regimelib

Getting started

  • Getting started
    • Installation
    • Importing
    • Three lines of pricing

Reference

  • Basics
    • Regime chains
      • rl.RegimeChain()
      • rl.RegimeChain.twoState()
    • Per-regime parameters
    • Maturities and dates
    • Instruments, engines and results
      • instrument.setPricingEngine()
      • instrument.NPV()
      • instrument.delta()
    • Regimes and the starting regime
    • Warnings and diagnostics
      • rl.ExpansionWarning
  • Instruments
    • Bonds
      • rl.ZeroCouponBond()
      • rl.CouponBond()
    • Options
      • rl.VanillaOption()
      • VanillaOption.impliedVolatility()
      • rl.BarrierOption()
      • rl.ContinuousGeometricAsianOption()
    • Interest-rate options
      • rl.ZeroCouponBondOption()
      • rl.CouponBondOption()
      • rl.Swaption()
      • rl.CapFloor()
    • Credit
      • rl.CreditDefaultSwap()
      • rl.FirstToDefaultSwap()
  • Pricing engines
    • The expansion
      • rl.FastSwitchingEngine()
    • The numerical solution
      • rl.NumericalSwitchingEngine()
    • Monte Carlo
      • rl.MonteCarloSwitchingEngine()
    • Finite differences
      • rl.SwitchingFDEngine()
    • The first-order tier
      • rl.FirstOrderFDEngine()
      • rl.SwitchingFDReferee()
  • Pricing models
    • Short-rate models
      • rl.SwitchingVasicek()
      • rl.SwitchingVasicekJumps()
      • rl.SwitchingCoxIngersollRoss()
      • rl.SwitchingHullWhite()
      • rl.SwitchingG2()
      • rl.SwitchingIntensityBasket()
    • Equity models
      • rl.SwitchingBlackScholesProcess()
      • rl.SwitchingHestonModel()
      • rl.SwitchingHestonVolOfVol()
      • rl.SwitchingMerton76Process()
      • rl.SwitchingBatesModel()
      • rl.SwitchingVarianceGammaProcess()
      • rl.SwitchingCEVProcess()
    • Hybrid models
      • rl.SwitchingEquityRates()
  • Helpers and calibration
    • rl.VolatilityHelper()
    • rl.calibrate()
  • Symbolic
    • rl.symbolic.VasicekTwoStateBond
    • rl.symbolic.VasicekBondFirstOrder
    • rl.symbolic.CIRBondFirstOrder
    • rl.symbolic.VasicekJumpsBondFirstOrder
    • parameterGreek()
    • rl.symbolic.TwoStateConstantForcing

Background

  • The expansion
  • Certificates

Examples

  • Examples
    • A smile from a regime
    • Which order to trust
    • Default correlation from a common regime
    • A greek as a formula
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