https://github.com/sdepy/sdepy

SdePy: Numerical Integration of Ito Stochastic Differential Equations
https://github.com/sdepy/sdepy

montecarlo-simulation stochastic-differential-equations stochastic-processes

Last synced: 3 months ago
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SdePy: Numerical Integration of Ito Stochastic Differential Equations

• Host: GitHub
• URL: https://github.com/sdepy/sdepy
• Owner: sdepy
• License: other
• Created: 2018-06-14T11:21:52.000Z (almost 8 years ago)
• Default Branch: master
• Last Pushed: 2021-08-23T13:48:57.000Z (almost 5 years ago)
• Last Synced: 2024-02-22T18:49:46.994Z (over 2 years ago)
• Topics: montecarlo-simulation, stochastic-differential-equations, stochastic-processes
• Language: Python
• Size: 363 KB
• Stars: 39
• Watchers: 3
• Forks: 8
• Open Issues: 3
• Metadata Files:
  • Readme: README.rst
  • License: LICENSE.txt

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README

          
=====

SdePy

=====

|ci|  |codecov|  |readthedocs|

The SdePy package provides tools to state and numerically

integrate Ito Stochastic Differential Equations (SDEs), including equations

with time-dependent parameters, time-dependent correlations, and

stochastic jumps, and to compute with, and extract statistics from,

their realized paths.

Several preset processes are provided, including lognormal,

Ornstein-Uhlenbeck, Hull-White n-factor, Heston, and jump-diffusion processes.

Computations are fully vectorized across paths, via NumPy and SciPy,

making live sessions with 100000 paths reasonably fluent

on single cpu hardware.

----------

This package came out of practical need, so expect a flexible tool

that gets real-life things done. On the other hand, not every part of it

is clean and polished, so expect rough edges, and the occasional

bug (please report!).

Developers are committed to the stability of the public API,

here again out of practical need to safeguard dependencies.

----------

Start here

----------

-  `Installation           `_: ``pip install sdepy``

-  `Quick Guide            `_

   (as `notebook           `_)

-  `Documentation          `_

   (as `pdf                `_)

-  `Source                 `_

-  `License                `_

-  `Bug Reports            `_

.. |readthedocs| image:: https://readthedocs.org/projects/sdepy/badge/?version=latest

   :target: https://sdepy.readthedocs.io

   :alt: Documentation Status

.. |ci| image:: https://github.com/sdepy/sdepy/workflows/CI/badge.svg?branch=master

    :target: https://github.com/sdepy/sdepy/actions

.. |codecov| image:: https://codecov.io/gh/sdepy/sdepy/blob/master/graph/badge.svg

  :target: https://codecov.io/gh/sdepy/sdepy