Most stochastic models will probably fall under a base class we could call DiffusionProcess. Would provide shared functionality for any stochastic model, such as Vasicek, CIR, Hull-White, etc.
class DiffusionProcess:
"""Base class for stochastic simulation models"""
Open question: will there need to be a distinction between models that have a defined transition density vs. ones that don't?
jason-ash
commented
5 years ago
Most stochastic models will probably fall under a base class we could call
DiffusionProcess. Would provide shared functionality for any stochastic model, such as Vasicek, CIR, Hull-White, etc.Open question: will there need to be a distinction between models that have a defined transition density vs. ones that don't?