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Case studies

S.XII. Data science: factor models and learning

[ S.50 ] Principal component analysis of the yield curve

[ S.51 ] Machine learning for hedging

[ S.52 ] Credit default classification

[ S.52.1 ] s_default_probabilities

[ S.53 ] Clustering for the stock market

S.XIII. Quantitative finance: the "Checklist"

[ S.54 ] Historical Checklist

[ S.54.1 ] s_checklist_historical_step01

[ S.54.1.1 ] Summary

[ S.54.1.2 ] Data

[ S.54.1.3 ] Parameters

[ S.54.1.4 ] Outcomes and figures

[ S.54.1.5 ] Implementation

[ S.54.1.6 ] See also

[ S.54.2 ] s_checklist_historical_step02

[ S.54.2.1 ] Summary

[ S.54.2.2 ] Data

[ S.54.2.3 ] Parameters

[ S.54.2.4 ] Outcomes and figures

[ S.54.2.5 ] Implementation

[ S.54.2.6 ] See also

[ S.54.3 ] s_checklist_historical_step03

[ S.54.3.1 ] Summary

[ S.54.3.2 ] Data

[ S.54.3.3 ] Parameters

[ S.54.3.4 ] Outcomes and figures

[ S.54.3.5 ] Implementation

[ S.54.3.6 ] See also

[ S.54.4 ] s_checklist_historical_step04

[ S.54.4.1 ] Summary

[ S.54.4.2 ] Data

[ S.54.4.3 ] Parameters

[ S.54.4.4 ] Outcomes and figures

[ S.54.4.5 ] Implementation

[ S.54.4.6 ] See also

[ S.54.5 ] s_checklist_historical_step05

[ S.54.5.1 ] Summary

[ S.54.5.2 ] Data

[ S.54.5.3 ] Parameters

[ S.54.5.4 ] Outcomes and figures

[ S.54.5.5 ] Implementation

[ S.54.5.6 ] See also

[ S.54.6 ] s_checklist_historical_step06

[ S.54.6.1 ] Script summary

[ S.54.6.2 ] Data

[ S.54.6.3 ] Parameters

[ S.54.6.4 ] Outcomes and figures

[ S.54.6.5 ] Implementation

[ S.54.6.6 ] See also

[ S.54.7 ] s_checklist_historical_step07

[ S.54.7.1 ] Script summary

[ S.54.7.2 ] Data

[ S.54.7.3 ] Parameters

[ S.54.7.4 ] Outcomes and figures

[ S.54.7.5 ] Implementation

[ S.54.7.6 ] See also

[ S.54.8 ] s_checklist_historical_step08

[ S.54.8.1 ] Script summary

[ S.54.8.2 ] Data

[ S.54.8.3 ] Parameters

[ S.54.8.4 ] Outcomes and figures

[ S.54.8.5 ] Implementation

[ S.54.8.6 ] See also

[ S.54.9 ] s_checklist_historical_step09

[ S.54.9.1 ] Script summary

[ S.54.9.2 ] Data

[ S.54.9.3 ] Parameters

[ S.54.9.4 ] Outcomes and figures

[ S.54.9.5 ] Implementation

[ S.54.9.6 ] See also

[ S.54.10 ] s_checklist_historical_step10

[ S.54.10.1 ] Script summary

[ S.54.10.2 ] Data

[ S.54.10.3 ] Parameters

[ S.54.10.4 ] Outcomes and figures

[ S.54.10.5 ] Implementation

[ S.54.10.6 ] See also

[ S.55 ] Monte Carlo Checklist

[ S.55.1 ] s_checklist_montecarlo_step01

[ S.55.1.1 ] Summary

[ S.55.1.2 ] Data

[ S.55.1.3 ] Parameters

[ S.55.1.4 ] Outcomes and figures

[ S.55.1.5 ] Implementation

[ S.55.1.6 ] See also

[ S.55.2 ] s_checklist_montecarlo_step02

[ S.55.2.1 ] Summary

[ S.55.2.2 ] Data

[ S.55.2.3 ] Parameters

[ S.55.2.4 ] Outcomes and figures

[ S.55.2.5 ] Implementation

[ S.55.2.6 ] See also

[ S.55.3 ] s_checklist_montecarlo_step03

[ S.55.3.1 ] Summary

[ S.55.3.2 ] Data

[ S.55.3.3 ] Parameters

[ S.55.3.4 ] Outcomes and figures

[ S.55.3.5 ] Implementation

