tensortrade.stochastic.utils.parameters module¶
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class
tensortrade.stochastic.utils.parameters.ModelParameters(all_s0: float, all_time: int, all_delta: float, all_sigma: float, gbm_mu: float, jumps_lambda: float = 0.0, jumps_sigma: float = 0.0, jumps_mu: float = 0.0, cir_a: float = 0.0, cir_mu: float = 0.0, all_r0: float = 0.0, cir_rho: float = 0.0, ou_a: float = 0.0, ou_mu: float = 0.0, heston_a: float = 0.0, heston_mu: float = 0.0, heston_vol0: float = 0.0)[source]¶ Bases:
objectDefines the model parameters of different stock price models.
- Parameters
all_s0 (float) – The initial asset value.
all_time (int) – The amount of time to simulate for.
all_delta (float) – The rate of time. (e.g. 1/252 = daily, 1/12 = monthly)
all_sigma (float) – The volatility of the stochastic processes.
gbm_mu (float) – The annual drift factor for geometric brownian motion.
jumps_lambda (float, default 0.0) – The probability of a jump happening at each point in time.
jumps_sigma (float, default 0.0) – The volatility of the jump size.
jumps_mu (float, default 0.0) – The average jump size.
cir_a (float, default 0.0) – The rate of mean reversion for Cox Ingersoll Ross.
cir_mu (float, default 0.0) – The long run average interest rate for Cox Ingersoll Ross.
all_r0 (float, default 0.0) – The starting interest rate value.
cir_rho (float, default 0.0) – The correlation between the wiener processes of the Heston model.
ou_a (float, default 0.0) – The rate of mean reversion for Ornstein Uhlenbeck.
ou_mu (float, default 0.0) – The long run average interest rate for Ornstein Uhlenbeck.
heston_a (float, default 0.0) – The rate of mean reversion for volatility in the Heston model.
heston_mu (float, default 0.0) – The long run average volatility for the Heston model.
heston_vol0 (float, default 0.0) – The starting volatility value for the Heston model.
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tensortrade.stochastic.utils.parameters.default(base_price: float, t_gen: int, delta: float) → tensortrade.stochastic.utils.parameters.ModelParameters[source]¶ Creates a basic model parameter set with key parameters specified default parameters.