SYMBOL INDEX (275 symbols across 33 files)

FILE: Lecture 02-Understanding of Filtrations and Measures/Materials/Black_Scholes_Jumps.py
  class OptionType (line 18) | class OptionType(enum.Enum):
  function GeneratePaths (line 22) | def GeneratePaths(NoOfPaths,NoOfSteps,S0,T,muJ,sigmaJ,r):
  function EUOptionPriceFromMCPaths (line 46) | def EUOptionPriceFromMCPaths(CP,S,K,T,r):
  function BS_Call_Put_Option_Price (line 53) | def BS_Call_Put_Option_Price(CP,S_0,K,sigma,t,T,r):
  function CallOption_CondExpectation (line 64) | def CallOption_CondExpectation(NoOfPaths,T,S0,K,J,r):
  function mainCalculation (line 77) | def mainCalculation():

FILE: Lecture 02-Understanding of Filtrations and Measures/Materials/Martingale.py
  function martingaleA (line 20) | def martingaleA():
  function martingaleB (line 26) | def martingaleB():

FILE: Lecture 03-The HJM Framework/Materials/CIR_IR_paths.py
  function GeneratePathsCIREuler (line 15) | def GeneratePathsCIREuler(NoOfPaths,NoOfSteps,T,lambd,r0,theta,gamma):
  function mainCalculation (line 37) | def mainCalculation():

FILE: Lecture 03-The HJM Framework/Materials/Ho-Lee-ZCBs.py
  function f0T (line 16) | def f0T(t,P0T):
  function GeneratePathsHoLeeEuler (line 22) | def GeneratePathsHoLeeEuler(NoOfPaths,NoOfSteps,T,P0T,sigma):
  function mainCalculation (line 50) | def mainCalculation():

FILE: Lecture 03-The HJM Framework/Materials/Hull-White-Paths.py
  function GeneratePathsHWEuler (line 15) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function mainCalculation (line 44) | def mainCalculation():

FILE: Lecture 03-The HJM Framework/Materials/Hull-White-ZCBs.py
  function f0T (line 16) | def f0T(t,P0T):
  function GeneratePathsHWEuler (line 22) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 53) | def HW_theta(lambd,eta,P0T):
  function mainCalculation (line 60) | def mainCalculation():

FILE: Lecture 04-Yield Curve Dynamics under Short Rate/Materials/Hull-White-CompRateSim.py
  function f0T (line 19) | def f0T(t,P0T):
  function GeneratePathsHWEuler (line 25) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 53) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 59) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 70) | def HW_B(lambd,eta,T1,T2):
  function HW2F_ZCB (line 73) | def HW2F_ZCB(lambd1,lambd2,eta1,eta2,rho,P0T,T1,T2,xT1,yT1):
  function HW_ZCB (line 85) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function HW_r_0 (line 90) | def HW_r_0(P0T,lambd,eta):
  function mainCalculation (line 95) | def mainCalculation():

FILE: Lecture 04-Yield Curve Dynamics under Short Rate/Materials/Hull-White-ZCBs2.py
  function f0T (line 17) | def f0T(t,P0T):
  function GeneratePathsHWEuler (line 23) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 54) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 60) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 69) | def HW_B(lambd,eta,T1,T2):
  function HW_ZCB (line 72) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function mainCalculation (line 77) | def mainCalculation():

FILE: Lecture 04-Yield Curve Dynamics under Short Rate/Materials/Hull_White_1F_2F_Comparison.py
  function GeneratePathsHW2FEuler (line 18) | def GeneratePathsHW2FEuler(NoOfPaths,NoOfSteps,T,P0T, lambd1,lambd2, eta...
  function f0T (line 55) | def f0T(t,P0T):
  function GeneratePathsHWEuler (line 61) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 89) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 95) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 106) | def HW_B(lambd,eta,T1,T2):
  function HW2F_ZCB (line 109) | def HW2F_ZCB(lambd1,lambd2,eta1,eta2,rho,P0T,T1,T2,xT1,yT1):
  function HW_ZCB (line 121) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function HW_r_0 (line 126) | def HW_r_0(P0T,lambd,eta):
  function mainCalculation (line 131) | def mainCalculation():

