StochasticProcessHelpers.py

def convert_to_returns(log_returns):
    """
    This method exponentiates a sequence of log returns to get daily returns.
    :param log_returns: the log returns to exponentiated
    :return: the exponentiated returns
    """
    return numpy.exp(log_returns)


def convert_to_prices(param, log_returns):
    """
    This method converts a sequence of log returns into normal returns (exponentiation) and then computes a price
    sequence given a starting price, param.all_s0.
    :param param: the model parameters object
    :param log_returns: the log returns to exponentiated
    :return:
    """
    returns = convert_to_returns(log_returns)
    # A sequence of prices starting with param.all_s0
    price_sequence = [param.all_s0]
    for i in range(1, len(returns)):
        # Add the price at t-1 * return at t
        price_sequence.append(price_sequence[i - 1] * returns[i - 1])
    return numpy.array(price_sequence)