[ S.55.3.6 ] See also

[ S.55.4 ] s_checklist_montecarlo_step04

[ S.55.4.1 ] Summary

[ S.55.4.2 ] Data

[ S.55.4.3 ] Parameters

[ S.55.4.4 ] Outcomes and figures

[ S.55.4.5 ] Implementation

[ S.55.4.6 ] See also

[ S.55.5 ] s_checklist_montecarlo_step05

[ S.55.5.1 ] Summary

[ S.55.5.2 ] Data

[ S.55.5.3 ] Parameters

[ S.55.5.4 ] Outcomes and figures

[ S.55.5.5 ] Implementation

[ S.55.5.6 ] See also

[ S.55.6 ] s_checklist_montecarlo_step06

[ S.55.6.1 ] Script summary

[ S.55.6.2 ] Data

[ S.55.6.3 ] Parameters

[ S.55.6.4 ] Outcomes and figures

[ S.55.6.5 ] Implementation

[ S.55.6.6 ] See also

[ S.55.7 ] s_checklist_montecarlo_step07

[ S.55.7.1 ] Script summary

[ S.55.7.2 ] Data

[ S.55.7.3 ] Parameters

[ S.55.7.4 ] Outcomes and figures

[ S.55.7.5 ] Implementation

[ S.55.7.6 ] See also

[ S.55.8 ] s_checklist_montecarlo_step08

[ S.55.8.1 ] Script summary

[ S.55.8.2 ] Data

[ S.55.8.3 ] Parameters

[ S.55.8.4 ] Outcomes and figures

[ S.55.8.5 ] Implementation

[ S.55.8.6 ] See also

[ S.55.9 ] s_checklist_montecarlo_step09

[ S.55.9.1 ] Script summary

[ S.55.9.2 ] Data

[ S.55.9.3 ] Parameters

[ S.55.9.4 ] Outcomes and figures

[ S.55.9.5 ] Implementation

[ S.55.9.6 ] See also

[ S.55.10 ] s_checklist_montecarlo_step10

[ S.55.10.1 ] Script summary

[ S.55.10.2 ] Data

[ S.55.10.3 ] Parameters

[ S.55.10.4 ] Outcomes and figures

[ S.55.10.5 ] Implementation

[ S.55.10.6 ] See also

Functions documentation

[ F.1 ] Estimation

[ F.1.1 ] cointegration_fp

[ F.1.1.1 ] Summary

[ F.1.1.2 ] Input

[ F.1.1.3 ] Output

[ F.1.1.4 ] Implementation

[ F.1.1.5 ] Example

[ F.1.1.6 ] Case studies

[ F.1.1.7 ] See also

[ F.1.2 ] conditional_fp

[ F.1.2.1 ] Summary

[ F.1.2.2 ] Input

[ F.1.2.3 ] Output

[ F.1.2.4 ] Implementation

[ F.1.2.5 ] Example

[ F.1.2.6 ] Case studies

[ F.1.2.7 ] References

[ F.1.2.8 ] See also

[ F.1.3 ] cov_2_corr

[ F.1.3.1 ] Summary

[ F.1.3.2 ] Input

[ F.1.3.3 ] Output

[ F.1.3.4 ] Implementation

[ F.1.3.5 ] Example

[ F.1.3.6 ] Case studies

[ F.1.3.7 ] References

[ F.1.4 ] crisp_fp

[ F.1.4.1 ] Summary

[ F.1.4.2 ] Input

[ F.1.4.3 ] Output

[ F.1.4.4 ] Implementation

[ F.1.4.5 ] Example

[ F.1.4.6 ] Case studies

[ F.1.4.7 ] References

[ F.1.4.8 ] See also

[ F.1.5 ] effective_num_scenarios

[ F.1.5.1 ] Summary

[ F.1.5.2 ] Input

[ F.1.5.3 ] Output

[ F.1.5.4 ] Implementation

[ F.1.5.5 ] Example

[ F.1.5.6 ] Case studies

[ F.1.5.7 ] References

[ F.1.5.8 ] See also

[ F.1.6.1 ] Input

[ F.1.6.2 ] Output

[ F.1.6.3 ] Implementation

[ F.1.6.4 ] Example

[ F.1.6.5 ] Case studies

[ F.1.7 ] exp_decay_fp

[ F.1.7.1 ] Summary

[ F.1.7.2 ] Input

[ F.1.7.3 ] Output

[ F.1.7.4 ] Implementation

[ F.1.7.5 ] Example

[ F.1.7.6 ] Case studies

[ F.1.8 ] fit_dcc_t

[ F.1.8.1 ] Summary

[ F.1.8.2 ] Input

[ F.1.8.3 ] Output

[ F.1.8.4 ] Implementation

[ F.1.8.5 ] Example

[ F.1.8.6 ] Case studies

[ F.1.8.7 ] See also

[ F.1.9 ] fit_garch_fp

[ F.1.9.1 ] Summary

[ F.1.9.2 ] Input

[ F.1.9.3 ] Output

