Index

_

__call__() (robustfpm.pricing.multival_map.IdenticalMap method) (robustfpm.pricing.multival_map.IMultivalMap method) (robustfpm.pricing.multival_map.MDAFDynamics method) (robustfpm.pricing.multival_map.PIDynamics method) (robustfpm.pricing.multival_map.PriceDynamics method) (robustfpm.pricing.multival_map.SimplexConstraints method)

A

add() (robustfpm.pricing.set_handler.EllipseHandler method) (robustfpm.pricing.set_handler.ISetHandler method) (robustfpm.pricing.set_handler.NonNegativeSimplex method) (robustfpm.pricing.set_handler.NonNegativeSpaceHandler method) (robustfpm.pricing.set_handler.RealSpaceHandler method) (robustfpm.pricing.set_handler.RectangularHandler method)

AmericanOption (class in robustfpm.finance.derivatives)

B

BermudanOption (class in robustfpm.finance.derivatives)

C

callonmax() (in module robustfpm.finance.payoffs) cantor_pairing_function() (in module robustfpm.util.util) cartesian_product() (in module robustfpm.util.util) coalesce() (in module robustfpm.util.util) ConstantDynamics (class in robustfpm.pricing.multival_map) contains() (robustfpm.pricing.set_handler.EllipseHandler method) (robustfpm.pricing.set_handler.ISetHandler method) (robustfpm.pricing.set_handler.NonNegativeSimplex method) (robustfpm.pricing.set_handler.NonNegativeSpaceHandler method) (robustfpm.pricing.set_handler.RealSpaceHandler method) (robustfpm.pricing.set_handler.RectangularHandler method)

ConvhullSolver (class in robustfpm.pricing.problem)

D

diamond_neighbourhood_on_lattice() (in module robustfpm.util.points) dim (robustfpm.pricing.lattice.Lattice property) (robustfpm.pricing.multival_map.ConstantDynamics property) (robustfpm.pricing.multival_map.IdenticalMap property) (robustfpm.pricing.multival_map.IMultivalMap property) (robustfpm.pricing.multival_map.MDAFDynamics property) (robustfpm.pricing.multival_map.SimplexConstraints property) (robustfpm.pricing.set_handler.EllipseHandler property) (robustfpm.pricing.set_handler.ISetHandler property) (robustfpm.pricing.set_handler.NonNegativeSimplex property) (robustfpm.pricing.set_handler.NonNegativeSpaceHandler property) (robustfpm.pricing.set_handler.RealSpaceHandler property) (robustfpm.pricing.set_handler.RectangularHandler property)

distance() (in module robustfpm.cxhull.util)

E

EllipseHandler (class in robustfpm.pricing.set_handler) EuropeanOption (class in robustfpm.finance.derivatives) expiry (robustfpm.finance.derivatives.AmericanOption property) (robustfpm.finance.derivatives.BermudanOption property) (robustfpm.finance.derivatives.EuropeanOption property) (robustfpm.finance.derivatives.IOption property)

F

farthest() (in module robustfpm.cxhull.util)

G

generate_evaluation_point_lists() (in module robustfpm.pricing.util) generate_vertices_rectangle() (in module robustfpm.cxhull.util) get_lipschitz() (robustfpm.pricing.multival_map.ConstantDynamics method) (robustfpm.pricing.multival_map.MDAFDynamics method) (robustfpm.pricing.multival_map.PriceDynamics method)

get_max_coordinates() (in module robustfpm.cxhull.util) get_precision() (robustfpm.pricing.problem.Problem method) get_projection() (robustfpm.pricing.lattice.Lattice method) get_support_set() (in module robustfpm.pricing.util)

I

IdenticalMap (class in robustfpm.pricing.multival_map) IMultivalMap (class in robustfpm.pricing.multival_map) in_hull() (in module robustfpm.cxhull.util) IOption (class in robustfpm.finance.derivatives) is_interior() (robustfpm.pricing.set_handler.EllipseHandler method) (robustfpm.pricing.set_handler.ISetHandler method) (robustfpm.pricing.set_handler.NonNegativeSimplex method) (robustfpm.pricing.set_handler.NonNegativeSpaceHandler method) (robustfpm.pricing.set_handler.RealSpaceHandler method) (robustfpm.pricing.set_handler.RectangularHandler method)

iscompact() (robustfpm.pricing.set_handler.EllipseHandler method) (robustfpm.pricing.set_handler.ISetHandler method) (robustfpm.pricing.set_handler.NonNegativeSimplex method) (robustfpm.pricing.set_handler.NonNegativeSpaceHandler method) (robustfpm.pricing.set_handler.RealSpaceHandler method) (robustfpm.pricing.set_handler.RectangularHandler method) ISetHandler (class in robustfpm.pricing.set_handler) isin_points() (in module robustfpm.util.points) ISolver (class in robustfpm.pricing.problem)

