SYMBOL INDEX (126 symbols across 19 files)

FILE: src/C/BS_SOR_main.c
  function main (line 11) | int main()

FILE: src/C/PDE_solver.c
  function PDE_SOR (line 6) | double PDE_SOR(int Ns, int Nt, double S, double K, double T, double sig,...

FILE: src/C/SOR.c
  function dist_square (line 5) | double dist_square(double* a, double* b)
  function dist_square2 (line 17) | double dist_square2(double* a, double* b, int NN)
  function print_matrix (line 162) | void print_matrix(double arr[N][N])
  function print_array (line 174) | void print_array(double* arr)
  function print_array_2 (line 182) | void print_array_2(double* arr, int NN)

FILE: src/C/mainSOR.c
  function main (line 26) | int main()

FILE: src/FMNM/BS_pricer.py
  class BS_pricer (line 26) | class BS_pricer:
    method __init__ (line 34) | def __init__(self, Option_info, Process_info):
    method payoff_f (line 55) | def payoff_f(self, S):
    method BlackScholes (line 63) | def BlackScholes(payoff="call", S0=100.0, K=100.0, T=1.0, r=0.1, sigma...
    method vega (line 83) | def vega(sigma, S0, K, T, r):
    method closed_formula (line 88) | def closed_formula(self):
    method Fourier_inversion (line 102) | def Fourier_inversion(self):
    method FFT (line 126) | def FFT(self, K):
    method IV_Lewis (line 146) | def IV_Lewis(self):
    method MC (line 161) | def MC(self, N, Err=False, Time=False):
    method PDE_price (line 186) | def PDE_price(self, steps, Time=False, solver="splu"):
    method plot (line 301) | def plot(self, axis=None):
    method mesh_plt (line 317) | def mesh_plt(self):
    method LSM (line 333) | def LSM(self, N=10000, paths=10000, order=2):

FILE: src/FMNM/CF.py
  function cf_normal (line 12) | def cf_normal(u, mu=1, sig=2):
  function cf_gamma (line 19) | def cf_gamma(u, a=1, b=2):
  function cf_poisson (line 28) | def cf_poisson(u, lam=1):
  function cf_mert (line 36) | def cf_mert(u, t=1, mu=1, sig=2, lam=0.8, muJ=0, sigJ=0.5):
  function cf_VG (line 50) | def cf_VG(u, t=1, mu=0, theta=-0.1, sigma=0.2, kappa=0.1):
  function cf_NIG (line 61) | def cf_NIG(u, t=1, mu=0, theta=-0.1, sigma=0.2, kappa=0.1):
  function cf_Heston (line 74) | def cf_Heston(u, t, v0, mu, kappa, theta, sigma, rho):
  function cf_Heston_good (line 89) | def cf_Heston_good(u, t, v0, mu, kappa, theta, sigma, rho):

FILE: src/FMNM/FFT.py
  function fft_Lewis (line 16) | def fft_Lewis(K, S0, r, T, cf, interp="cubic"):
  function IV_from_Lewis (line 49) | def IV_from_Lewis(K, S0, T, r, cf, disp=False):

FILE: src/FMNM/Heston_pricer.py
  class Heston_pricer (line 21) | class Heston_pricer:
    method __init__ (line 28) | def __init__(self, Option_info, Process_info):
    method payoff_f (line 50) | def payoff_f(self, S):
    method MC (line 57) | def MC(self, N, paths, Err=False, Time=False):
    method Fourier_inversion (line 97) | def Fourier_inversion(self):
    method FFT (line 128) | def FFT(self, K):
    method IV_Lewis (line 156) | def IV_Lewis(self):

FILE: src/FMNM/Kalman_filter.py
  class Kalman_regression (line 15) | class Kalman_regression:
    method __init__ (line 29) | def __init__(self, X, Y, alpha0=None, beta0=None, var_eta=None, var_ep...
    method get_OLS_params (line 68) | def get_OLS_params(self):
    method set_OLS_params (line 77) | def set_OLS_params(self):
    method run (line 80) | def run(self, X=None, Y=None, var_eta=None, var_eps=None):
    method calibrate_MLE (line 146) | def calibrate_MLE(self):
    method calibrate_R2 (line 180) | def calibrate_R2(self, mode="pre-fit"):
    method RTS_smoother (line 211) | def RTS_smoother(self, X, Y):
  function rolling_regression_test (line 232) | def rolling_regression_test(X, Y, rolling_window, training_size):
  function plot_betas (line 245) | def plot_betas(X, Y, true_rho, rho_err, var_eta=None, training_size=250,...

FILE: src/FMNM/Merton_pricer.py
  class Merton_pricer (line 26) | class Merton_pricer:
    method __init__ (line 36) | def __init__(self, Option_info, Process_info):
    method payoff_f (line 62) | def payoff_f(self, S):
    method closed_formula (line 69) | def closed_formula(self):
    method Fourier_inversion (line 89) | def Fourier_inversion(self):
    method FFT (line 118) | def FFT(self, K):
    method IV_Lewis (line 144) | def IV_Lewis(self):
    method MC (line 165) | def MC(self, N, Err=False, Time=False):
    method PIDE_price (line 189) | def PIDE_price(self, steps, Time=False):
    method plot (line 277) | def plot(self, axis=None):
    method mesh_plt (line 291) | def mesh_plt(self):

FILE: src/FMNM/NIG_pricer.py
  class NIG_pricer (line 26) | class NIG_pricer:
    method __init__ (line 36) | def __init__(self, Option_info, Process_info):
    method payoff_f (line 61) | def payoff_f(self, S):
    method Fourier_inversion (line 68) | def Fourier_inversion(self):
    method MC (line 99) | def MC(self, N, Err=False, Time=False):
    method NIG_measure (line 123) | def NIG_measure(self, x):
    method PIDE_price (line 129) | def PIDE_price(self, steps, Time=False):
    method plot (line 229) | def plot(self, axis=None):
    method mesh_plt (line 243) | def mesh_plt(self):

FILE: src/FMNM/Parameters.py
  class Option_param (line 10) | class Option_param:
    method __init__ (line 20) | def __init__(self, S0=15, K=15, T=1, v0=0.04, payoff="call", exercise=...

