Processes

Stochastic processes driving the pricing engines.

processes

Runtime source shim for the native itofin.processes submodule.

The real itofin.processes is a compiled submodule registered into sys.modules by the extension (see crates/itofin-py/src/lib.rs); it wins at import time, so nothing here runs. This file exists only so static type checkers resolve from itofin.processes import ... from processes.pyi without a reportMissingModuleSource warning.

Auto-generated by scripts/gen_submodule_shims.py from processes.pyi; do not edit or delete by hand.

BlackScholesProcess

BlackScholesProcess(spot: float, risk_free_rate: float, dividend_yield: float, volatility: float, reference_date: Date, day_counter: DayCounter)

A generalized Black-Scholes process, built from scalars or curve objects.

The Handle plumbing is assembled internally, so no handle crosses the binding boundary. The constructor takes the conventional (risk_free_rate, dividend_yield) order and places the two curves in the core's own order at a single call site.

Build a flat-market process from scalar inputs.

Parameters:

Name	Type	Description	Default
spot	float	The spot level, held as a quote.	required
risk_free_rate	float	The flat risk-free rate, made into a curve compounded continuously on an annual frequency.	required
dividend_yield	float	The flat dividend yield, made into a curve on the same convention as the risk-free rate.	required
volatility	float	The flat Black volatility.	required
reference_date	Date	The date the three flat curves are anchored on.	required
day_counter	DayCounter	The day count the curves accrue on.	required

from_curves staticmethod

from_curves(spot: float, risk_free: YieldTermStructure, dividend: YieldTermStructure, vol: BlackVolTermStructure) -> BlackScholesProcess

Build a process from term-structure objects instead of scalars.

The three legs are bound by name and placed in the core's order at a single call site, the same risk-free/dividend argument-order footgun the scalar constructor guards against.

Parameters:

Name	Type	Description	Default
spot	float	The spot level, held as a quote.	required
risk_free	YieldTermStructure	The risk-free discount curve.	required
dividend	YieldTermStructure	The dividend curve.	required
vol	BlackVolTermStructure	The Black volatility surface.	required

Returns:

Name	Type	Description
BlackScholesProcess	BlackScholesProcess	A process over the three supplied term structures.

risk_free_rate

risk_free_rate() -> float

Return the risk-free rate carried by the process.

Returns:

Name	Type	Description
float	float	The continuously compounded zero rate on the risk-free curve at the
	float	reference date.

dividend_yield

dividend_yield() -> float

Return the dividend yield carried by the process.

Returns:

Name	Type	Description
float	float	The continuously compounded zero rate on the dividend curve at the
	float	reference date.

HestonProcess

HestonProcess(risk_free_rate: float, dividend_yield: float, spot: float, v0: float, kappa: float, theta: float, sigma: float, rho: float, reference_date: Date, day_counter: DayCounter)

The square-root stochastic-variance process.

The two flat yield curves and the spot quote are assembled behind their handles internally, so no handle crosses the binding boundary.

Build the process from scalar market inputs and the five parameters.

Parameters:

Name	Type	Description	Default
risk_free_rate	float	The flat risk-free rate, made into a curve compounded continuously on an annual frequency.	required
dividend_yield	float	The flat dividend yield, made into a curve on the same convention as the risk-free rate.	required
spot	float	The spot level, held as a quote.	required
v0	float	The initial variance.	required
kappa	float	The mean-reversion speed.	required
theta	float	The long-run variance.	required
sigma	float	The volatility of variance.	required
rho	float	The spot/variance correlation.	required
reference_date	Date	The date the two flat curves are anchored on.	required
day_counter	DayCounter	The day count the curves accrue on.	required

v0

v0() -> float

Return the initial variance.

Returns:

Name	Type	Description
float	float	The initial variance v0.

kappa

kappa() -> float

Return the mean-reversion speed.

Returns:

Name	Type	Description
float	float	The mean-reversion speed kappa.

theta

theta() -> float

Return the long-run variance.

Returns:

Name	Type	Description
float	float	The long-run variance theta.

sigma

sigma() -> float

Return the volatility of variance.

Returns:

Name	Type	Description
float	float	The volatility of variance sigma.

rho

rho() -> float

Return the spot/variance correlation.

Returns:

Name	Type	Description
float	float	The spot/variance correlation rho.