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It would be awesome if we can use `thermox.log_prob` and gradient ascent to fit a multivariate [Vasicek model](https://en.wikipedia.org/wiki/Vasicek_model) to some real data
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When ready, 2F Vasicek needs to be included in this repository as planned
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I am trying to get the theoretical estimate of the mean in the Vasicek model, but a variable `Vasicek.duree_palier` is not defined in `__theoretical_mean`.
What is the meaning of the parameter?
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Reads:
- Paper on Google Drive
- http://stat.math.uregina.ca/~kozdron/Teaching/Regina/441Fall14/Notes/L31-32-Nov19.pdf ?
- https://en.wikipedia.org/wiki/Vasicek_model
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Helpful Links:
- https:…
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Hi, please could you add granularity adjustment to the vasicek code. This would greatly help in understanding how the GA operates and its impact on the loss distribution. At present I feel lost in t…
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Problem: If rate is negative (I used -0.012 - 0.12%), the BAW option pricing crashed with this error message: forward + displacement (-3.875e+14 + 0) must be positive
Code: https://github.com/lball…
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Odstranit přebytečné nové řádky ve formulářích (třeba název, ulice, číslo popisné, atd. a pole pro zadání se vejde na jednu řádku).
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Many thanks for this helpful package, saves a lot of time.
I just think that in vasicek.py, the input parameter rho seems at odds with the definitions in "THE DISTRIBUTION OF LOAN PORTFOLIO VALUE" b…
gig67 updated
1 month ago
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For example, in the [Hull-White](https://en.wikipedia.org/wiki/Hull%E2%80%93White_model) model.