpTimes (class in rpylib.process.coupling.couplingmarkovchain) CP (PT attribute) create() (Payoff static method) create_alias() (in module distribution.variate.alias) create_binary_search_tree() (in module distribution.variate.binarysearchtree) create_build_finer_grid_fun() (in module rpylib.process.coupling.helper) (SimulationMaximumStep static method) create_clayton_copula() (in module rpylib.model.utils) create_dependent_copula() (in module rpylib.model.utils) create_exponential_of_levy_model() (in module rpylib.model.utils) create_folder() (in module rpylib.tools.system) create_from_fixed_nb_of_points() (CTMCUniformGrid class method) create_huffman_tree() (in module distribution.variate.huffmantree) create_independent_copula() (in module rpylib.model.utils) create_levy_copula_model() (in module rpylib.model.utils) create_levy_forward_market_model() (in module rpylib.model.utils) create_levy_forward_market_model_copula() (in module rpylib.model.utils) create_levy_model() (in module rpylib.model.utils) create_matrix_jump_matrix() (in module rpylib.distribution.samplingfactory) create_mc_statistics() (in module rpylib.montecarlo.statistic.statistic) create_mlmc_statistics() (in module rpylib.montecarlo.statistic.statistic) create_path() (in module rpylib.montecarlo.path) create_q_vector() (in module rpylib.distribution.samplingfactory) create_sampling_inversion_method() (in module rpylib.distribution.samplingfactory) create_sampling_method() (in module rpylib.distribution.samplingfactory) create_table() (in module distribution.variate.table) create_vec_jump_matrix() (in module rpylib.distribution.samplingfactory) create_with_bounds() (CTMCGridGeometric class method) criteria_giles() (in module rpylib.montecarlo.multilevel.criteria) criteria_run_to_maximum_level() (in module rpylib.montecarlo.multilevel.criteria) CTMCCredit (class in rpylib.grid.spatial) CTMCGrid (class in rpylib.grid.spatial) CTMCGridGeometric (class in rpylib.grid.spatial) CTMCGridProbabilityStep (class in rpylib.grid.spatial) CTMCUniformGrid (class in rpylib.grid.spatial) Cumulant (class in rpylib.model.levymodel.levymodel) cumulant1() (Cumulant method) cumulant2() (Cumulant method) cumulant3() (Cumulant method) cumulant4() (Cumulant method) cumulant5() (Cumulant method) cumulant6() (Cumulant method)

D

DAILY (Discretisation attribute) DefaultCalibrationConfiguration (class in rpylib.model.utils) DefaultTime (class in rpylib.product.underlying) DefaultTimeNthUnderlying (class in rpylib.product.underlying) Density (class in rpylib.montecarlo.statistic.statistic) density() (COSPricer method) (FFTPricer method) (LevyModel method) density_log() (COSPricer method) DependentComponentsCopula (class in rpylib.distribution.levycopula) DETERMINISTIC (PayoffDates attribute) deterministic_path() (MarkovChainSDE method) (Process method) df() (LevyCopula2dSeriesRepresentation method) (LevyCopulaModel method) (LevyDrivenSDEModel method) (LevyForwardModel method) (LevyLiborModel method) (LevyModel method) (Model method) (Process method) DiagX (class in rpylib.model.levydrivensde.levydrivensde) diffusion_coefficient() (LevyCopulaModel method) (LevyModel method) diffusion_path (StochasticJumpPath attribute) Digital (class in rpylib.product.payoff) DIGITAL (OptionType attribute) digital() (CFBlackScholes method) (COSPricer method) dimension() (LevyCopulaModel method) (LevyDrivenSDEModel method) (LevyModel method) (Model method) (Payoff method) (Process method) (Vanilla method)

dimension_model() (LevyDrivenSDEModel method) (Model method) discount() (MCPath method) Discretisation (class in rpylib.product.underlying) discretisation_year_fraction() (in module rpylib.product.underlying) distribution module distribution.variate module distribution.variate.alias module distribution.variate.binarysearchtree module distribution.variate.huffmantree module distribution.variate.table module Domain (class in rpylib.distribution.pairing) DOWN_AND_IN (BarrierType attribute) DOWN_AND_OUT (BarrierType attribute) drift (StochasticSDEPath attribute) drift() (LevyCopulaModel method) (LevyDrivenSDEModel method) (LevyModel method) (Model method)

