StuartGordonReid

"""
Note that this Gist uses functions made available in another Gist -
https://gist.github.com/StuartGordonReid/67a1ec4fbc8a84c0e856
"""


def calmar_ratio(er, returns, rf):
    return (er - rf) / max_dd(returns)
 
 

StuartGordonReid

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,

StuartGordonReid

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):

StuartGordonReid

def plot_stochastic_processes(processes, title):
    """
    This method plots a list of stochastic processes with a specified title
    :return: plots the graph of the two
    """
    plt.style.use(['bmh'])
    fig, ax = plt.subplots(1)
    fig.suptitle(title, fontsize=16)
    ax.set_xlabel('Time, t')
    ax.set_ylabel('Simulated Asset Price')

StuartGordonReid

import math
import numpy
import random
import decimal
import scipy.linalg
import numpy.random as nrand
import matplotlib.pyplot as plt

"""
Note that this Gist uses the Model Parameters class found here  - https://gist.github.com/StuartGordonReid/f01f479c783dd40cc21e

StuartGordonReid

import math
import numpy
import random
import decimal
import scipy.linalg
import numpy.random as nrand
import matplotlib.pyplot as plt

"""
Note that this Gist uses the Model Parameters class found here  - https://gist.github.com/StuartGordonReid/f01f479c783dd40cc21e

StuartGordonReid

import math
import numpy
import random
import decimal
import scipy.linalg
import numpy.random as nrand
import matplotlib.pyplot as plt

"""
Note that this Gist uses the Model Parameters class found here  - https://gist.github.com/StuartGordonReid/f01f479c783dd40cc21e

StuartGordonReid

import math
import numpy
import random
import decimal
import scipy.linalg
import numpy.random as nrand
import matplotlib.pyplot as plt

"""
Note that this Gist uses the Model Parameters class found here  - https://gist.github.com/StuartGordonReid/f01f479c783dd40cc21e

StuartGordonReid

import math
import numpy
import random
import decimal
import scipy.linalg
import numpy.random as nrand
import matplotlib.pyplot as plt

"""
Note that this Gist uses the Model Parameters class found here  - https://gist.github.com/StuartGordonReid/f01f479c783dd40cc21e

StuartGordonReid

import math
import numpy
import random
import decimal
import scipy.linalg
import numpy.random as nrand
import matplotlib.pyplot as plt

"""
Note that this Gist uses the Model Parameters class found here  - https://gist.github.com/StuartGordonReid/f01f479c783dd40cc21e