[ F.1.9.4 ] Implementation

[ F.1.9.5 ] Tips

[ F.1.9.6 ] Example

[ F.1.9.7 ] Case studies

[ F.1.9.8 ] See also

[ F.1.10 ] fit_lfm_lasso

[ F.1.10.1 ] Summary

[ F.1.10.2 ] Input

[ F.1.10.3 ] Output

[ F.1.10.4 ] Implementation

[ F.1.10.5 ] Example

[ F.1.10.6 ] See also

[ F.1.11 ] fit_lfm_lasso_path

[ F.1.12 ] fit_lfm_mlfp

[ F.1.12.1 ] Summary

[ F.1.12.2 ] Input

[ F.1.12.3 ] Output

[ F.1.12.4 ] Implementation

[ F.1.12.5 ] Example

[ F.1.12.6 ] Case studies

[ F.1.12.7 ] See also

[ F.1.13 ] fit_lfm_ols

[ F.1.13.1 ] Summary

[ F.1.13.2 ] Input

[ F.1.13.3 ] Output

[ F.1.13.4 ] Implementation

[ F.1.13.5 ] Example

[ F.1.13.6 ] Case studies

[ F.1.13.7 ] References

[ F.1.13.8 ] See also

[ F.1.14 ] fit_lfm_pcfp

[ F.1.15 ] fit_lfm_ridge

[ F.1.16 ] fit_lfm_ridge_path

[ F.1.17 ] fit_lfm_roblasso

[ F.1.17.1 ] Example

[ F.1.18 ] fit_locdisp_mlfp

[ F.1.18.1 ] Summary

[ F.1.18.2 ] Input

[ F.1.18.3 ] Output

[ F.1.18.4 ] Implementation

[ F.1.18.5 ] Example

[ F.1.18.6 ] Case studies

[ F.1.18.7 ] See also

[ F.1.19 ] fit_locdisp_mlfp_difflength

[ F.1.19.1 ] Summary

[ F.1.19.2 ] Input

[ F.1.19.3 ] Output

[ F.1.19.4 ] Implementation

[ F.1.19.5 ] Tips

[ F.1.19.6 ] Example

[ F.1.19.7 ] Case studies

[ F.1.19.8 ] References

[ F.1.19.9 ] See also

[ F.1.20 ] fit_trans_matrix_credit

[ F.1.20.1 ] Summary

[ F.1.20.2 ] Input

[ F.1.20.3 ] Output

[ F.1.20.4 ] Implementation

[ F.1.20.5 ] Example

[ F.1.20.6 ] Case studies

[ F.1.20.7 ] References

[ F.1.20.8 ] See also

[ F.1.21 ] fit_state_space

[ F.1.21.1 ] Summary

[ F.1.21.2 ] Input

[ F.1.21.3 ] Output

[ F.1.21.4 ] Implementation

[ F.1.21.5 ] Example

[ F.1.21.6 ] Case studies

[ F.1.21.7 ] References

[ F.1.21.8 ] See also

[ F.1.22 ] fit_t_dof

[ F.1.23 ] fit_t_fp

[ F.1.24 ] fit_var1

[ F.1.24.1 ] Summary

[ F.1.24.2 ] Input

[ F.1.24.3 ] Output

[ F.1.24.4 ] Implementation

[ F.1.24.5 ] Example

[ F.1.24.6 ] Case studies

[ F.1.24.7 ] See also

[ F.1.25 ] markov_network

[ F.1.26 ] min_corr_toeplitz

[ F.1.26.1 ] Summary

[ F.1.26.2 ] Input

[ F.1.26.3 ] Output

[ F.1.26.4 ] Implementation

[ F.1.26.5 ] Example

[ F.1.26.6 ] Case studies

[ F.1.26.7 ] References

[ F.1.27 ] smooth_kernel_fp

[ F.1.27.1 ] Summary

[ F.1.27.2 ] Input

[ F.1.27.3 ] Output

[ F.1.27.4 ] Implementation

[ F.1.27.5 ] Example

[ F.1.27.6 ] Case studies

[ F.1.27.7 ] References

[ F.1.27.8 ] See also

[ F.1.28 ] spectrum_shrink

[ F.1.29 ] var2mvou

[ F.1.29.1 ] Summary

[ F.1.29.2 ] Input

[ F.1.29.3 ] Output

[ F.1.29.4 ] Implementation

[ F.1.29.5 ] Tips

[ F.1.29.6 ] Example

[ F.1.29.7 ] Case studies

[ F.1.29.8 ] References

[ F.1.30 ] Generate FP profiles via multivariate Gaussian kernel: function implementation

[ F.1.31 ] Expectation Maximization algorithm with flexible probabilities for Missing Values. Routine

[ F.1.32 ] Homogeneous correlation cluster shrinkage

[ F.1.33 ] Iterated generalized method of moments with flexible probabilities for the Poisson distribution