E

Engine (class in rpylib.montecarlo.configuration) (class in rpylib.montecarlo.multilevel.engine) (class in rpylib.montecarlo.standard.engine) eps (CFBlackScholes attribute) eta (FrankLevyCopula property) eta1 (HEMParameters property) eta2 (HEMParameters property) evaluate() (Barrier method) (Bond method) (Butterfly method) (CallSpread method) (Cap method) (CDS method) (Digital method) (FixedCoupon method) (Forward method) (LookBack method) (Payoff method) (PayoffOnTheFly method) (Rainbow method) (Ratchet method) (Swaption method) (Vanilla method)

exponential_of_levy_model (ModelClasses attribute) ExponentialOfCGMYModel (class in rpylib.model.levymodel.purejump.cgmy) ExponentialOfHEMModel (class in rpylib.model.levymodel.mixed.hem) ExponentialOfLevyModel (in module rpylib.model.levymodel.exponentialoflevymodel) (ModelCreators attribute) ExponentialOfMertonModel (class in rpylib.model.levymodel.mixed.merton) ExponentialOfVarianceGammaModel (class in rpylib.model.levymodel.purejump.variancegamma) extend() (MCStatistics method) (MLMCStatistics method) (NoStatistic method) (Statistic method)

F

FFTPricer (class in rpylib.numerical.fft) finite_first_moment() (LevyCopulaModel method) (LevyMeasure method) (LevyModel method) (TruncatedLevyMeasure method) first_to_default_par_spread() (CFLevyCopulaModel method) FixedCoupon (class in rpylib.product.payoff)

Forward (class in rpylib.product.payoff) FORWARD (OptionType attribute) forward() (CFBlackScholes method) (COSPricer method) ForwardMarketSDEFunction (class in rpylib.model.levydrivensde.levydrivensde) FP (PT attribute) FrankLevyCopula (class in rpylib.distribution.levycopula)

G

g (CGMYParameters property) get_mean() (MCStatistics method) get_path_filename() (in module rpylib.tools.system) get_variance() (MCStatistics method)

GilesConvergenceCriteria (class in rpylib.montecarlo.multilevel.criteria) greater_than() (in module rpylib.tools.parameter) grid module Grid (class in rpylib.grid.grid)

H

has() (VarianceReductionMethod method) Heap (class in distribution.variate.huffmantree) helper_compute_coefficients() (ControlVariates static method) helper_create_fun() (in module rpylib.montecarlo.multilevel.engine) helper_model() (in module rpylib.model.utils) helper_simulate_diffusion_part() (MCLevyCopulaSimulation method) helper_simulate_levy_copula_markov_chain() (MCLevyCopulaSimulation method)

helper_simulate_markov_chain() (MCSimulation static method) HEM (ModelType attribute) HEMModel (class in rpylib.model.levymodel.mixed.hem) HEMParameters (class in rpylib.model.levymodel.mixed.hem) HUFFMANNTREE (SamplingMethod attribute) HuffmanTree (class in distribution.variate.huffmantree) HyperbolicPairing (class in rpylib.distribution.pairing)

I

IDENDITY (ProcessRepresentation attribute) implied_cds_spread() (CFLevyCopulaModel method) (CFLevyModel method) implied_cds_threshold() (CFLevyModel method) imply_from_payoff_underlying() (NthSpot method) (Underlying method) IndependentComponentsCopula (class in rpylib.distribution.levycopula) Indicators (class in rpylib.product.underlying) initialisation() (CGMYParameters method) (Configuration method) (ControlVariates method) (CouplingMarkovChain method) (CouplingProcessLevyCopula method) (CouplingSDE method) (Engine method), [1] (HEMParameters method) (LevyCopula2dSeriesRepresentation method) (LevyProcess method) (MarkovChainLevyCopula method) (MarkovChainLevyLiborModel method) (MarkovChainProcess method) (MarkovChainSDE method) (NoControlVariates method) (Parameters method) (Process method) (VGParameters method) initialisation_seed() (Configuration method) insert() (Heap method) integral_xn_exp_minus_x() (in module rpylib.tools.integral)

integrate() (LevyMeasure method) (TruncatedLevyMeasure method) integrate_against_x() (LevyMeasure method) (TruncatedLevyMeasure method) integrate_against_xn() (LevyMeasure method) (TruncatedLevyMeasure method) integrate_against_xx() (LevyMeasure method) (TruncatedLevyMeasure method) intensity (HEMParameters property) (MertonParameters property) intensity() (CGMYModel method) (HEMModel method) (LevyModel method) (LevyProcess method) (MarkovChainLevyCopula method) (MarkovChainProcess method) (MertonModel method) (PureDiffusiveModel method) (VarianceGammaModel method) InternalNode (class in distribution.variate.huffmantree) interval_I() (in module rpylib.numerical.tools) inv_guess_a() (in module rpylib.numerical.numbers) inverse_conditional_distribution() (ClaytonCopula method) (DependentComponentsCopula method) (LevyCopula method) inverse_tail_integral() (LevyCopulaModel method) INVERSION (SamplingMethod attribute) InversionMethod (class in rpylib.distribution.variate.inversion) is_leaf (Node attribute) is_outside() (StatesManager method)