FILE: Lecture 05-Interest Rate Products/Materials/HW_Caplets.py
  class OptionType (line 19) | class OptionType(enum.Enum):
  function GeneratePathsHWEuler (line 23) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 54) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 61) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 72) | def HW_B(lambd,eta,T1,T2):
  function HW_ZCB (line 75) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function HWMean_r (line 80) | def HWMean_r(P0T,lambd,eta,T):
  function HW_r_0 (line 92) | def HW_r_0(P0T,lambd,eta):
  function HW_Mu_FrwdMeasure (line 100) | def HW_Mu_FrwdMeasure(P0T,lambd,eta,T):
  function HWVar_r (line 117) | def HWVar_r(lambd,eta,T):
  function HWDensity (line 120) | def HWDensity(P0T,lambd,eta,T):
  function HW_CapletFloorletPrice (line 125) | def HW_CapletFloorletPrice(CP,N,K,lambd,eta,P0T,T1,T2):
  function HW_ZCB_CallPutPrice (line 135) | def HW_ZCB_CallPutPrice(CP,K,lambd,eta,P0T,T1,T2):
  function mainCalculation (line 158) | def mainCalculation():

FILE: Lecture 05-Interest Rate Products/Materials/HW_OptionsOnZCBs.py
  class OptionType (line 20) | class OptionType(enum.Enum):
  function GeneratePathsHWEuler (line 24) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 55) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 62) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 73) | def HW_B(lambd,eta,T1,T2):
  function HW_ZCB (line 76) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function HWMean_r (line 81) | def HWMean_r(P0T,lambd,eta,T):
  function HW_r_0 (line 93) | def HW_r_0(P0T,lambd,eta):
  function HW_Mu_FrwdMeasure (line 101) | def HW_Mu_FrwdMeasure(P0T,lambd,eta,T):
  function HWVar_r (line 118) | def HWVar_r(lambd,eta,T):
  function HWDensity (line 121) | def HWDensity(P0T,lambd,eta,T):
  function HW_ZCB_CallPutPrice (line 126) | def HW_ZCB_CallPutPrice(CP,K,lambd,eta,P0T,T1,T2):
  function mainCalculation (line 148) | def mainCalculation():

FILE: Lecture 05-Interest Rate Products/Materials/Swaps_HW.py
  class OptionTypeSwap (line 21) | class OptionTypeSwap(enum.Enum):
  function GeneratePathsHWEuler (line 25) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 56) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 63) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 74) | def HW_B(lambd,eta,T1,T2):
  function HW_ZCB (line 77) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function HW_r_0 (line 87) | def HW_r_0(P0T,lambd,eta):
  function SwapPrice (line 95) | def SwapPrice(CP,notional,K,t,Ti,Tm,n,P0T):
  function HW_SwapPrice (line 132) | def HW_SwapPrice(CP,notional,K,t,Ti,Tm,n,r_t,P0T,lambd,eta):
  function mainCalculation (line 174) | def mainCalculation():

FILE: Lecture 06-Construction of Yield Curve and Multi-Curve/Materials/MultiCurveBuild.py
  class OptionTypeSwap (line 19) | class OptionTypeSwap(enum.Enum):
  function IRSwap (line 23) | def IRSwap(CP,notional,K,t,Ti,Tm,n,P0T):
  function IRSwapMultiCurve (line 52) | def IRSwapMultiCurve(CP,notional,K,t,Ti,Tm,n,P0T,P0TFrd):
  function P0TModel (line 75) | def P0TModel(t,ti,ri,method):
  function YieldCurve (line 80) | def YieldCurve(instruments, maturities, r0, method, tol):
  function MultivariateNewtonRaphson (line 85) | def MultivariateNewtonRaphson(ri, ti, instruments, method, tol):
  function Jacobian (line 99) | def Jacobian(ti, ri, instruments, method):
  function EvaluateInstruments (line 114) | def EvaluateInstruments(ti,ri,instruments,method):
  function linear_interpolation (line 121) | def linear_interpolation(ti,ri):
  function spline_interpolate (line 125) | def spline_interpolate(ti,ri):
  function scipy_1d_interpolate (line 130) | def scipy_1d_interpolate(ti, ri):
  function mainCode (line 136) | def mainCode():