[ F.1.34 ] Minimum volume ellipsoid enclosing data. Routine

[ F.1.35 ] Farthest Outlier Detection. Routine

[ F.1.36 ] High breakdown point with flexible probabilities. Routine

[ F.1.37 ] Outlier detection with flexible probabilities. Routine

[ F.1.38 ] SMTCovariance

[ F.1.39 ] FitFractionalIntegration

[ F.1.40 ] FitGenParetoMLFP

[ F.1.41 ] NormalMixtureFit

[ F.1.42 ] FitSkewtMLFP

[ F.1.43 ] FitVar_ATMSVI

[ F.1.44 ] GarchResiduals

[ F.1.45 ] MMFP

[ F.1.46 ] kMeansClustering

[ F.1.47 ] QuantileGenParetoMLFP

[ F.1.48 ] ObjectiveToeplitz

[ F.2 ] Portfolio

[ F.3 ] Pricing

[ F.3.1 ] bond_value

[ F.3.1.1 ] Summary

[ F.3.1.2 ] Input

[ F.3.1.3 ] Output

[ F.3.1.4 ] Implementation

[ F.3.1.5 ] Example

[ F.3.1.6 ] Case studies

[ F.3.1.7 ] References

[ F.3.1.8 ] See also

[ F.3.2 ] bootstrap_nelson_siegel

[ F.3.2.1 ] Summary

[ F.3.2.2 ] Input

[ F.3.2.3 ] Output

[ F.3.2.4 ] Implementation

[ F.3.2.5 ] Example

[ F.3.2.6 ] Case studies

[ F.3.2.7 ] References

[ F.3.2.8 ] See also

[ F.3.3 ] bsm_function

[ F.3.3.1 ] Summary

[ F.3.3.2 ] Input

[ F.3.3.3 ] Output

[ F.3.3.4 ] Implementation

[ F.3.3.5 ] Tips

[ F.3.3.6 ] Example

[ F.3.3.7 ] Case studies

[ F.3.3.8 ] References

[ F.3.4 ] call_option_value

[ F.3.4.1 ] Summary

[ F.3.4.2 ] Input

[ F.3.4.3 ] Output

[ F.3.4.4 ] Implementation

[ F.3.4.5 ] Tips

[ F.3.4.6 ] Example

[ F.3.4.7 ] References

[ F.3.4.8 ] See also

[ F.3.5 ] cash_flow_reinv

[ F.3.5.1 ] Summary

[ F.3.5.2 ] Input

[ F.3.5.3 ] Output

[ F.3.5.4 ] Implementation

[ F.3.5.5 ] Tips

[ F.3.5.6 ] Example

[ F.3.5.7 ] Case studies

[ F.3.5.8 ] References

[ F.3.6 ] fit_nelson_siegel_bonds

[ F.3.6.1 ] Summary

[ F.3.6.2 ] Input

[ F.3.6.3 ] Output

[ F.3.6.4 ] Implementation

[ F.3.6.5 ] Tips

[ F.3.6.6 ] Example

[ F.3.6.7 ] References

[ F.3.6.8 ] See also

[ F.3.7 ] fit_nelson_siegel_yield

[ F.3.7.1 ] Summary

[ F.3.7.2 ] Input

[ F.3.7.3 ] Output

[ F.3.7.4 ] Implementation

[ F.3.7.5 ] Tips

[ F.3.7.6 ] Example

[ F.3.7.7 ] Case studies

[ F.3.7.8 ] References

[ F.3.7.9 ] See also

[ F.3.8 ] implvol_delta2m_moneyness

[ F.3.8.1 ] Summary

[ F.3.8.2 ] Input

[ F.3.8.3 ] Output

[ F.3.8.4 ] Implementation

[ F.3.8.5 ] Example

[ F.3.8.6 ] Case studies

[ F.3.8.7 ] References

[ F.3.9 ] ytm_shadowrates

[ F.3.9.1 ] Summary

[ F.3.9.2 ] Input

[ F.3.9.3 ] Output

[ F.3.9.4 ] Implementation

[ F.3.9.5 ] Example

[ F.3.9.6 ] Case studies

[ F.3.9.7 ] References

[ F.3.10 ] nelson_siegel_yield

[ F.3.10.1 ] Summary

[ F.3.10.2 ] Input

[ F.3.10.3 ] Output

[ F.3.10.4 ] Implementation

[ F.3.10.5 ] Example

[ F.3.10.6 ] Case studies

[ F.3.10.7 ] References

[ F.3.11 ] shadowrates_ytm

[ F.3.11.1 ] Summary

[ F.3.11.2 ] Input

[ F.3.11.3 ] Output

[ F.3.11.4 ] Implementation

[ F.3.11.5 ] Example

[ F.3.11.6 ] Case studies

[ F.3.11.7 ] References

[ F.3.12 ] numeraire_mre

[ F.3.12.1 ] Summary

[ F.3.12.2 ] Input

[ F.3.12.3 ] Output

[ F.3.12.4 ] Implementation

[ F.3.12.5 ] Tips

[ F.3.12.6 ] Example

[ F.3.12.7 ] Case studies

[ F.3.12.8 ] References

[ F.3.12.9 ] See also

[ F.3.13 ] zcb_value

[ F.3.13.1 ] Summary

[ F.3.13.2 ] Input

[ F.3.13.3 ] Output

[ F.3.13.4 ] Implementation

[ F.3.13.5 ] Example

[ F.3.13.6 ] Case studies

[ F.3.13.7 ] References

[ F.3.13.8 ] See also

[ F.3.14 ] Vasicek yield curve