J

jump_increment() (BlackScholesModel method) (HEMModel method) (LevyModel method) (MertonModel method) jump_of_finite_activity() (LevyCopulaModel method) (LevyMeasure method) (LevyModel method) (TruncatedLevyMeasure method)

jump_of_finite_variation() (LevyCopulaModel method) (LevyMeasure method) (LevyModel method) (TruncatedLevyMeasure method) jump_path (StochasticJumpPath attribute) jump_times (StochasticJumpPath attribute) jump_times() (LevyProcess method) jump_times_from_nb_of_jumps() (LevyProcess static method)

K

KNUTH (ALGORITHM attribute) Knuth (class in rpylib.distribution.univariate.poisson_impl.knuth)

kurtosis (MLMCResults property) kurtosis() (in module rpylib.montecarlo.statistic.tools)

L

lazy_indices_product() (in module rpylib.tools.generic) Leaf (class in distribution.variate.huffmantree) left_node (InternalNode attribute) left_point() (CTMCGrid method) less_than() (in module rpylib.tools.parameter) levy_exponent() (LevyCopulaModel method) (LevyModel method) levy_exponent_pure_jump() (BlackScholesModel method) (CGMYModel method) (HEMModel method) (LevyModel method) (MertonModel method) (PureDiffusiveModel method) (VarianceGammaModel method) levy_model (ModelClasses attribute) LevyCopula (class in rpylib.distribution.levycopula)

LevyCopula2dSeriesRepresentation (class in rpylib.process.levycopulaseries) LevyCopulaModel (class in rpylib.model.levycopulamodel) LevyDrivenSDEModel (class in rpylib.model.levydrivensde.levydrivensde) LevyForwardModel (class in rpylib.model.levydrivensde.levyforwardmodel) LevyLiborModel (class in rpylib.model.levydrivensde.levylibormodel) LevyMeasure (class in rpylib.model.levymodel.levymodel) LevyModel (class in rpylib.model.levymodel.levymodel) (ModelCreators attribute) LevyProcess (class in rpylib.process.levyprocess) LevyRepresentation (class in rpylib.model.levymodel.levymodel) LevyTriplet (class in rpylib.model.levymodel.levymodel) Libors (class in rpylib.product.underlying) LiborSDEFunction (class in rpylib.model.levydrivensde.levydrivensde) LOG (ProcessRepresentation attribute) LogSpot (class in rpylib.product.underlying) LookBack (class in rpylib.product.payoff) LOOKBACK (OptionType attribute)

