h$Jk9      !"#$%&'() * + , - . / 0 1 2 3 4 5 6 7 8 9 : ; < = > ? @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z [ \ ] ^ _ ` a b c d e f ghijklmnopqrstuvwxyz{|}~                                                 !!!!!!!!!!!!""""""""""""""""""""#%(c) 2021 GhaisMITGhais <0x47@0x49.dev>None #$&-028< $None #$&-028<None #$&-028<(HQuCurrency specificationHQu!currency name, e.g. "U.S. dollar"HQu!ISO 4217 three-letter code, e.g. USDHQuISO 4217 numeric code, e.g. 840HQu%number of fractionary parts in a unitNone #$&-028< HQu Swiss france HQu European Euro HQuBritish pound sterling  None #$&-028< HQu Syrian Pounds  None #$&-028<g HQuCanadian dollarHQu U.S. dollar  .A collection of plotting tools i found useful.None #$&-028<None #$&-028<>HQuTimeHQuValueHQu4Read a a csv row with 2 columns: `date,value` where date is in year fractions.HQu4Read a a csv row with 2 columns: `date,value` where date4 is in shortened iso format. (with our without time)None  #$&'(-028<>?h$%&'($%&'( None #$&-028<m )HQu Ito process-HQuGeometric Brownian motion/HQuDrift0HQuVol1HQu!A stochastic process of the form *dX_t = \mu(X_t, t)dt + \sigma(S_t, t)dB_t 2HQuThe process drift.3HQuThe process diffusion.4HQu4Evolve a process from a given state to a given time.5HQuSimilar to evolve, but evolves the process with the discretization scheme dt.6HQu8Discretization of stochastic process over given interval7HQu$Discretization of the drift process.8HQu(Discretization of the diffusion process.9HQudt used.4HQu The processHQuDiscretization schemeHQu Initial stateHQuTarget time t.HQudB_i.HQuX(t).)*,+-.0/154326987:;;:698715432-.0/)*,+ None #$&-028<>?G?HQu6Euler end-point discretization of stochastic processesBHQu,Euler discretization of stochastic processes?@ABCDBCD?@A%None #$&-028<)*+,-./0154236978:;?@ABCD None #$&-028<-LHQuDefines a holidays for given calendar. Corresponds to calendar class in QuantLibLMNOPQLMNOPQ None #$&-028<>7VHQu"Thirty day counters as in QuantLibZHQuDay counter type class[HQuName of the day counter.\HQu!Number of business days inbetween]HQuYear fraction between 2 dates.VWXYZ[\]Z[\]VWXY None #$&-028<:cHQu2None #$&-028<HQu1Path independent payoffs based on a fixed strike.HQuVanilla option payoff max (s - k, 0) for call and max (k - s, 0) for putHQuCall/Put indicatorHQuStrike k. | Payoff with strike expressed as percentageHQuCall/Put indicatorHQu8Strike in percentage. | Binary asset or nothing payoff.HQuCall/Put indicatorHQuStrike k" | Binary cash or nothing payoff.HQuCall/Put indicatorHQuStrike kHQu Cash amount.HQuThe instrument.HQu"The observable at the payoff time.HQuPayoff amount.None #$&-028</  None #$&-028< HQuintrinsinc value of an option.HQureturns True if the undiscounted option premium is greater than the ghijklmnopqrstuvwxyz{|}~None #$&-028<!@HQuAt the money forward strike.HQu'European option valuation with black 76HQusee HQusee ghijklmnopqrstuvwxyz{|}~ None #$&-028<>?"HQu;A relative or an absolute bump. Used with numerical Greeks.HQu/Things we can bump to calculate Greeks such as , ..etc'ghijklmnopqrstuvwxyz{|}~ None #$&-0128<% HQu(A claim contingent on some observable a.An example of an observable is a spot driven asset, such as a stock.HQuStop at time t and potentially apply n payouts up to the monitoring time.HQuStopping time.HQu.list of payout functions at the stopping time.HQu!A cash flow is a time and amount.HQuThe cash flow time.HQuThe cash flow amount.HQu-multipley a contingent claim by its notional.HQu!Change direction of the portfolioHQu*Monitor an observable at the given time t.HQuPay an amount at a given timeNone #$&-028<(yHQuA call spread is a portfolio: C(K1, T) - C(K2 T)  s.t.  K1 < K2 HQuA put spread is a portfolio: P(K2, T) - P(K1 T)  s.t.  