FILE: Lecture 06-Construction of Yield Curve and Multi-Curve/Materials/YieldCurveBuildGreeks.py
  class OptionTypeSwap (line 18) | class OptionTypeSwap(enum.Enum):
  function IRSwap (line 22) | def IRSwap(CP,notional,K,t,Ti,Tm,n,P0T):
  function P0TModel (line 58) | def P0TModel(t,ti,ri,method):
  function YieldCurve (line 69) | def YieldCurve(instruments, maturities, r0, method, tol):
  function MultivariateNewtonRaphson (line 74) | def MultivariateNewtonRaphson(ri, ti, instruments, method, tol):
  function Jacobian (line 88) | def Jacobian(ti, ri, instruments, method):
  function EvaluateInstruments (line 103) | def EvaluateInstruments(ti,ri,instruments,method):
  function linear_interpolation (line 110) | def linear_interpolation(ti,ri):
  function quadratic_interpolation (line 114) | def quadratic_interpolation(ti, ri):
  function cubic_interpolation (line 118) | def cubic_interpolation(ti, ri):
  function BuildInstruments (line 124) | def BuildInstruments(K,mat):
  function mainCode (line 136) | def mainCode():

FILE: Lecture 06-Construction of Yield Curve and Multi-Curve/Materials/YieldCurveBuild_Treasury.py
  class OptionTypeSwap (line 19) | class OptionTypeSwap(enum.Enum):
  function IRSwap (line 23) | def IRSwap(CP,notional,K,t,Ti,Tm,n,P0T):
  function P0TModel (line 59) | def P0TModel(t,ti,ri,method):
  function YieldCurve (line 64) | def YieldCurve(instruments, maturities, r0, method, tol):
  function MultivariateNewtonRaphson (line 69) | def MultivariateNewtonRaphson(ri, ti, instruments, method, tol):
  function Jacobian (line 83) | def Jacobian(ti, ri, instruments, method):
  function EvaluateInstruments (line 98) | def EvaluateInstruments(ti,ri,instruments,method):
  function linear_interpolation (line 105) | def linear_interpolation(ti,ri):
  function mainCode (line 109) | def mainCode():

FILE: Lecture 07-Pricing of Swaptions and Negative Interest Rates/Materials/HW_CapletsAndFloorlets.py
  class OptionType (line 20) | class OptionType(enum.Enum):
  function GeneratePathsHWEuler (line 24) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 55) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 62) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 73) | def HW_B(lambd,eta,T1,T2):
  function HW_ZCB (line 76) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function HWMean_r (line 81) | def HWMean_r(P0T,lambd,eta,T):
  function HW_r_0 (line 93) | def HW_r_0(P0T,lambd,eta):
  function HW_Mu_FrwdMeasure (line 101) | def HW_Mu_FrwdMeasure(P0T,lambd,eta,T):
  function HWVar_r (line 118) | def HWVar_r(lambd,eta,T):
  function HWDensity (line 121) | def HWDensity(P0T,lambd,eta,T):
  function HW_CapletFloorletPrice (line 126) | def HW_CapletFloorletPrice(CP,N,K,lambd,eta,P0T,T1,T2):
  function HW_ZCB_CallPutPrice (line 139) | def HW_ZCB_CallPutPrice(CP,K,lambd,eta,P0T,T1,T2):
  function BS_Call_Put_Option_Price (line 162) | def BS_Call_Put_Option_Price(CP,S_0,K,sigma,tau,r):
  function ImpliedVolatilityBlack76 (line 174) | def ImpliedVolatilityBlack76(CP,marketPrice,K,T,S_0):
  function mainCalculation (line 191) | def mainCalculation():