M

m (CGMYParameters property) mapping_to_z() (in module rpylib.distribution.pairing) margin() (in module rpylib.model.levycopulamodel) margin_tail_integral() (LevyCopulaModel method) marginal_tail_integral() (LevyCopulaModel method) MarkovChain (class in rpylib.process.markovchain.markovchain) MarkovChainLevyCopula (class in rpylib.process.markovchain.markovchainlevycopula) MarkovChainLevyLiborModel (class in rpylib.process.markovchain.markovchainsde) MarkovChainProcess (class in rpylib.process.markovchain.markovchain) MarkovChainSDE (class in rpylib.process.markovchain.markovchainsde) mass() (LevyModel method) MaximumOfPerformances (class in rpylib.product.underlying) mc_stddev() (in module rpylib.montecarlo.statistic.tools) (MCStatistics method) (MLMCStatistics method) MCLevyCopulaSimulation (class in rpylib.process.markovchain.markovchainlevycopula) MCLevyCopulaSimulationFixedTimes (class in rpylib.process.markovchain.markovchainlevycopula) MCLevyCopulaSimulationMaximumStep (class in rpylib.process.markovchain.markovchainlevycopula) MCLevyCopulaSimulationWithJumpTimes (class in rpylib.process.markovchain.markovchainlevycopula) MCPath (class in rpylib.montecarlo.path) MCSimulation (class in rpylib.process.markovchain.markovchain) MCSimulationFixedTimes (class in rpylib.process.markovchain.markovchain) MCSimulationMaximumStep (class in rpylib.process.markovchain.markovchain) MCSimulationWithJumpTimes (class in rpylib.process.markovchain.markovchain) MCStatistics (class in rpylib.montecarlo.statistic.statistic) Mean (class in rpylib.product.underlying) mean() (in module rpylib.montecarlo.statistic.tools) mean_level_l (MLMCResults property) MERTON (ModelType attribute) MertonModel (class in rpylib.model.levymodel.mixed.merton) MertonParameters (class in rpylib.model.levymodel.mixed.merton) middle() (CTMCGrid method) (CTMCGridProbabilityStep method) ml (MLMCResults property) MLMCPath (class in rpylib.montecarlo.path) MLMCResults (class in rpylib.montecarlo.statistic.statistic) MLMCStatistics (class in rpylib.montecarlo.statistic.statistic) model module Model (class in rpylib.model.model) ModelClasses (class in rpylib.model.utils) ModelCreators (class in rpylib.model.utils) ModelType (class in rpylib.model.model) module distribution distribution.variate distribution.variate.alias distribution.variate.binarysearchtree distribution.variate.huffmantree distribution.variate.table grid model montecarlo montecarlo.multilevel montecarlo.standard montecarlo.statistic numerical numerical.closedform process process.coupling process.markovchain product rpylib.distribution.levycopula rpylib.distribution.pairing rpylib.distribution.sampling rpylib.distribution.samplingfactory rpylib.distribution.univariate rpylib.distribution.univariate.poisson rpylib.distribution.univariate.poisson_impl rpylib.distribution.univariate.poisson_impl.knuth rpylib.distribution.univariate.poisson_impl.numpyimpl rpylib.distribution.univariate.uniform rpylib.distribution.variate.binarysearchtreeadapted rpylib.distribution.variate.inversion rpylib.grid.grid rpylib.grid.spatial rpylib.grid.time rpylib.model.levycopulamodel rpylib.model.levydrivensde rpylib.model.levydrivensde.levydrivensde rpylib.model.levydrivensde.levyforwardmodel rpylib.model.levydrivensde.levylibormodel rpylib.model.levymodel rpylib.model.levymodel.exponentialoflevymodel rpylib.model.levymodel.levymodel rpylib.model.levymodel.mixed rpylib.model.levymodel.mixed.blackscholes rpylib.model.levymodel.mixed.hem rpylib.model.levymodel.mixed.merton rpylib.model.levymodel.purejump rpylib.model.levymodel.purejump.cgmy rpylib.model.levymodel.purejump.variancegamma rpylib.model.model rpylib.model.utils rpylib.montecarlo.configuration rpylib.montecarlo.multilevel.criteria rpylib.montecarlo.multilevel.engine rpylib.montecarlo.path rpylib.montecarlo.standard.engine rpylib.montecarlo.statistic.statistic rpylib.montecarlo.statistic.tools rpylib.numerical.closedform.cfblackscholes rpylib.numerical.closedform.cflevycopula rpylib.numerical.closedform.cflevymodel rpylib.numerical.closedform.cfvariancegamma rpylib.numerical.cosmethod rpylib.numerical.fft rpylib.numerical.numbers rpylib.numerical.tools rpylib.process.coupling.couplinglevycopula rpylib.process.coupling.couplingmarkovchain rpylib.process.coupling.couplingprocess rpylib.process.coupling.couplingsde rpylib.process.coupling.helper rpylib.process.levycopulaseries rpylib.process.levyprocess rpylib.process.markovchain.markovchain rpylib.process.markovchain.markovchainlevycopula rpylib.process.markovchain.markovchainsde rpylib.process.process rpylib.product.payoff rpylib.product.product rpylib.product.underlying rpylib.tools.generic rpylib.tools.integral rpylib.tools.parameter rpylib.tools.system rpylib.tools.timer tools

MomentsDecorator (class in rpylib.model.levymodel.exponentialoflevymodel) montecarlo module montecarlo.multilevel module montecarlo.standard module montecarlo.statistic module MONTHLY (Discretisation attribute) mu_j (MertonParameters property) MULTIDIMENSIONAL (UnderlyingDimension attribute) MULTILEVEL (Engine attribute) MyBoundary (class in rpylib.distribution.pairing)

N

nb_jump_dt() (LevyProcess method) ncm_first (NonCenteredMoments property) ncm_fourth (NonCenteredMoments property) ncm_second (NonCenteredMoments property) ncm_third (NonCenteredMoments property) negative() (in module rpylib.tools.parameter) negative_sequence() (in module rpylib.tools.parameter) next_level() (CouplingMarkovChain method) (CouplingProcessLevyCopula method) (CouplingSDE method) NoControlVariates (class in rpylib.product.product)