FILE: src/FMNM/Processes.py
  class Diffusion_process (line 17) | class Diffusion_process:
    method __init__ (line 25) | def __init__(self, r=0.1, sig=0.2, mu=0.1):
    method exp_RV (line 33) | def exp_RV(self, S0, T, N):
  class Merton_process (line 39) | class Merton_process:
    method __init__ (line 49) | def __init__(self, r=0.1, sig=0.2, lam=0.8, muJ=0, sigJ=0.5):
    method exp_RV (line 64) | def exp_RV(self, S0, T, N):
  class VG_process (line 75) | class VG_process:
    method __init__ (line 85) | def __init__(self, r=0.1, sigma=0.2, theta=-0.1, kappa=0.1):
    method exp_RV (line 107) | def exp_RV(self, S0, T, N):
    method path (line 116) | def path(self, T=1, N=10000, paths=1):
    method fit_from_data (line 130) | def fit_from_data(self, data, dt=1, method="Nelder-Mead"):
  class Heston_process (line 190) | class Heston_process:
    method __init__ (line 200) | def __init__(self, mu=0.1, rho=0, sigma=0.2, theta=-0.1, kappa=0.1):
    method path (line 212) | def path(self, S0, v0, N, T=1):
  class NIG_process (line 245) | class NIG_process:
    method __init__ (line 255) | def __init__(self, r=0.1, sigma=0.2, theta=-0.1, kappa=0.1):
    method exp_RV (line 275) | def exp_RV(self, S0, T, N):
  class GARCH (line 286) | class GARCH:
    method __init__ (line 299) | def __init__(self, VL=0.04, alpha=0.08, beta=0.9):
    method path (line 309) | def path(self, N=1000):
    method fit_from_data (line 322) | def fit_from_data(self, data, disp=True):
    method log_likelihood (line 385) | def log_likelihood(self, R, last_var=True):
    method generate_var (line 402) | def generate_var(self, R, R0, var0):
  class OU_process (line 417) | class OU_process:
    method __init__ (line 425) | def __init__(self, sigma=0.2, theta=-0.1, kappa=0.1):
    method path (line 433) | def path(self, X0=0, T=1, N=10000, paths=1):

FILE: src/FMNM/Solvers.py
  function Thomas (line 16) | def Thomas(A, b):
  function SOR (line 40) | def SOR(A, b, w=1, eps=1e-10, N_max=100):
  function SOR2 (line 75) | def SOR2(A, b, w=1, eps=1e-10, N_max=100):

FILE: src/FMNM/TC_pricer.py
  class TC_pricer (line 15) | class TC_pricer:
    method __init__ (line 20) | def __init__(self, Option_info, Process_info, cost_b=0, cost_s=0, gamm...
    method price (line 45) | def price(self, N=500, TYPE="writer", Time=False):

FILE: src/FMNM/VG_pricer.py
  class VG_pricer (line 27) | class VG_pricer:
    method __init__ (line 37) | def __init__(self, Option_info, Process_info):
    method payoff_f (line 63) | def payoff_f(self, S):
    method closed_formula (line 70) | def closed_formula(self):
    method Fourier_inversion (line 107) | def Fourier_inversion(self):
    method MC (line 135) | def MC(self, N, Err=False, Time=False):
    method FFT (line 159) | def FFT(self, K):
    method IV_Lewis (line 183) | def IV_Lewis(self):
    method PIDE_price (line 202) | def PIDE_price(self, steps, Time=False):
    method plot (line 312) | def plot(self, axis=None):
    method mesh_plt (line 326) | def mesh_plt(self):
    method closed_formula_wrong (line 342) | def closed_formula_wrong(self):

FILE: src/FMNM/cost_utils.py
  function no_opt (line 12) | def no_opt(x, y, cost_b, cost_s):
  function writer (line 24) | def writer(x, y, cost_b, cost_s, K):
  function buyer (line 44) | def buyer(x, y, cost_b, cost_s, K):

FILE: src/FMNM/portfolio_optimization.py
  function optimal_weights (line 5) | def optimal_weights(MU, COV, Rf=0, w_max=1, desired_mean=None, desired_s...

FILE: src/FMNM/probabilities.py
  function Q1 (line 17) | def Q1(k, cf, right_lim):
  function Q2 (line 30) | def Q2(k, cf, right_lim):
  function Gil_Pelaez_pdf (line 43) | def Gil_Pelaez_pdf(x, cf, right_lim):
  function Heston_pdf (line 60) | def Heston_pdf(i, t, v0, mu, theta, sigma, kappa, rho):
  function VG_pdf (line 77) | def VG_pdf(x, T, c, theta, sigma, kappa):
  function Merton_pdf (line 93) | def Merton_pdf(x, T, mu, sig, lam, muJ, sigJ):
  function NIG_pdf (line 107) | def NIG_pdf(x, T, c, theta, sigma, kappa):