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. |