FILE: Lecture 07-Pricing of Swaptions and Negative Interest Rates/Materials/JamshidianTrick.py
  function PsiSum (line 16) | def PsiSum(psi,N,x):
  function JamshidianTrick (line 22) | def JamshidianTrick(psi,N,K):
  function Main (line 27) | def Main():

FILE: Lecture 07-Pricing of Swaptions and Negative Interest Rates/Materials/ShiftedLognormal.py
  class OptionType (line 20) | class OptionType(enum.Enum):
  function GeneratePathsGBMShifted (line 24) | def GeneratePathsGBMShifted(NoOfPaths,NoOfSteps,T,r,sigma,S_0,shift):
  function GeneratePathsGBM (line 34) | def GeneratePathsGBM(NoOfPaths,NoOfSteps,T,r,sigma,S_0):
  function BS_Call_Put_Option_Price_Shifted (line 57) | def BS_Call_Put_Option_Price_Shifted(CP,S_0,K,sigma,tau,r,shift):
  function BS_Call_Put_Option_Price (line 63) | def BS_Call_Put_Option_Price(CP,S_0,K,sigma,tau,r):
  function ImpliedVolatilityBlack76 (line 75) | def ImpliedVolatilityBlack76(CP,marketPrice,K,T,S_0):
  function ImpliedVolatilityBlack76Shifted (line 90) | def ImpliedVolatilityBlack76Shifted(CP,marketPrice,K,T,S_0,shift):
  function mainCalculation (line 104) | def mainCalculation():

FILE: Lecture 08-Mortgages and Prepayments/Materials/AnnuityMortgage.py
  function Annuity (line 15) | def Annuity(rate,notional,periods,CPR):
  function mainCode (line 43) | def mainCode():

FILE: Lecture 08-Mortgages and Prepayments/Materials/BulletMortgage.py
  function Bullet (line 15) | def Bullet(rate,notional,periods,CPR):
  function mainCode (line 36) | def mainCode():

FILE: Lecture 08-Mortgages and Prepayments/Materials/Incentives.py
  function Annuity (line 15) | def Annuity(rate,notional,periods,CPR):
  function mainCode (line 43) | def mainCode():

FILE: Lecture 08-Mortgages and Prepayments/Materials/StochasticAmortizingSwap.py
  function GeneratePathsHWEuler (line 17) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 48) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 54) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 65) | def HW_B(lambd,eta,T1,T2):
  function HW_ZCB (line 68) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function SwapRateHW (line 78) | def SwapRateHW(t,Ti,Tm,n,r_t,P0T,lambd,eta):
  function Bullet (line 117) | def Bullet(rate,notional,periods,CPR):
  function Annuity (line 138) | def Annuity(rate,notional,periods,CPR):
  function mainCode (line 166) | def mainCode():

FILE: Lecture 09-Hybrid Models and Stochastic Interest Rates/Materials/BSHW_Comparison.py
  class OptionType (line 27) | class OptionType(enum.Enum):
  function CallPutOptionPriceCOSMthd_StochIR (line 31) | def CallPutOptionPriceCOSMthd_StochIR(cf,CP,S0,tau,K,N,L,P0T):
  function CallPutCoefficients (line 71) | def CallPutCoefficients(CP,a,b,k):
  function Chi_Psi (line 92) | def Chi_Psi(a,b,c,d,k):
  function BS_Call_Option_Price (line 109) | def BS_Call_Option_Price(CP,S_0,K,sigma,tau,r):
  function ImpliedVolatilityBlack76 (line 122) | def ImpliedVolatilityBlack76(CP,marketPrice,K,T,S_0):
  function ChFBSHW (line 128) | def ChFBSHW(u, T, P0T, lambd, eta, rho, sigma):
  function BSHWVolatility (line 159) | def BSHWVolatility(T,eta,sigma,rho,lambd):
  function BSHWOptionPrice (line 167) | def BSHWOptionPrice(CP,S0,K,P0T,T,eta,sigma,rho,lambd):
  function mainCalculation (line 176) | def mainCalculation():

