Index

B

black_scholes_price() built-in function black_scholes_price() (in module tiny_pricing_utils) built-in function black_scholes_price() calculate_auxiliary_variables() cf_BlackScholes() cf_Heston() compute_fft() compute_fft_rectangular() compute_fft_simpson() geometric_brownian_motion() heston_euler() heston_milstein() interpolate_prices() price_asian_call() price_european_call() price_european_put() price_heston_euler_call() price_heston_euler_put() price_heston_milstein_call() price_heston_milstein_put() price_options() price_up_and_in_put() price_up_and_out_put()

C

calculate_auxiliary_variables() built-in function calculate_auxiliary_variables() (tiny_pricing_utils.HestonModel method) cf_BlackScholes() built-in function cf_BlackScholes() (in module tiny_pricing_utils) cf_Heston() built-in function cf_Heston() (in module tiny_pricing_utils)

compute_fft() built-in function compute_fft() (tiny_pricing_utils.HestonModel method) compute_fft_rectangular() built-in function compute_fft_rectangular() (tiny_pricing_utils.HestonModel method) compute_fft_simpson() built-in function compute_fft_simpson() (tiny_pricing_utils.HestonModel method)

G

geometric_brownian_motion() built-in function geometric_brownian_motion() (in module tiny_pricing_utils) get_alpha() (tiny_pricing_utils.HestonModel method) get_b() (tiny_pricing_utils.HestonModel method) get_eta() (tiny_pricing_utils.HestonModel method) get_eta_cm() (tiny_pricing_utils.HestonModel method) get_kappa() (tiny_pricing_utils.HestonModel method)

get_N() (tiny_pricing_utils.HestonModel method) get_q() (tiny_pricing_utils.HestonModel method) get_r() (tiny_pricing_utils.HestonModel method) get_rho() (tiny_pricing_utils.HestonModel method) get_S0() (tiny_pricing_utils.HestonModel method) get_specific_strikes() (tiny_pricing_utils.HestonModel method) get_T() (tiny_pricing_utils.HestonModel method) get_theta() (tiny_pricing_utils.HestonModel method) get_V0() (tiny_pricing_utils.HestonModel method)

H

heston_euler() built-in function heston_euler() (in module tiny_pricing_utils)

heston_milstein() built-in function heston_milstein() (in module tiny_pricing_utils) HestonModel (class in tiny_pricing_utils)

I

interpolate_prices() built-in function

interpolate_prices() (tiny_pricing_utils.HestonModel method)

M

module tiny_pricing_utils

P

price_asian_call() built-in function price_asian_call() (in module tiny_pricing_utils) price_european_call() built-in function price_european_call() (in module tiny_pricing_utils) price_european_put() built-in function price_european_put() (in module tiny_pricing_utils) price_heston_euler_call() built-in function price_heston_euler_call() (in module tiny_pricing_utils) price_heston_euler_put() built-in function price_heston_euler_put() (in module tiny_pricing_utils)

price_heston_milstein_call() built-in function price_heston_milstein_call() (in module tiny_pricing_utils) price_heston_milstein_put() built-in function price_heston_milstein_put() (in module tiny_pricing_utils) price_options() built-in function price_options() (tiny_pricing_utils.HestonModel method) price_up_and_in_put() built-in function price_up_and_in_put() (in module tiny_pricing_utils) price_up_and_out_put() built-in function price_up_and_out_put() (in module tiny_pricing_utils)

S

set_alpha() (tiny_pricing_utils.HestonModel method) set_b() (tiny_pricing_utils.HestonModel method) set_eta() (tiny_pricing_utils.HestonModel method) set_eta_cm() (tiny_pricing_utils.HestonModel method) set_kappa() (tiny_pricing_utils.HestonModel method) set_N() (tiny_pricing_utils.HestonModel method) set_q() (tiny_pricing_utils.HestonModel method)

set_r() (tiny_pricing_utils.HestonModel method) set_rho() (tiny_pricing_utils.HestonModel method) set_S0() (tiny_pricing_utils.HestonModel method) set_specific_strikes() (tiny_pricing_utils.HestonModel method) set_T() (tiny_pricing_utils.HestonModel method) set_theta() (tiny_pricing_utils.HestonModel method) set_V0() (tiny_pricing_utils.HestonModel method) sum_squared_diff() (in module tiny_pricing_utils)

T

tiny_pricing_utils module