[ F.3.15 ] regularized_payoff

[ F.3.15.1 ] Summary

[ F.3.15.2 ] Input

[ F.3.15.3 ] Output

[ F.3.15.4 ] Example

[ F.3.15.5 ] Case studies

[ F.3.16 ] Stochastic discount factor and kernel space: implementation

[ F.3.17 ] BachelierCallPrice

[ F.3.18 ] BondPriceNelSieg

[ F.3.19 ] blsimpv

[ F.3.20 ] FilterStochasticVolatility

[ F.3.21 ] FitCIR_FP

[ F.3.22 ] FitHeston

[ F.3.23 ] FitStochasticVolatilityModel

[ F.3.24 ] FitSigmaSVI

[ F.3.25 ] FitVasicek

[ F.3.26 ] HestonChFun

[ F.3.27 ] CallPriceHestonFFT

[ F.3.28 ] MapSVIparams

[ F.3.29 ] SigmaSVI

[ F.3.30 ] StochTime

[ F.3.31 ] RollPrices2Prices

[ F.3.32 ] ZCBondPriceVasicek

[ F.4 ] Statistics

[ F.4.1 ] bootstrap_hfp

[ F.4.1.1 ] Summary

[ F.4.1.2 ] Input

[ F.4.1.3 ] Output

[ F.4.1.4 ] Implementation

[ F.4.1.5 ] Example

[ F.4.1.6 ] Case studies

[ F.4.1.7 ] References

[ F.4.2 ] cdf_sp

[ F.4.2.1 ] Summary

[ F.4.2.2 ] Input

[ F.4.2.3 ] Output

[ F.4.2.4 ] Implementation

[ F.4.2.5 ] Example

[ F.4.2.6 ] Case studies

[ F.4.2.7 ] References

[ F.4.3 ] cop_marg_comb

[ F.4.3.1 ] Summary

[ F.4.3.2 ] Input

[ F.4.3.3 ] Output

[ F.4.3.4 ] Implementation

[ F.4.3.5 ] Example

[ F.4.3.6 ] References

[ F.4.3.7 ] See also

[ F.4.4 ] cop_marg_sep

[ F.4.4.1 ] Summary

[ F.4.4.2 ] Input

[ F.4.4.3 ] Output

[ F.4.4.4 ] Implementation

[ F.4.4.5 ] Example

[ F.4.4.6 ] References

[ F.4.4.7 ] See also

[ F.4.5 ] cornish_fisher

[ F.4.5.1 ] Summary

[ F.4.5.2 ] Input

[ F.4.5.3 ] Output

[ F.4.5.4 ] Implementation

[ F.4.5.5 ] Example

[ F.4.5.6 ] Case studies

[ F.4.6 ] ewm_meancov

[ F.4.6.1 ] Summary

[ F.4.6.2 ] Input

[ F.4.6.3 ] Output

[ F.4.6.4 ] Implementation

[ F.4.6.5 ] Example

[ F.4.6.6 ] References

[ F.4.6.7 ] See also

[ F.4.7 ] invariance_test_copula

[ F.4.7.1 ] Summary

[ F.4.7.2 ] Input

[ F.4.7.3 ] Output

[ F.4.7.4 ] Implementation

[ F.4.7.5 ] Example

[ F.4.7.6 ] Case studies

[ F.4.7.7 ] See also

[ F.4.8 ] invariance_test_ellipsoid

[ F.4.8.1 ] Summary

[ F.4.8.2 ] Input

[ F.4.8.3 ] Output

[ F.4.8.4 ] Implementation

[ F.4.8.5 ] Tips

[ F.4.8.6 ] Example

[ F.4.8.7 ] Case studies

[ F.4.8.8 ] References

[ F.4.8.9 ] See also

[ F.4.9 ] invariance_test_ks

[ F.4.9.1 ] Summary

[ F.4.9.2 ] Input

[ F.4.9.3 ] Output

[ F.4.9.4 ] Implementation

[ F.4.9.5 ] Example

[ F.4.9.6 ] References

[ F.4.9.7 ] See also

[ F.4.10 ] kalman_filter

[ F.4.10.1 ] Example

[ F.4.10.2 ] References

[ F.4.11 ] marchenko_pastur

[ F.4.12 ] meancov_sp

[ F.4.12.1 ] Summary

[ F.4.12.2 ] Input

[ F.4.12.3 ] Output

[ F.4.12.4 ] Implementation

[ F.4.12.5 ] Tips

[ F.4.12.6 ] Example

[ F.4.12.7 ] Case studies

[ F.4.12.8 ] References

[ F.4.13 ] meancov_inverse_wishart

[ F.4.13.1 ] Summary

[ F.4.13.2 ] Input

[ F.4.13.3 ] Output

[ F.4.13.4 ] Implementation

[ F.4.13.5 ] Example

[ F.4.13.6 ] Case studies

[ F.4.13.7 ] References

[ F.4.14 ] meancov_wishart

[ F.4.14.1 ] Summary

[ F.4.14.2 ] Input

[ F.4.14.3 ] Output

[ F.4.14.4 ] Implementation

[ F.4.14.5 ] Example

[ F.4.14.6 ] Case studies

[ F.4.14.7 ] References

[ F.4.15 ] moments_logn

[ F.4.16 ] moments_mvou

[ F.4.16.1 ] Summary

[ F.4.16.2 ] Input

[ F.4.16.3 ] Output

[ F.4.16.4 ] Implementation

[ F.4.16.5 ] Example

[ F.4.16.6 ] Case studies

[ F.4.16.7 ] References

[ F.4.17 ] multi_r2