Node (class in distribution.variate.huffmantree) NonCenteredMoments (class in rpylib.montecarlo.statistic.tools) NoStatistic (class in rpylib.montecarlo.statistic.statistic) NthDefaultTimes (class in rpylib.product.underlying) NthSpot (class in rpylib.product.underlying) num (Uniform1DGrid property) number_of_points() (Grid method) numerical module numerical.closedform module NUMPY (ALGORITHM attribute)

O

one_simulation_cost() (CouplingMarkovChain method) (CouplingProcessLevyCopula method) (CouplingSDE method) (LevyCopula2dSeriesRepresentation method) (LevyProcess method) (MarkovChainLevyCopula method) (MarkovChainProcess method) (MarkovChainSDE method) (Process method) (Simulation method)

ONEDIMENSIONAL (UnderlyingDimension attribute) ONEONE (LevyRepresentation attribute) OptionType (class in rpylib.product.payoff) outside() (CTMCGrid method) (Domain method)

P

p (HEMParameters property) pair() (PairingToZ1d method) (PairingToZd method) Pairing (class in rpylib.distribution.pairing) pairing() (Pairing method) (PairingToZd method) (RosenbergStrong method) pairing2d() (Cantor static method) (HyperbolicPairing static method) (Pairing static method) (PepisKalmar static method) (RosenbergStrong static method) (Szudzik static method) PairingToZ1d (class in rpylib.distribution.pairing) PairingToZd (class in rpylib.distribution.pairing) parameter (DefaultCalibrationConfiguration attribute) parameter_interval (DefaultCalibrationConfiguration attribute) Parameters (class in rpylib.model.model) parameters (ModelClasses attribute) PAYER (SwaptionType attribute) Payoff (class in rpylib.product.payoff) PayoffDates (class in rpylib.product.payoff) PayoffOnTheFly (class in rpylib.product.payoff) PayoffType (class in rpylib.product.payoff) PepisKalmar (class in rpylib.distribution.pairing) Performances (class in rpylib.product.underlying) plot() (CTMCGrid method) plot_cdf() (LevyCopulaModel method) (LevyModel method) plot_density() (LevyCopulaModel method) (LevyModel method) (NoStatistic method) (Statistic method) plot_payoff_density() (MCStatistics method) plot_spot_density() (MCStatistics method) (MLMCStatistics method) Point (class in rpylib.distribution.variate.binarysearchtreeadapted) Poisson (class in rpylib.distribution.univariate.poisson) PoissonNumpy (class in rpylib.distribution.univariate.poisson_impl.numpyimpl) pop() (Heap method) positive() (in module rpylib.tools.parameter) positive_sequence() (in module rpylib.tools.parameter) pre_computation() (CouplingLevyCopulaSimulation method) (CouplingLevyCopulaSimulationFixedTimes method) (CouplingLevyCopulaSimulationMaximumStep method) (CouplingLevyCopulaSimulationWithJumpTimes method) (CouplingMarkovChain method) (CouplingProcessLevyCopula method) (CouplingSDE method) (CouplingSimulation method) (CouplingSimulationFixedTimes method) (CouplingSimulationMaximumStep method) (CouplingSimulationWithJumpTimes method) (LevyCopula2dSeriesRepresentation method) (LevyProcess method) (MarkovChainSDE method) (Process method) (Simulation method) (SimulationFixedTimes method) (SimulationMaximumStep method) (SimulationWithJumpTimes method) price() (COSPricer method) (Engine method), [1] (MCStatistics method) (MLMCStatistics method)

