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quantgirluk / aleatory

📦 Python library for Stochastic Processes Simulation and Visualisation
MIT License
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use of aleatory processes to price qablet contracts #11

Open somdipdatta opened 1 month ago

somdipdatta commented 1 month ago

This is NOT a request to merge. It is an illustration how the processes in aleatory could be used to create models to price qablet contracts. qablet is an interface to define contracts, such that they could be priced using generic pricing models without having to revise the model for difference contract terms.

The main requirement is that, currently the processes generate path by path, i.e.

for each path
   for each step

However, to wrap into a qablet pricing model it should be able to support a api advance, such that you can simulate as

for each step
    for each path

This is not too hard. As you can see in this example, the fns f and g are being used as is on a np array in stead of a scalar.

Again, this is a proof of concept, requesting further discussion.

quantgirluk commented 1 month ago

Thank you for the interest in collaboration. I will take a look at this in the next couple of days.