K

keydefaultdict (class in robustfpm.util.util)

L

Lattice (class in robustfpm.pricing.lattice)

M

make_option() (in module robustfpm.finance.derivatives) map2x() (robustfpm.pricing.lattice.Lattice method) MDAFDynamics (class in robustfpm.pricing.multival_map) minkprod_points() (in module robustfpm.util.points) minksum_points() (in module robustfpm.util.points) module robustfpm robustfpm.cxhull robustfpm.cxhull.quadprog robustfpm.cxhull.util robustfpm.finance robustfpm.finance.derivatives robustfpm.finance.payoffs robustfpm.pricing robustfpm.pricing.lattice robustfpm.pricing.multival_map robustfpm.pricing.problem robustfpm.pricing.set_handler robustfpm.pricing.util robustfpm.util robustfpm.util.points robustfpm.util.util

multiply() (robustfpm.pricing.set_handler.EllipseHandler method) (robustfpm.pricing.set_handler.ISetHandler method) (robustfpm.pricing.set_handler.NonNegativeSimplex method) (robustfpm.pricing.set_handler.NonNegativeSpaceHandler method) (robustfpm.pricing.set_handler.RealSpaceHandler method) (robustfpm.pricing.set_handler.RectangularHandler method)

N

nearest() (in module robustfpm.cxhull.util)

NonNegativeSimplex (class in robustfpm.pricing.set_handler) NonNegativeSpaceHandler (class in robustfpm.pricing.set_handler)

P

pairing_function() (in module robustfpm.util.util) payoff() (robustfpm.finance.derivatives.AmericanOption method) (robustfpm.finance.derivatives.BermudanOption method) (robustfpm.finance.derivatives.EuropeanOption method) (robustfpm.finance.derivatives.IOption method) PIDynamics (class in robustfpm.pricing.multival_map) pop_random() (in module robustfpm.cxhull.util) PriceDynamics (class in robustfpm.pricing.multival_map)

Problem (class in robustfpm.pricing.problem) project() (robustfpm.pricing.set_handler.EllipseHandler method) (robustfpm.pricing.set_handler.ISetHandler method) (robustfpm.pricing.set_handler.NonNegativeSimplex method) (robustfpm.pricing.set_handler.NonNegativeSpaceHandler method) (robustfpm.pricing.set_handler.RealSpaceHandler method) (robustfpm.pricing.set_handler.RectangularHandler method) put2call1() (in module robustfpm.finance.payoffs) putonmax() (in module robustfpm.finance.payoffs)

Q

quad_prog() (in module robustfpm.cxhull.quadprog)

R

RealSpaceHandler (class in robustfpm.pricing.set_handler) RectangularHandler (class in robustfpm.pricing.set_handler) robustfpm module robustfpm.cxhull module robustfpm.cxhull.quadprog module robustfpm.cxhull.util module robustfpm.finance module robustfpm.finance.derivatives module robustfpm.finance.payoffs module robustfpm.pricing module

robustfpm.pricing.lattice module robustfpm.pricing.multival_map module robustfpm.pricing.problem module robustfpm.pricing.set_handler module robustfpm.pricing.util module robustfpm.util module robustfpm.util.points module robustfpm.util.util module

S

set_precision() (robustfpm.pricing.problem.Problem method) setdiff_points() (in module robustfpm.util.points) SimplexConstraints (class in robustfpm.pricing.multival_map) solve() (robustfpm.pricing.problem.ConvhullSolver method) (robustfpm.pricing.problem.ISolver method) square_neighbourhood_on_lattice() (in module robustfpm.util.points)

support_function() (robustfpm.pricing.set_handler.EllipseHandler method) (robustfpm.pricing.set_handler.ISetHandler method) (robustfpm.pricing.set_handler.NonNegativeSimplex method) (robustfpm.pricing.set_handler.NonNegativeSpaceHandler method) (robustfpm.pricing.set_handler.RealSpaceHandler method) (robustfpm.pricing.set_handler.RectangularHandler method)

T

t_max (robustfpm.pricing.multival_map.ConstantDynamics property) (robustfpm.pricing.multival_map.MDAFDynamics property) (robustfpm.pricing.multival_map.PriceDynamics property) tic() (in module robustfpm.util.util)

toc() (in module robustfpm.util.util) triple_product() (in module robustfpm.util.util) type (robustfpm.pricing.multival_map.ConstantDynamics property) (robustfpm.pricing.multival_map.MDAFDynamics property) (robustfpm.pricing.multival_map.PriceDynamics property)

U

unique_points_union() (in module robustfpm.util.points)

X

xrectangle_points() (robustfpm.pricing.lattice.Lattice method)