price_with_constant_mc_paths_and_level() (Engine method) probability_to_right_jump() (CouplingSimulation static method) process module Process (class in rpylib.process.process) process() (CDS method) (ControlVariates method) (LookBack method) (MCPath method) (MLMCPath method) (NoControlVariates method) (Payoff method) process.coupling module process.markovchain module process_drift() (BlackScholesModel method) (ExponentialOfHEMModel method) (ExponentialOfMertonModel method) (HEMModel method) (LevyCopula2dSeriesRepresentation method) (LevyModel method) (MarkovChainLevyCopula method) (MarkovChainProcess method) (MarkovChainSDE method) (Model method) (Process method) process_l0() (MLMCPath method) process_mlmc() (ControlVariates method) (NoControlVariates method) process_representation (LevyDrivenSDEModel attribute) (LevyModel attribute) process_spot() (MCPath method) process_spot_level_l() (MLMCPath method) ProcessRepresentation (class in rpylib.process.process) product module Product (class in rpylib.product.product) project() (MCLevyCopulaSimulationFixedTimes static method) (MCSimulationFixedTimes static method) (PairingToZ1d method) (PairingToZd method) project_index_to_state_increment() (StatesManager method) projection() (Cantor method) (Pairing method) (PairingToZd method) (RosenbergStrong method) projection2d() (Cantor static method) (HyperbolicPairing static method) (Pairing static method) (PepisKalmar static method) (RosenbergStrong static method) (Szudzik static method) projection_to_z() (in module rpylib.distribution.pairing) psi() (COSPricer static method) PT (class in rpylib.montecarlo.statistic.statistic) PureDiffusiveModel (class in rpylib.model.levymodel.mixed.blackscholes) PUT (PayoffType attribute) put() (CFBlackScholes method) (COSPricer method) (FFTPricer method)

R

Rainbow (class in rpylib.product.payoff) Ratchet (class in rpylib.product.payoff) RECEIVER (SwaptionType attribute) RectangleBoundary (class in rpylib.distribution.pairing) refine() (CTMCGrid method) reset_one_simulation_cost() (CouplingMarkovChain method) (CouplingProcessLevyCopula method) (CouplingSDE method) (LevyCopula2dSeriesRepresentation method) (LevyProcess method) (MarkovChainLevyCopula method) (MarkovChainProcess method) (MarkovChainSDE method) (Process method) (Simulation method) reset_sampling_cost() (AliasMethod method) (BinarySearchTreeAdapted method) (InversionMethod method) (Knuth method) (Poisson method) (Sampling method) RICHARDSONEXTRAPOLATION (VarianceReduction attribute) right_node (InternalNode attribute) right_point() (CTMCGrid method) RosenbergStrong (class in rpylib.distribution.pairing) rpylib.distribution.levycopula module rpylib.distribution.pairing module rpylib.distribution.sampling module rpylib.distribution.samplingfactory module rpylib.distribution.univariate module rpylib.distribution.univariate.poisson module rpylib.distribution.univariate.poisson_impl module rpylib.distribution.univariate.poisson_impl.knuth module rpylib.distribution.univariate.poisson_impl.numpyimpl module rpylib.distribution.univariate.uniform module rpylib.distribution.variate.binarysearchtreeadapted module rpylib.distribution.variate.inversion module rpylib.grid.grid module rpylib.grid.spatial module rpylib.grid.time module rpylib.model.levycopulamodel module rpylib.model.levydrivensde module rpylib.model.levydrivensde.levydrivensde module rpylib.model.levydrivensde.levyforwardmodel module rpylib.model.levydrivensde.levylibormodel module rpylib.model.levymodel module rpylib.model.levymodel.exponentialoflevymodel module rpylib.model.levymodel.levymodel module rpylib.model.levymodel.mixed module rpylib.model.levymodel.mixed.blackscholes module rpylib.model.levymodel.mixed.hem module rpylib.model.levymodel.mixed.merton module

rpylib.model.levymodel.purejump module rpylib.model.levymodel.purejump.cgmy module rpylib.model.levymodel.purejump.variancegamma module rpylib.model.model module rpylib.model.utils module rpylib.montecarlo.configuration module rpylib.montecarlo.multilevel.criteria module rpylib.montecarlo.multilevel.engine module rpylib.montecarlo.path module rpylib.montecarlo.standard.engine module rpylib.montecarlo.statistic.statistic module rpylib.montecarlo.statistic.tools module rpylib.numerical.closedform.cfblackscholes module rpylib.numerical.closedform.cflevycopula module rpylib.numerical.closedform.cflevymodel module rpylib.numerical.closedform.cfvariancegamma module rpylib.numerical.cosmethod module rpylib.numerical.fft module rpylib.numerical.numbers module rpylib.numerical.tools module rpylib.process.coupling.couplinglevycopula module rpylib.process.coupling.couplingmarkovchain module rpylib.process.coupling.couplingprocess module rpylib.process.coupling.couplingsde module rpylib.process.coupling.helper module rpylib.process.levycopulaseries module rpylib.process.levyprocess module rpylib.process.markovchain.markovchain module rpylib.process.markovchain.markovchainlevycopula module rpylib.process.markovchain.markovchainsde module rpylib.process.process module rpylib.product.payoff module rpylib.product.product module rpylib.product.underlying module rpylib.tools.generic module rpylib.tools.integral module rpylib.tools.parameter module rpylib.tools.system module rpylib.tools.timer module run_default_calibration() (in module rpylib.model.utils)

