mafipy.replication module

replication (mafipy.replication)

Quanto CMS

Black swaption model

make_pdf_black_swaption(init_swap_rate, ...)	return p.d.f. of black swaption model.
make_pdf_fprime_black_swaption(...)	return first derivative of p.d.f. of black swaption.
make_cdf_black_swaption(init_swap_rate, ...)	returns c.d.f. of black swaption.

Black Scholes model

make_pdf_black_swaption(init_swap_rate, ...)	return p.d.f. of black swaption model.
make_pdf_fprime_black_scholes(underlying, ...)	make_pdf_fprime_black_scholes_model
make_cdf_black_scholes(underlying, rate, ...)	returns c.d.f. of black scholes model.

Pricer

replicate(init_swap_rate, discount_factor, ...)

Simple qunato cms pricer.