VasicekRate¶

class pfhedge.instruments.VasicekRate(kappa=1.0, theta=0.04, sigma=0.04, cost=0.0, dt=0.004, dtype=None, device=None)[source]¶

A rate which follow the Vasicek model.

See also

pfhedge.stochastic.generate_vasicek(): The stochastic process.

Parameters

kappa (float, default=1.0) – The parameter \(\kappa\).
theta (float, default=0.04) – The parameter \(\theta\).
sigma (float, default=0.04) – The parameter \(\sigma\).
cost (float, default=0.0) – The transaction cost rate.
dt (float, default=1/250) – The intervals of the time steps.
dtype (torch.device, optional) – Desired device of returned tensor. Default: If None, uses a global default (see torch.set_default_tensor_type()).
device (torch.device, optional) – Desired device of returned tensor. Default: if None, uses the current device for the default tensor type (see torch.set_default_tensor_type()). device will be the CPU for CPU tensor types and the current CUDA device for CUDA tensor types.

Buffers:

spot (torch.Tensor): The spot rate of the instrument. This attribute is set by a method simulate(). The shape is \((N, T)\) where \(N\) is the number of simulated paths and \(T\) is the number of time steps.

Examples

>>> from pfhedge.instruments import VasicekRate
...
>>> _ = torch.manual_seed(42)
>>> rate = VasicekRate()
>>> rate.simulate(n_paths=2, time_horizon=5/250)
>>> rate.spot
tensor([[0.0400, 0.0409, 0.0412, 0.0418, 0.0423, 0.0395],
        [0.0400, 0.0456, 0.0439, 0.0451, 0.0457, 0.0471]])

property default_init_state¶: Returns the default initial state of simulation.

to(*args, **kwargs)¶

Moves and/or casts the buffers of the instrument.

This can be called as

to(device=None, dtype=None)¶

to(tensor)¶

to(instrument)¶

Its signature is similar to torch.nn.Module.to(). It only accepts floating point dtypes. See Instrument dtype and device for details.

Note

This method modifies the instrument in-place.