[ F.4.17.1 ] Summary

[ F.4.17.2 ] Input

[ F.4.17.3 ] Output

[ F.4.17.4 ] Implementation

[ F.4.17.5 ] Example

[ F.4.18 ] mvt_cdf

[ F.4.18.1 ] Summary

[ F.4.18.2 ] Input

[ F.4.18.3 ] Output

[ F.4.18.4 ] Implementation

[ F.4.18.5 ] Tips

[ F.4.18.6 ] Example

[ F.4.18.7 ] Case study

[ F.4.18.8 ] See also

[ F.4.19 ] q_chi

[ F.4.19.1 ] Summary

[ F.4.19.2 ] Data

[ F.4.19.3 ] Input

[ F.4.19.4 ] Output

[ F.4.19.5 ] Implementation

[ F.4.19.6 ] Example

[ F.4.19.7 ] Case study

[ F.4.19.8 ] See also

[ F.4.20 ] mvt_pdf

[ F.4.20.1 ] Summary

[ F.4.20.2 ] Input

[ F.4.20.3 ] Output

[ F.4.20.4 ] Implementation

[ F.4.20.5 ] Example

[ F.4.20.6 ] Case studies

[ F.4.20.7 ] References

[ F.4.21 ] mvt_logpdf

[ F.4.21.1 ] Summary

[ F.4.21.2 ] Input

[ F.4.21.3 ] Output

[ F.4.21.4 ] Implementation

[ F.4.21.5 ] Example

[ F.4.21.6 ] References

[ F.4.22 ] normal_canonical

[ F.4.22.1 ] Summary

[ F.4.22.2 ] Input

[ F.4.22.3 ] Output

[ F.4.22.4 ] Implementation

[ F.4.22.5 ] Example

[ F.4.22.6 ] Case studies

[ F.4.22.7 ] References

[ F.4.23 ] objective_r2

[ F.4.23.1 ] Summary

[ F.4.23.2 ] Input

[ F.4.23.3 ] Output

[ F.4.23.4 ] Implementation

[ F.4.23.5 ] Example

[ F.4.23.6 ] Case studies

[ F.4.23.7 ] See also

[ F.4.24 ] panic_t_distribution

[ F.4.24.1 ] Summary

[ F.4.24.2 ] Input

[ F.4.24.3 ] Output

[ F.4.24.4 ] Implementation

[ F.4.24.5 ] Example

[ F.4.24.6 ] Case studies

[ F.4.24.7 ] References

[ F.4.24.8 ] See also

[ F.4.25 ] plot_kstest

[ F.4.26 ] pdf_sp

[ F.4.26.1 ] Summary

[ F.4.26.2 ] Input

[ F.4.26.3 ] Output

[ F.4.26.4 ] Implementation

[ F.4.26.5 ] Example

[ F.4.26.6 ] Case studies

[ F.4.26.7 ] References

[ F.4.27 ] project_trans_matrix

[ F.4.27.1 ] Summary

[ F.4.27.2 ] Output

[ F.4.27.3 ] Implementation

[ F.4.27.4 ] Example

[ F.4.27.5 ] Case studies

[ F.4.27.6 ] References

[ F.4.27.7 ] See also

[ F.4.28 ] quantile_sp

[ F.4.28.1 ] Summary

[ F.4.28.2 ] Input

[ F.4.28.3 ] Output

[ F.4.28.4 ] Implementation

[ F.4.28.5 ] Example

[ F.4.28.6 ] Case studies

[ F.4.28.7 ] References

[ F.4.29 ] saddle_point_quadn

[ F.4.29.1 ] Summary

[ F.4.29.2 ] Input

[ F.4.29.3 ] Output

[ F.4.29.4 ] Implementation

[ F.4.29.5 ] Tips

[ F.4.29.6 ] Example

[ F.4.29.7 ] Case studies

[ F.4.29.8 ] References

[ F.4.29.9 ] See also

[ F.4.30 ] schweizer_wolff

[ F.4.30.1 ] Summary

[ F.4.30.2 ] Input

[ F.4.30.3 ] Output

[ F.4.30.4 ] Implementation

[ F.4.30.5 ] Example

[ F.4.30.6 ] Case studies

[ F.4.30.7 ] See also

[ F.4.31 ] scoring

[ F.4.31.1 ] Summary

[ F.4.31.2 ] Input

[ F.4.31.3 ] Output

[ F.4.31.4 ] Implementation

[ F.4.31.5 ] Example

[ F.4.31.6 ] Case studies

[ F.4.31.7 ] References

[ F.4.31.8 ] See also

[ F.4.32 ] simulate_garch

[ F.4.32.1 ] Summary

[ F.4.32.2 ] Input

[ F.4.32.3 ] Output

[ F.4.32.4 ] Implementation

[ F.4.32.5 ] Example

[ F.4.32.6 ] See also

[ F.4.33 ] simulate_niw

[ F.4.33.1 ] Example

[ F.4.34 ] simulate_bm

[ F.4.34.1 ] Summary

[ F.4.34.2 ] Input

[ F.4.34.3 ] Output

[ F.4.34.4 ] Implementation

[ F.4.34.5 ] Example

[ F.4.34.6 ] Case studies

[ F.4.34.7 ] References

[ F.4.34.8 ] See also

[ F.4.35 ] simulate_markov_chain_univ

[ F.4.35.1 ] Summary

[ F.4.35.2 ] Input

[ F.4.35.3 ] Output

[ F.4.35.4 ] Implementation

[ F.4.35.5 ] Example

