Model Parameters Class

ModelParameters.py

class ModelParameters:
    """
    Encapsulates model parameters
    """

    def __init__(self,
                 all_s0, all_time, all_delta, all_sigma, gbm_mu,
                 jumps_lamda=0.0, jumps_sigma=0.0, jumps_mu=0.0,
                 cir_a=0.0, cir_mu=0.0, all_r0=0.0, cir_rho=0.0,
                 ou_a=0.0, ou_mu=0.0,
                 heston_a=0.0, heston_mu=0.0, heston_vol0=0.0):
        # This is the starting asset value
        self.all_s0 = all_s0
        # This is the amount of time to simulate for
        self.all_time = all_time
        # This is the delta, the rate of time e.g. 1/252 = daily, 1/12 = monthly
        self.all_delta = all_delta
        # This is the volatility of the stochastic processes
        self.all_sigma = all_sigma
        # This is the annual drift factor for geometric brownian motion
        self.gbm_mu = gbm_mu
        # This is the probability of a jump happening at each point in time
        self.lamda = jumps_lamda
        # This is the volatility of the jump size
        self.jumps_sigma = jumps_sigma
        # This is the average jump size
        self.jumps_mu = jumps_mu
        # This is the rate of mean reversion for Cox Ingersoll Ross
        self.cir_a = cir_a
        # This is the long run average interest rate for Cox Ingersoll Ross
        self.cir_mu = cir_mu
        # This is the starting interest rate value
        self.all_r0 = all_r0
        # This is the correlation between the wiener processes of the Heston model
        self.cir_rho = cir_rho
        # This is the rate of mean reversion for Ornstein Uhlenbeck
        self.ou_a = ou_a
        # This is the long run average interest rate for Ornstein Uhlenbeck
        self.ou_mu = ou_mu
        # This is the rate of mean reversion for volatility in the Heston model
        self.heston_a = heston_a
        # This is the long run average volatility for the Heston model
        self.heston_mu = heston_mu
        # This is the starting volatility value for the Heston model
        self.heston_vol0 = heston_vol0