FILE: Lecture 09-Hybrid Models and Stochastic Interest Rates/Materials/BSHW_ImpliedVolatility.py
  class OptionType (line 27) | class OptionType(enum.Enum):
  function BS_Call_Option_Price (line 32) | def BS_Call_Option_Price(CP,S_0,K,sigma,tau,r):
  function ImpliedVolatilityBlack76 (line 45) | def ImpliedVolatilityBlack76(CP,frwdMarketPrice,K,T,frwdStock):
  function BSHWVolatility (line 52) | def BSHWVolatility(T,eta,sigma,rho,lambd):
  function BSHWOptionPrice (line 60) | def BSHWOptionPrice(CP,S0,K,P0T,T,eta,sigma,rho,lambd):
  function mainCalculation (line 69) | def mainCalculation():

FILE: Lecture 09-Hybrid Models and Stochastic Interest Rates/Materials/H1_HW_COS_vs_MC.py
  class OptionType (line 20) | class OptionType(enum.Enum):
  function CallPutOptionPriceCOSMthd_StochIR (line 24) | def CallPutOptionPriceCOSMthd_StochIR(cf,CP,S0,tau,K,N,L,P0T):
  function CallPutCoefficients (line 64) | def CallPutCoefficients(CP,a,b,k):
  function Chi_Psi (line 85) | def Chi_Psi(a,b,c,d,k):
  function EUOptionPriceFromMCPathsGeneralizedStochIR (line 101) | def EUOptionPriceFromMCPathsGeneralizedStochIR(CP,S,K,T,M):
  function CIR_Sample (line 113) | def CIR_Sample(NoOfPaths,kappa,gamma,vbar,s,t,v_s):
  function GeneratePathsHestonHW_AES (line 120) | def GeneratePathsHestonHW_AES(NoOfPaths,NoOfSteps,P0T,T,S_0,kappa,gamma,...
  function GeneratePathsHestonHWEuler (line 181) | def GeneratePathsHestonHWEuler(NoOfPaths,NoOfSteps,P0T,T,S_0,kappa,gamma...
  function meanSqrtV_3 (line 240) | def meanSqrtV_3(kappa,v0,vbar,gamma):
  function C_H1HW (line 247) | def C_H1HW(u,tau,lambd):
  function D_H1HW (line 252) | def D_H1HW(u,tau,kappa,gamma,rhoxv):
  function A_H1HW (line 261) | def A_H1HW(u,tau,P0T,lambd,eta,kappa,gamma,vbar,v0,rhoxv,rhoxr):
  function ChFH1HWModel (line 290) | def ChFH1HWModel(P0T,lambd,eta,tau,kappa,gamma,vbar,v0,rhoxv, rhoxr):
  function mainCalculation (line 301) | def mainCalculation():

FILE: Lecture 09-Hybrid Models and Stochastic Interest Rates/Materials/SZHW_ImpliedVolatilities.py
  class OptionType (line 27) | class OptionType(enum.Enum):
  function CallPutOptionPriceCOSMthd_StochIR (line 32) | def CallPutOptionPriceCOSMthd_StochIR(cf,CP,S0,tau,K,N,L,P0T):
  function CallPutCoefficients (line 72) | def CallPutCoefficients(CP,a,b,k):
  function Chi_Psi (line 93) | def Chi_Psi(a,b,c,d,k):
  function BS_Call_Put_Option_Price (line 110) | def BS_Call_Put_Option_Price(CP,S_0,K,sigma,tau,r):
  function ImpliedVolatilityBlack76 (line 123) | def ImpliedVolatilityBlack76(CP,marketPrice,K,T,S_0):
  function C (line 140) | def C(u,tau,lambd):
  function D (line 144) | def D(u,tau,kappa,Rxsigma,gamma):
  function E (line 153) | def E(u,tau,lambd,gamma,Rxsigma,Rrsigma,Rxr,eta,kappa,sigmabar):
  function A (line 173) | def A(u,tau,eta,lambd,Rxsigma,Rrsigma,Rxr,gamma,kappa,sigmabar):
  function ChFSZHW (line 198) | def ChFSZHW(u,P0T,sigma0,tau,lambd,gamma,    Rxsigma,Rrsigma,Rxr,eta,kap...
  function ChFBSHW (line 212) | def ChFBSHW(u, T, P0T, lambd, eta, rho, sigma):
  function mainCalculation (line 240) | def mainCalculation():