[ F.4.35.6 ] Case studies

[ F.4.35.7 ] References

[ F.4.35.8 ] See also

[ F.4.36 ] simulate_markov_chain_multiv

[ F.4.36.1 ] Summary

[ F.4.36.2 ] Input

[ F.4.36.3 ] Output

[ F.4.36.4 ] Implementation

[ F.4.36.5 ] Example

[ F.4.36.6 ] Case studies

[ F.4.36.7 ] References

[ F.4.36.8 ] See also

[ F.4.37 ] simulate_mvou

[ F.4.37.1 ] Summary

[ F.4.37.2 ] Input

[ F.4.37.3 ] Output

[ F.4.37.4 ] Implementation

[ F.4.37.5 ] Tips

[ F.4.37.6 ] Example

[ F.4.37.7 ] Case studies

[ F.4.37.8 ] References

[ F.4.37.9 ] See also

[ F.4.38 ] simulate_normal

[ F.4.38.1 ] Summary

[ F.4.38.2 ] Input

[ F.4.38.3 ] Output

[ F.4.38.4 ] Implementation

[ F.4.38.5 ] Tips

[ F.4.38.6 ] Example

[ F.4.38.7 ] Case studies

[ F.4.38.8 ] References

[ F.4.38.9 ] See also

[ F.4.39 ] simulate_normal_dimred

[ F.4.39.1 ] Example

[ F.4.40 ] simulate_quadn

[ F.4.40.1 ] Summary

[ F.4.40.2 ] Input

[ F.4.40.3 ] Output

[ F.4.40.4 ] Implementation

[ F.4.40.5 ] Example

[ F.4.40.6 ] Case studies

[ F.4.40.7 ] References

[ F.4.40.8 ] See also

[ F.4.41 ] simulate_rw_hfp

[ F.4.41.1 ] Summary

[ F.4.41.2 ] Input

[ F.4.41.3 ] Output

[ F.4.41.4 ] Implementation

[ F.4.41.5 ] Example

[ F.4.41.6 ] Case studies

[ F.4.41.7 ] References

[ F.4.41.8 ] See also

[ F.4.42 ] simulate_elliptical

[ F.4.42.1 ] Summary

[ F.4.42.2 ] Input

[ F.4.42.3 ] Output

[ F.4.42.4 ] Implementation

[ F.4.42.5 ] Tips

[ F.4.42.6 ] Example

[ F.4.42.7 ] Case studies

[ F.4.42.8 ] References

[ F.4.42.9 ] See also

[ F.4.43 ] simulate_t

[ F.4.43.1 ] Summary

[ F.4.43.2 ] Input

[ F.4.43.3 ] Output

[ F.4.43.4 ] Implementation

[ F.4.43.5 ] Tips

[ F.4.43.6 ] Example

[ F.4.43.7 ] See also

[ F.4.44 ] simulate_var1

[ F.4.44.1 ] Summary

[ F.4.44.2 ] Input

[ F.4.44.3 ] Output

[ F.4.44.4 ] Implementation

[ F.4.44.5 ] Example

[ F.4.44.6 ] Case studies

[ F.4.44.7 ] References

[ F.4.44.8 ] See also

[ F.4.45 ] simulate_wishart

[ F.4.45.1 ] Summary

[ F.4.45.2 ] Input

[ F.4.45.3 ] Output

[ F.4.45.4 ] Implementation

[ F.4.45.5 ] Example

[ F.4.45.6 ] Case studies

[ F.4.45.7 ] References

[ F.4.45.8 ] See also

[ F.4.46 ] smoothing

[ F.4.46.1 ] Summary

[ F.4.46.2 ] Input

[ F.4.46.3 ] Output

[ F.4.46.4 ] Implementation

[ F.4.46.5 ] Example

[ F.4.46.6 ] Case studies

[ F.4.46.7 ] References

[ F.4.46.8 ] See also

[ F.4.47 ] twist_prob_mom_match

[ F.4.47.1 ] Summary

[ F.4.47.2 ] Input

[ F.4.47.3 ] Output

[ F.4.47.4 ] Implementation

[ F.4.47.5 ] Tips

[ F.4.47.6 ] Example

[ F.4.47.7 ] Case studies

[ F.4.47.8 ] References

[ F.4.47.9 ] See also

[ F.4.48 ] twist_scenarios_mom_match

[ F.4.48.1 ] Summary

[ F.4.48.2 ] Input

[ F.4.48.3 ] Output

[ F.4.48.4 ] Implementation

[ F.4.48.5 ] Example

[ F.4.48.6 ] Case studies

[ F.4.48.7 ] References

[ F.4.48.8 ] See also

[ F.4.49 ] norm_cop_pdf

[ F.4.49.1 ] Summary

[ F.4.49.2 ] Input

[ F.4.49.3 ] Output

[ F.4.49.4 ] Implementation

[ F.4.49.5 ] Example

[ F.4.49.6 ] Case studies

[ F.4.50 ] t_cop_pdf

[ F.4.50.1 ] Summary

[ F.4.50.2 ] Input

[ F.4.50.3 ] Output

[ F.4.50.4 ] Implementation

[ F.4.50.5 ] Example

[ F.4.50.6 ] Case studies

[ F.4.51 ] Elliptical Copula Scenarios via dimension reduction function

[ F.4.52 ] Normalized empirical histogram of scenario-probability distribution: function implementation