S

sample() (AliasMethod method) (BinarySearchTree method) (BinarySearchTreeAdapted method) (BinarySearchTreeAdapted1D method) (HuffmanTree method) (InversionMethod method) (Knuth method) (Poisson method) (PoissonNumpy method) (Sampling method) (TableMethod method) (Uniform method) sample_one() (Knuth method) sample_one_bucket() (BinarySearchTreeAdapted method) sample_with_u() (BinarySearchTree method) (BinarySearchTreeAdapted1D method) (in module distribution.variate.huffmantree) (InversionMethod method) sample_with_us() (BinarySearchTreeAdapted method) Sampling (class in rpylib.distribution.sampling) SamplingMethod (class in rpylib.distribution.sampling) sde_drift() (MarkovChainLevyLiborModel method) (MarkovChainSDE method) SDEFunction (class in rpylib.model.levydrivensde.levydrivensde) set_density() (Density method) set_mlmc_results() (MLMCStatistics method) set_representation() (LevyTriplet method) set_to_path() (MCPath method) sigma (BlackScholesParameters property) (HEMParameters property) (LevyTriplet property) (MertonParameters property) (VGParameters property) sigma() (ForwardMarketSDEFunction method) (LiborSDEFunction method) sigma_j (MertonParameters property) sign() (in module rpylib.numerical.tools) SimplexBoundary (class in rpylib.distribution.pairing) simulate_diffusion() (MCSimulationFixedTimes method) (MCSimulationWithJumpTimes method) (Simulation method) (SimulationFixedTimes method) (SimulationWithJumpTimes method) simulate_diffusion_part() (MCLevyCopulaSimulationFixedTimes method) (MCLevyCopulaSimulationWithJumpTimes method) simulate_diffusion_with_brownian_increments() (in module rpylib.process.levyprocess) simulate_diffusion_with_coupling() (CouplingLevyCopulaSimulation method) (CouplingLevyCopulaSimulationWithJumpTimes method) (CouplingSimulation method) (CouplingSimulationWithJumpTimes method) simulate_jumps() (MCLevyCopulaSimulation method) (MCLevyCopulaSimulationFixedTimes method) (MCLevyCopulaSimulationMaximumStep method) (MCLevyCopulaSimulationWithJumpTimes method) (MCSimulation method) (MCSimulationFixedTimes method) (MCSimulationMaximumStep method) (MCSimulationWithJumpTimes method) (Simulation method) (SimulationFixedTimes method) (SimulationMaximumStep method) (SimulationWithJumpTimes method) simulate_jumps_with_coupling() (CouplingLevyCopulaSimulation method) (CouplingLevyCopulaSimulationFixedTimes method) (CouplingLevyCopulaSimulationMaximumStep method) (CouplingLevyCopulaSimulationWithJumpTimes method) (CouplingSimulationFixedTimes method) (CouplingSimulationMaximumStep method) (CouplingSimulationWithJumpTimes method)

simulate_markov_chain() (MCLevyCopulaSimulation method) (MCLevyCopulaSimulationFixedTimes method) (MCLevyCopulaSimulationWithJumpTimes method) (MCSimulation method) (MCSimulationFixedTimes method) (MCSimulationWithJumpTimes method) simulate_one_path() (CouplingMarkovChain method) (CouplingProcessLevyCopula method) (CouplingSDE method) (LevyCopula2dSeriesRepresentation method) (LevyProcess method) (MarkovChainSDE method) (MCLevyCopulaSimulationFixedTimes method) (MCLevyCopulaSimulationWithJumpTimes method) (Process method) (Simulation method) (SimulationFixedTimes method) (SimulationWithJumpTimes method) simulate_one_path_with_coupling() (CouplingLevyCopulaSimulation method) (CouplingLevyCopulaSimulationFixedTimes method) (CouplingLevyCopulaSimulationWithJumpTimes method) (CouplingMarkovChain method) (CouplingProcessLevyCopula method) (CouplingSDE method) (CouplingSimulation method) (CouplingSimulationFixedTimes method) (CouplingSimulationWithJumpTimes method) Simulation (class in rpylib.process.levyprocess) simulation_payoff_with_coarse_process() (MLMCStatistics method) simulation_payoff_with_fine_process() (MLMCStatistics method) SimulationFixedTimes (class in rpylib.process.levyprocess) SimulationMaximumStep (class in rpylib.process.levyprocess) SimulationWithJumpTimes (class in rpylib.process.levyprocess) skewness() (in module rpylib.montecarlo.statistic.tools) SpatialGrid (class in rpylib.grid.spatial) Spot (class in rpylib.product.underlying) STANDARD (Engine attribute) state (Leaf attribute) states_increments (MarkovChain attribute) StatesManager (class in rpylib.distribution.pairing) Statistic (class in rpylib.montecarlo.statistic.statistic) stddev() (in module rpylib.montecarlo.statistic.tools) STOCHASTIC (PayoffDates attribute) StochasticJumpPath (class in rpylib.montecarlo.path) StochasticPath (class in rpylib.montecarlo.path) StochasticSDEPath (class in rpylib.montecarlo.path) strictly_between() (in module rpylib.tools.parameter) strictly_greater_than() (in module rpylib.tools.parameter) strictly_less_than() (in module rpylib.tools.parameter) strictly_negative() (in module rpylib.tools.parameter) strictly_negative_sequence() (in module rpylib.tools.parameter) strictly_positive() (in module rpylib.tools.parameter) strictly_positive_sequence() (in module rpylib.tools.parameter) support() (LevyMeasure method) (TruncatedLevyMeasure method) survival_probability() (CFLevyCopulaModel method) (CFLevyModel method) Swaption (class in rpylib.product.payoff) SwaptionType (class in rpylib.product.payoff) Szudzik (class in rpylib.distribution.pairing)

