robustfpm.pricing.util module

Utility functions for pricing module

robustfpm.pricing.util.get_support_set(curr_set, price_dynamics, lattice, t)

Based on the set of price scenarios at \(K_{t-1}\) and the increment \(dK_t\), returns the price scenarios at t. For additive dynamics, returns the set

\[K_t = {x_{t-1} + y_t, x_{t-1} \in K_{t-1}, y_t \in dK_t}\]

For multiplicative dynamics, returns the set

\[K_t = {x_{t-1} \cdot y_t, x_{t-1} \in K_{t-1}, y_t \in dK_t}\]

robustfpm.pricing.util.generate_evaluation_point_lists(p0, lattice, price_dynamics, N, profiler_data=None)

Precalculates the price scenarios for every t to avoid unnecessary evaluations of \(V_t\).