pyesg
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jason-ash
Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.
Bumps [numpy](https://github.com/numpy/numpy) from 1.18.4 to 1.22.0. Release notes Sourced from numpy's releases. v1.22.0 NumPy 1.22.0 Release Notes NumPy 1.22.0 is a big release featuring the work of 153 contributors spread...
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Hey, do you mean by 'built-in plotting' to simply call a method that can plot results obtained from a stochastic process (such as Geometric Brownian Motion)? I have conducted extensive...
Hey, would it potentially make sense to include a more thorough tutorial on how to make use of the existing stochastic processes that you have already defined? Kind regards, Andreas
I noticed a decimal shift error in 2019 3-month US treasuries within ust_historical_csv. Updated these 12 values and added 2020 UST. [ust_historical.zip](https://github.com/jason-ash/pyesg/files/6149024/ust_historical.zip)
For example, in the [Hull-White](https://en.wikipedia.org/wiki/Hull%E2%80%93White_model) model.
Allow stochastic models to be fit with historical data. This seems like a BIG task, but important. Ideas that may be relevant: - use MLE where appropriate, or possible -...
Populate this validation method for each model, checking - [ ] coefficient types - [ ] coefficient shapes (if arrays) - [ ] coefficient value ranges (e.g. positive-only, or relational...
Bumps [scipy](https://github.com/scipy/scipy) from 1.4.1 to 1.10.0. Release notes Sourced from scipy's releases. SciPy 1.10.0 Release Notes SciPy 1.10.0 is the culmination of 6 months of hard work. It contains many...