tensortrade.stochastic.processes.cox module

tensortrade.stochastic.processes.cox.cox(base_price=1, base_volume=1, start_date='2010-01-01', start_date_format='%Y-%m-%d', times_to_generate=1000, time_frame='1h', params=None)

tensortrade.stochastic.processes.cox.cox_ingersoll_ross_levels(params)

Constructs the rate levels of a mean-reverting Cox-Ingersoll-Ross process. Used to model interest rates as well as stochastic volatility in the Heston model. We pass a correlated Brownian motion process into the method from which the interest rate levels are constructed because the returns between the underlying and the stochastic volatility should be correlated. The other

correlated process is used in the Heston model.

Parameters:params – ModelParameters The parameters for the stochastic model. Returns:The interest rate levels for the CIR process.