[ F.4.53 ] Metropolis-Hastings algorithm: implementation

[ F.4.54 ] Projection to horizon of central moments. Routine

[ F.4.55 ] Normal innovation function

[ F.4.56 ] Projection of the pdf via DFT: function implementation

[ F.4.57 ] GHCalibration

[ F.4.58 ] Stats

[ F.4.59 ] Raw2Cumul

[ F.4.60 ] PnlVolatility_ewma

[ F.4.61 ] ffgn

[ F.4.62 ] Central2Raw

[ F.4.63 ] CentralAndStandardizedStatistics

[ F.4.64 ] Schout2ConTank

[ F.4.65 ] ProjectionStudentT

[ F.4.66 ] QuantileMixture

[ F.4.67 ] ScoringAssessmentFP

[ F.4.68 ] SharpeRatio

[ F.4.69 ] PathsCauchy

[ F.4.70 ] SimulateCompPoisson

[ F.4.71 ] JumpDiffusionKou

[ F.4.72 ] JumpDiffusionMerton

[ F.4.74 ] VGpdf

[ F.4.75 ] SmoothStep

[ F.4.76 ] SpinOutlier

[ F.4.77 ] ShiftedVGMoments

[ F.4.78 ] ParamChangeVG

[ F.6.1 ] adjusted_value

[ F.6.1.1 ] Summary

[ F.6.1.2 ] Input

[ F.6.1.3 ] Output

[ F.6.1.4 ] Implementation

[ F.6.1.5 ] Tips

[ F.6.1.6 ] Example

[ F.6.1.7 ] Case studies

[ F.6.1.8 ] References

[ F.6.2 ] aggregate_rating_migrations

[ F.6.2.1 ] Summary

[ F.6.2.2 ] Input

[ F.6.2.3 ] Output

[ F.6.2.4 ] Implementation

[ F.6.2.5 ] Example

[ F.6.2.6 ] Case studies

[ F.6.3 ] backward_selection

[ F.6.3.1 ] Summary

[ F.6.3.2 ] Input

[ F.6.3.3 ] Output

[ F.6.3.4 ] Implementation

[ F.6.3.5 ] Example

[ F.6.3.6 ] Case studies

[ F.6.4 ] colormap_fp

[ F.6.4.1 ] Summary

[ F.6.4.2 ] Input

[ F.6.4.3 ] Output

[ F.6.4.4 ] Example

[ F.6.4.5 ] See also

[ F.6.5 ] cpca_cov

[ F.6.5.1 ] Summary

[ F.6.5.2 ] Input

[ F.6.5.3 ] Output

[ F.6.5.4 ] Implementation

[ F.6.5.5 ] Tips

[ F.6.5.6 ] Example

[ F.6.5.7 ] Case studies

[ F.6.5.8 ] References

[ F.6.5.9 ] See also

[ F.6.6 ] enet_selection

[ F.6.6.1 ] Summary

[ F.6.6.2 ] Input

[ F.6.6.3 ] Output

[ F.6.6.4 ] Implementation

[ F.6.6.5 ] Example

[ F.6.6.6 ] Case studies

[ F.6.6.7 ] See also

[ F.6.7 ] forward_selection

[ F.6.7.1 ] Summary

[ F.6.7.2 ] Input

[ F.6.7.3 ] Output

[ F.6.7.4 ] Implementation

[ F.6.7.5 ] Example

[ F.6.7.6 ] Case studies

[ F.6.8 ] gram_schmidt

[ F.6.8.1 ] Summary

[ F.6.8.2 ] Input

[ F.6.8.3 ] Output

[ F.6.8.4 ] Implementation

[ F.6.8.5 ] Example

[ F.6.8.6 ] References

[ F.6.9 ] histogram_sp

[ F.6.9.1 ] Summary

[ F.6.9.2 ] Input

[ F.6.9.3 ] Output

[ F.6.9.4 ] Implementation

[ F.6.9.5 ] Example

[ F.6.9.6 ] Case studies

[ F.6.9.7 ] References

[ F.6.10 ] histogram2d_sp

[ F.6.10.1 ] Summary

[ F.6.10.2 ] Input

[ F.6.10.3 ] Output

[ F.6.10.4 ] Implementation

[ F.6.10.5 ] Example

[ F.6.10.6 ] Case studies

[ F.6.11 ] mahalanobis_dist

[ F.6.11.1 ] Summary

[ F.6.11.2 ] Input

[ F.6.11.3 ] Output

[ F.6.11.4 ] Implementation

[ F.6.11.5 ] Example

[ F.6.11.6 ] References

[ F.6.12 ] naive_selection

[ F.6.12.1 ] Summary

[ F.6.12.2 ] Input

[ F.6.12.3 ] Output

[ F.6.12.4 ] Implementation

[ F.6.12.5 ] Example

[ F.6.12.6 ] Case studies

[ F.6.13 ] pca_cov

[ F.6.13.1 ] Summary

[ F.6.13.2 ] Input

[ F.6.13.3 ] Output

[ F.6.13.4 ] Implementation

[ F.6.13.5 ] Example

[ F.6.13.6 ] Case studies

[ F.6.13.7 ] See also

[ F.6.14 ] plot_dynamic_strats

[ F.6.15 ] plot_ellipse

[ F.6.15.1 ] Summary

[ F.6.15.2 ] Input

[ F.6.15.3 ] Output

[ F.6.15.4 ] Implementation

[ F.6.15.5 ] Example

[ F.6.15.6 ] Case studies

[ F.6.15.7 ] References

[ F.6.15.8 ] See also

[ F.6.16 ] plot_ellipsoid

[ F.6.16.1 ] Example