Index

A

a (neuralhedge.nn.loss.EntropicRiskMeasure property) (neuralhedge.nn.loss.SquareMeasure property)

admissible_cost() (in module neuralhedge.nn.loss)

B

BaseModel (class in neuralhedge.nn.base) BlackScholes (class in neuralhedge.data.stochastic) BlackScholesAlpha (class in neuralhedge.nn.blackschole) BlackScholesDelta (class in neuralhedge.nn.blackschole) BlackScholesMeanVarianceAlpha (class in neuralhedge.nn.blackschole) BlackScholesMeanVarianceAlphaClip (class in neuralhedge.nn.blackschole)

BlackScholesPrice (class in neuralhedge.nn.blackschole) bs (neuralhedge.data.market.BS_Market attribute) bs_delta (neuralhedge.data.market.BS_Market attribute) BS_Market (class in neuralhedge.data.market) bs_price (neuralhedge.data.market.BS_Market attribute) bs_pricer (neuralhedge.data.market.BS_Market attribute)

C

compute_alpha() (neuralhedge.nn.blackschole.BlackScholesMeanVarianceAlpha method) compute_holding_stock_tplus1() (neuralhedge.nn.datahedger.Hedger method) compute_info_t() (neuralhedge.nn.datahedger.Hedger method) (neuralhedge.nn.datamanager.Manager method) (neuralhedge.nn.datamanager.WealthManager method) compute_loss() (neuralhedge.nn.base.BaseModel method) (neuralhedge.nn.datahedger.EfficientHedger method) (neuralhedge.nn.datahedger.Hedger method) (neuralhedge.nn.datamanager.Manager method)

compute_pnl() (neuralhedge.nn.datahedger.Hedger method) compute_prop_hold_tplus1() (neuralhedge.nn.datamanager.Manager method) compute_wealth0_dis() (neuralhedge.nn.datahedger.Hedger method) contigent (neuralhedge.data.market.BS_Market attribute)

D

data (neuralhedge.data.base.HedgerDataset attribute) (neuralhedge.data.base.ManagerDataset attribute)

E

EfficientHedger (class in neuralhedge.nn.datahedger) EntropicRiskMeasure (class in neuralhedge.nn.loss) EuropeanVanilla (class in neuralhedge.nn.contigent)

exp_utility() (in module neuralhedge.nn.loss) expected_shortfall() (in module neuralhedge.nn.loss) ExpectedShortfall (class in neuralhedge.nn.loss)

F

fit() (neuralhedge.nn.trainer.Trainer method) forward() (neuralhedge.nn.blackschole.BlackScholesAlpha method) (neuralhedge.nn.blackschole.BlackScholesDelta method) (neuralhedge.nn.blackschole.BlackScholesMeanVarianceAlpha method) (neuralhedge.nn.blackschole.BlackScholesMeanVarianceAlphaClip method) (neuralhedge.nn.blackschole.BlackScholesPrice method) (neuralhedge.nn.datahedger.Hedger method) (neuralhedge.nn.datamanager.Manager method) (neuralhedge.nn.loss.EntropicRiskMeasure method) (neuralhedge.nn.loss.ExpectedShortfall method) (neuralhedge.nn.loss.PowerMeasure method) (neuralhedge.nn.loss.SquareMeasure method) (neuralhedge.nn.network.SingleWeight method) (neuralhedge.nn.trainer.Trainer method)

G

get_hedge_ds() (neuralhedge.data.market.BS_Market method) get_manage_ds() (neuralhedge.data.market.BS_Market method)

get_price_delta() (neuralhedge.data.market.BS_Market method) get_prices() (neuralhedge.data.stochastic.BlackScholes method)

H

Hedger (class in neuralhedge.nn.datahedger)

HedgerDataset (class in neuralhedge.data.base)

L

l_func() (neuralhedge.nn.loss.ExpectedShortfall method)

log_utility() (in module neuralhedge.nn.loss) LossMeasure (class in neuralhedge.nn.loss)

M

Manager (class in neuralhedge.nn.datamanager) ManagerDataset (class in neuralhedge.data.base) module neuralhedge neuralhedge.data neuralhedge.data.base neuralhedge.data.market neuralhedge.data.stochastic neuralhedge.nn neuralhedge.nn.base neuralhedge.nn.blackschole neuralhedge.nn.contigent neuralhedge.nn.datahedger neuralhedge.nn.datamanager neuralhedge.nn.loss neuralhedge.nn.network neuralhedge.nn.trainer neuralhedge.utils

N

neuralhedge module neuralhedge.data module neuralhedge.data.base module neuralhedge.data.market module neuralhedge.data.stochastic module neuralhedge.nn module neuralhedge.nn.base module neuralhedge.nn.blackschole module

neuralhedge.nn.contigent module neuralhedge.nn.datahedger module neuralhedge.nn.datamanager module neuralhedge.nn.loss module neuralhedge.nn.network module neuralhedge.nn.trainer module neuralhedge.utils module NeuralNetSequential (class in neuralhedge.nn.network) no_cost() (in module neuralhedge.nn.loss)

O

optimal_omega() (neuralhedge.nn.loss.EntropicRiskMeasure method) (neuralhedge.nn.loss.ExpectedShortfall method) (neuralhedge.nn.loss.SquareMeasure method)

P

p (neuralhedge.nn.loss.PowerMeasure property) payoff() (neuralhedge.nn.contigent.EuropeanVanilla method)

PowerMeasure (class in neuralhedge.nn.loss) pricer() (neuralhedge.nn.datahedger.Hedger method) proportional_cost() (in module neuralhedge.nn.loss)

Q

q (neuralhedge.nn.loss.ExpectedShortfall property)

R

record_history() (neuralhedge.nn.datamanager.Manager method)

S

simulate_BM() (in module neuralhedge.data.stochastic) simulate_BS() (in module neuralhedge.data.stochastic)

simulate_time() (in module neuralhedge.data.stochastic) SingleWeight (class in neuralhedge.nn.network) SquareMeasure (class in neuralhedge.nn.loss)

T

Trainer (class in neuralhedge.nn.trainer)

V

value_at_risk() (in module neuralhedge.nn.loss)

W

WealthManager (class in neuralhedge.nn.datamanager)