Param generic

Generic parameter class.

GenericParam

Bases: ABC

Generic parameter storage. Must be overriden.

Attributes:

Name	Type	Description
measure	Measure	Probability measure.

__init__()

Initialize class.

__repr__()

Return string representation.

__str__()

Return string representation.

from_theta(*, theta) abstractmethod classmethod

Initialize parameters from parameter vector.

Parameters:

Name	Type	Description	Default
theta	(nparams, ) array	Parameter vector	required

get_bounds(*, subset=Subset.all, measure=Measure.PQ) staticmethod

Get parameter bounds.

Returns:

Type	Description
list of tuples	Parameter bounds

get_constraints()

Get parameter constraints.

Returns:

Type	Description
dict or sequence of dict	Equality and inequality constraints. See scipy.optimize.minimize

get_model_name() abstractmethod staticmethod

Return model name.

Returns:

Type	Description
str	Parameter vector

get_names(*, subset=Subset.all, measure=Measure.PQ) abstractmethod staticmethod

Return parameter names.

Returns:

Type	Description
list of str	Parameter names

get_theta(*, subset=Subset.all, measure=Measure.P) abstractmethod

Return vector of parameters.

Returns:

Type	Description
array	Parameter vector

is_valid()

Check whether parameters are valid.

Returns:

Type	Description
bool	True for valid parameters, False for invalid

update(*, theta, subset=Subset.all, measure=Measure.P) abstractmethod

Update attributes from parameter vector.

Parameters:

Name	Type	Description	Default
theta	(nparams, ) array	Parameter vector	required
subset	Subset	Which parameters to update. Belongs to ['all', 'vol']	all
measure	Measure	Either physical measure (P), or risk-neutral (Q)	P

update_ajd() abstractmethod

Update AJD representation.