K1 < K2 HQu2A straddle is a a portfolio :(C(K, T) + Put(K, T))HQu Put or callHQustrikeHQuObservable levelHQuPayoutHQuStrikeHQu ObservableHQuPayoutHQu Put or callHQu Low strikeHQu High strikeHQuObservable levelHQuPayoutHQu Option typeHQuStrikeHQuExpiryHQuContingent claim  None #$%&-028 0HQudWs. One for each stopping point.HQuS(0) \cup \{S(t_i)\}_i^n  HQuNum of trajectoriesHQuDiscretization schemeHQuThe stochastic processHQuS(0)HQuStopping points  \{t_i\}_i^n  where t_i > 0HQudWs. One for each stopping point.HQuS(0) \cup \{S(t_i)\}_i^n  None #$&-028<-HQu3Parameters for a simplified black scholes equation.HQu'The asset's spot on the valuation date.HQuRisk free rate.HQu Volatility.HQu-European option valuation with black scholes.HQusee HQusee ghijklmnopqrstuvwxyz{|}~ None #$&-028<.None #$&-028</EHQu/European option valuation with bachelier model.HQusee HQusee ghijklmnopqrstuvwxyz{|}~None #$&-028<2HQu2Method to use to calculate the normal implied vol.HQu(Jackel analytical formula approximation.HQuJ. Choi, K kim, and M. Kwak (2009) | Numerical root finding. Currently Ridders is used.HQuMaximum number of iterations.HQu Tolerance (relative or absolute)HQu Triple of *(low bound, initial guess, upper bound). If initial guess if out of bracket middle of bracket is taken as.HQu!Default method implementation of  using .HQuCalcualte the bachelier option implied vol of a european option.0If the options premium does not have time value  return 0.  None #$&-028<2ghijklmnopqrstuvwxyz{|}~None #$&-028<>4ghijklmnopqrstuvwxyz{|}~None #$&-028<4 None #$&-028<6HQuStochastic volatility inspired parameterization of the vol surface.HQu1The original raw SVI representation from GatheralHQu3Corresponds to a vertical translation of the smile.HQuSlope of call and put wings.HQu+A counter clock wise rotation of the smile.HQu translate the smile to the rightHQuATM curviture of the smile.  !None #$&-028<7  "None #$&-028<>?9 HQuImplied volatility surface where the strikes are in the space of k' and implied volatility time slice is v.HQuSpot.HQuOrdered list of tenors.HQuThe forward curve.HQuThe discount curve.HQu,A spline of the at the money total variance.HQuMap from tenor to HQu'Method of interpolation between tenors.HQuThe type of surface.  # (c) 2016 FP Complete CorporationMIT (see LICENSE)dominic@steinitz.orgNone #$&-028<9&''()*+,-./01234556789:;<=>?@ABCDEFGHHIJK L L M N O O P Q R S T U V W X Y Z [ \ ] ^ _ ` ` a b b c d e f g h i j k l m n o p q r s t u v w x y z { | } ~     <                                                   !!!!!!!!!!!!""""""""""""""""""""#$$$$$$$$"HQu-0.0.0.3-JHSOnnZVr6N493rESVt36sHQu Q.CurrencyQ.Currencies.EuropeQ.Currencies.AsiaQ.Currencies.America Q.PlottingQ.Stats.TimeSeries Q.Stats.ArimaQ.Stochastic.ProcessQ.Stochastic.Discretize Q.Time.DateQ.Time.DayCounterQ.TimeQ.TypesQ.SortedVectorQ.InterpolationQ.Payoff(Q.Options.ImpliedVol.StrikeInterpolation Q.OptionsQ.Options.Black76Q.GreeksQ.ContingentClaimQ.ContingentClaim.Options Q.MonteCarloQ.Options.BlackScholes#Q.Options.ImpliedVol.LetsBeRationalQ.Options.BachelierQ.Options.ImpliedVol.NormalQ.Options.ImpliedVolQ.Options.ImpliedVol.TimeSlice&Q.Options.ImpliedVol.TimeInterpolationQ.Options.ImpliedVol.SVI'Q.Options.ImpliedVol.InterpolatingSmileQ.Options.ImpliedVol.Surface Q.Util.File Paths_HQu Q.StochasticsomeFuncCurrencycNamecCodecIsoCode cFracsPerUnit$fShowCurrency $fEqCurrencychfeurgbpsypcadusd colorPairs DataPointdpTdpV parseDateTimelocalTimeFormat' dayFormat' parseTimeparseDay dayToString dateToStringread valuesOnlytoPair$fFromNamedRecordDataPoint$fFromNamedRecordDataPoint0$fGenericDataPoint$fShowDataPoint $fEqDataPoint$fOrdDataPointEwmallforecast forecastN ItoProcessipDriftipDiffGeometricBrowniangbDriftgbDiffStochasticProcesspDriftpDiffpEvolvepEvolve' DiscretizedDriftdDiffdDtTime rwalkState $fNumRVarT*$fStochasticProcessGeometricBrownianDouble$fShowGeometricBrownianEndEulereeDtEulereDt$fDiscretizeEulerVector$fDiscretizeEulerDouble$fDiscretizeEndEulerDouble$fShowEndEuler $fEqEndEuler $fShowEuler $fEqEulerCalendar isHoliday isWeekend isBusinessDayhBusinessDayBetweenhNextBusinessDay$fGenericBusinessDayConvention$fShowBusinessDayConvention$fEqBusinessDayConvention$fEnumBusinessDayConvention Thirty360 ThirtyUSAThirtyEuropean ThirtyItalian DayCounterdcNamedcCountdcYearFraction$fDayCounterThirty360$fGenericThirty360 $fEqThirty360$fShowThirty360$fReadThirty360parseLocalTime$fFromFieldDay 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