FILE: Lecture 09-Hybrid Models and Stochastic Interest Rates/Materials/SZHW_MonteCarlo_DiversificationProduct.py
  class OptionType (line 25) | class OptionType(enum.Enum):
  function HW_theta (line 29) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 35) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 46) | def HW_B(lambd,eta,T1,T2):
  function HW_ZCB (line 49) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function EUOptionPriceFromMCPathsGeneralizedStochIR (line 54) | def EUOptionPriceFromMCPathsGeneralizedStochIR(CP,S,K,T,M):
  function GeneratePathsSZHWEuler (line 65) | def GeneratePathsSZHWEuler(NoOfPaths,NoOfSteps,P0T,T,S0,sigma0,sigmabar,...
  function DiversifcationPayoff (line 117) | def DiversifcationPayoff(P0T,S_T,S0,r_T,M_T,T,T1,lambd,eta,omegaV):
  function mainCalculation (line 127) | def mainCalculation():

FILE: Lecture 10-Foreign Exchange (FX) and Inflation/Materials/H1_HW_COS_vs_MC_FX.py
  class OptionType (line 22) | class OptionType(enum.Enum):
  function BS_Call_Put_Option_Price (line 27) | def BS_Call_Put_Option_Price(CP,S_0,K,sigma,tau,r):
  function ImpliedVolatilityBlack76 (line 40) | def ImpliedVolatilityBlack76(CP,marketPrice,K,T,S_0):
  function CallPutOptionPriceCOSMthd_StochIR (line 57) | def CallPutOptionPriceCOSMthd_StochIR(cf,CP,S0,tau,K,N,L,P0T):
  function CallPutCoefficients (line 97) | def CallPutCoefficients(CP,a,b,k):
  function Chi_Psi (line 118) | def Chi_Psi(a,b,c,d,k):
  function EUOptionPriceFromMCPathsGeneralizedFXFrwd (line 134) | def EUOptionPriceFromMCPathsGeneralizedFXFrwd(CP,S,K):
  function GeneratePathsHHWFXHWEuler (line 145) | def GeneratePathsHHWFXHWEuler(NoOfPaths,NoOfSteps,T,frwdFX,v0,vbar,kappa...
  function meanSqrtV_3 (line 194) | def meanSqrtV_3(kappa,v0,vbar,gamma):
  function C_H1HW_FX (line 201) | def C_H1HW_FX(u,tau,kappa,gamma,rhoxv):
  function ChFH1HW_FX (line 210) | def ChFH1HW_FX(u,tau,gamma,Rxv,Rxrd,Rxrf,Rrdrf,Rvrd,Rvrf,lambdd,etad,lam...
  function GenerateStrikes (line 250) | def GenerateStrikes(frwd,Ti):
  function mainCalculation (line 254) | def mainCalculation():

FILE: Lecture 11-Market Model and Convexity Adjustments/Materials/ConvexityCorrection.py
  class OptionType (line 18) | class OptionType(enum.Enum):
  function GeneratePathsHWEuler (line 22) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 53) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 60) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 71) | def HW_B(lambd,eta,T1,T2):
  function HW_ZCB (line 74) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function HWMean_r (line 79) | def HWMean_r(P0T,lambd,eta,T):
  function HW_r_0 (line 91) | def HW_r_0(P0T,lambd,eta):
  function mainCalculation (line 99) | def mainCalculation():

FILE: Lecture 11-Market Model and Convexity Adjustments/Materials/DD_ImpliedVolatility.py
  class OptionType (line 25) | class OptionType(enum.Enum):
  function BS_Call_Option_Price (line 30) | def BS_Call_Option_Price(CP,S_0,K,sigma,tau,r):
  function ImpliedVolatilityBlack76_xxx (line 42) | def ImpliedVolatilityBlack76_xxx(CP,marketPrice,K,T,S_0):
  function ImpliedVolatilityBlack76 (line 49) | def ImpliedVolatilityBlack76(CP,marketPrice,K,T,S_0):
  function DisplacedDiffusionModel_CallPrice (line 63) | def DisplacedDiffusionModel_CallPrice(K,P0T,beta,sigma,frwd,T):
  function mainCalculation (line 68) | def mainCalculation():

