Param vasicek
Vasicek parameter class.
VasicekParam
Bases: GenericParam
Parameter storage for Vasicek model.
Attributes:
| Name | Type | Description |
|---|---|---|
mean |
float
|
Mean of the process |
kappa |
float
|
Mean reversion speed |
eta |
float
|
Instantaneous standard deviation |
measure |
Measure
|
Under which measure (P or Q) |
__init__(*, mean=0.5, kappa=1.5, eta=0.1, measure=Measure.P)
Initialize class.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
mean
|
float
|
Mean of the process |
0.5
|
kappa
|
float
|
Mean reversion speed |
1.5
|
eta
|
float
|
Instantaneous standard deviation |
0.1
|
measure
|
Measure
|
|
P
|
from_theta(*, theta)
classmethod
Initialize parameters from parameter vector.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
theta
|
(nparams, ) array
|
Parameter vector |
required |
get_model_name()
staticmethod
Return model name.
Returns:
| Type | Description |
|---|---|
str
|
Parameter vector |
get_names(*, subset=Subset.all, measure=Measure.PQ)
staticmethod
Return parameter names.
Returns:
| Type | Description |
|---|---|
(3, ) list of str
|
Parameter names |
get_theta(*, subset=Subset.all, measure=Measure.PQ)
Return vector of parameters.
Returns:
| Type | Description |
|---|---|
(3, ) array
|
Parameter vector |
is_valid()
Check validity of parameters.
Returns:
| Type | Description |
|---|---|
bool
|
True for valid parameters, False for invalid |
update(*, theta, subset=Subset.all, measure=Measure.P)
Update attributes from parameter vector.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
theta
|
(nparams, ) array
|
Parameter vector |
required |
subset
|
Subset
|
Which parameters to update |
all
|
measure
|
Measure
|
Probability measure |
P
|
update_ajd()
Update AJD representation.