T

TABLE (SamplingMethod attribute) TableMethod (class in distribution.variate.table) tail_integrals() (LevyCopulaModel method) theta (ClaytonCopula property) TILDE (LevyRepresentation attribute) tilde_drift() (LevyTriplet method) TimeGrid (class in rpylib.grid.time) timer() (in module rpylib.tools.timer) times (MarkovChain attribute) times() (StochasticJumpPath method) (StochasticPath method)

times_grid() (Product method) tools module truncate_levy_measure() (LevyCopulaModel method) (LevyDrivenSDEModel method) (LevyForwardModel method) (LevyLiborModel method) (LevyModel method) TruncatedLevyMeasure (class in rpylib.model.levymodel.levymodel)

U

u_put() (COSPricer static method) Underlying (class in rpylib.product.underlying) underlying_dimension (Asian attribute) (DefaultTimeNthUnderlying attribute) (Indicators attribute) (Libors attribute) (LogSpot attribute) (NthDefaultTimes attribute) (Performances attribute) (Spot attribute) (Underlying attribute)

underlying_value() (Product method) UnderlyingDimension (class in rpylib.product.underlying) Uniform (class in rpylib.distribution.univariate.uniform) Uniform1DGrid (class in rpylib.grid.grid) UP_AND_IN (BarrierType attribute) UP_AND_OUT (BarrierType attribute) update() (Asian method) (MCPath method) (Mean method) (Product method) (Underlying method) upper_bound_a_n() (in module rpylib.numerical.numbers)

V

value (Coordinate1D attribute) (CoordinateND attribute) (Node attribute) (Point attribute) value() (Asian method) (DefaultTime method) (DefaultTimeNthUnderlying method) (Indicators method) (Libors method) (LogSpot method) (MaximumOfPerformances method) (Mean method) (NthDefaultTimes method) (NthSpot method) (Performances method) (Spot method) (StochasticJumpPath method) (StochasticPath method) (StochasticSDEPath method) (Underlying method)

value_jump() (StochasticJumpPath method) values (MarkovChain attribute) Vanilla (class in rpylib.product.payoff) VANILLA (OptionType attribute) var_level_l (MLMCResults property) VarianceGammaModel (class in rpylib.model.levymodel.purejump.variancegamma) VarianceReduction (class in rpylib.montecarlo.configuration) VarianceReductionMethod (class in rpylib.montecarlo.configuration) VG (ModelType attribute) VGParameters (class in rpylib.model.levymodel.purejump.variancegamma) vl (MLMCResults property) vol_adjustment() (in module rpylib.process.markovchain.markovchain) vol_adjustment_ij() (in module rpylib.process.markovchain.markovchainlevycopula) volume() (in module rpylib.model.levycopulamodel)

W

WEEKLY (Discretisation attribute)

X

x0_value() (LevyCopulaModel method) (LevyDrivenSDEModel method) (LevyModel method)

x_first_derivative() (ClaytonCopula method) (LevyCopula method) x_nu() (LevyMeasure method) xi() (COSPricer static method)

Y

y (CGMYParameters property)

YEARLY (Discretisation attribute)

Z

ZERO (LevyRepresentation attribute)

zero_drift() (LevyTriplet method)