FILE: Lecture 12-Valuation Adjustments- xVA (CVA,BCVA and FVA)/Materials/Exposures_HW_Netting.py
  class OptionTypeSwap (line 20) | class OptionTypeSwap(enum.Enum):
  function GeneratePathsHWEuler (line 24) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 55) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 62) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 73) | def HW_B(lambd,eta,T1,T2):
  function HW_ZCB (line 76) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function HWMean_r (line 87) | def HWMean_r(P0T,lambd,eta,T):
  function HW_r_0 (line 99) | def HW_r_0(P0T,lambd,eta):
  function HW_Mu_FrwdMeasure (line 107) | def HW_Mu_FrwdMeasure(P0T,lambd,eta,T):
  function HWVar_r (line 124) | def HWVar_r(lambd,eta,T):
  function HWDensity (line 127) | def HWDensity(P0T,lambd,eta,T):
  function HW_SwapPrice (line 132) | def HW_SwapPrice(CP,notional,K,t,Ti,Tm,n,r_t,P0T,lambd,eta):
  function mainCalculation (line 174) | def mainCalculation():

FILE: Lecture 13-Value-at-Risk and Expected Shortfall/Materials/HistoricalVaR_Calculation.py
  class OptionTypeSwap (line 21) | class OptionTypeSwap(enum.Enum):
  function IRSwap (line 25) | def IRSwap(CP,notional,K,t,Ti,Tm,n,P0T):
  function P0TModel (line 61) | def P0TModel(t,ti,ri,method):
  function YieldCurve (line 66) | def YieldCurve(instruments, maturities, r0, method, tol):
  function MultivariateNewtonRaphson (line 71) | def MultivariateNewtonRaphson(ri, ti, instruments, method, tol):
  function Jacobian (line 85) | def Jacobian(ti, ri, instruments, method):
  function EvaluateInstruments (line 100) | def EvaluateInstruments(ti,ri,instruments,method):
  function linear_interpolation (line 107) | def linear_interpolation(ti,ri):
  function BuildYieldCurve (line 111) | def BuildYieldCurve(K,mat):
  function Portfolio (line 137) | def Portfolio(P0T):
  function mainCode (line 152) | def mainCode():

FILE: Lecture 13-Value-at-Risk and Expected Shortfall/Materials/MonteCarloVaR.py
  class OptionTypeSwap (line 21) | class OptionTypeSwap(enum.Enum):
  function GeneratePathsHWEuler (line 25) | def GeneratePathsHWEuler(NoOfPaths,NoOfSteps,T,P0T, lambd, eta):
  function HW_theta (line 56) | def HW_theta(lambd,eta,P0T):
  function HW_A (line 63) | def HW_A(lambd,eta,P0T,T1,T2):
  function HW_B (line 74) | def HW_B(lambd,eta,T1,T2):
  function HW_ZCB (line 77) | def HW_ZCB(lambd,eta,P0T,T1,T2,rT1):
  function HWMean_r (line 88) | def HWMean_r(P0T,lambd,eta,T):
  function HW_r_0 (line 100) | def HW_r_0(P0T,lambd,eta):
  function HW_Mu_FrwdMeasure (line 108) | def HW_Mu_FrwdMeasure(P0T,lambd,eta,T):
  function HWVar_r (line 125) | def HWVar_r(lambd,eta,T):
  function HWDensity (line 128) | def HWDensity(P0T,lambd,eta,T):
  function HW_SwapPrice (line 133) | def HW_SwapPrice(CP,notional,K,t,Ti,Tm,n,r_t,P0T,lambd,eta):
  function Portfolio (line 175) | def Portfolio(P0T,r_t,lambd,eta):
  function mainCalculation (line 191) | def mainCalculation():