Index

A

abs() (tensorquantlib.core.tensor.Tensor method) alpha (tensorquantlib.finance.risk.PortfolioRisk attribute) american_greeks() (in module tensorquantlib.finance.american) american_option_grid() (in module tensorquantlib.finance.american) american_option_lsm() (in module tensorquantlib.finance.american)

american_surrogate() (in module tensorquantlib.tt.pricing) annualized_return() (in module tensorquantlib.backtest.metrics) asian_geometric_price() (in module tensorquantlib.finance.exotics) asian_price_cv() (in module tensorquantlib.finance.variance_reduction) asian_price_mc() (in module tensorquantlib.finance.exotics) axes (tensorquantlib.tt.surrogate.TTSurrogate attribute)

B

BacktestEngine (class in tensorquantlib.backtest.engine) BacktestResult (class in tensorquantlib.backtest.engine) backward() (tensorquantlib.core.tensor.Tensor method) barrier_price() (in module tensorquantlib.finance.exotics) barrier_price_mc() (in module tensorquantlib.finance.exotics) black76_caplet() (in module tensorquantlib.finance.ir_derivatives) black76_floorlet() (in module tensorquantlib.finance.ir_derivatives) bootstrap_yield_curve() (in module tensorquantlib.finance.rates) bs_delta() (in module tensorquantlib.finance.black_scholes) bs_gamma() (in module tensorquantlib.finance.black_scholes) bs_price_antithetic() (in module tensorquantlib.finance.variance_reduction)

bs_price_importance() (in module tensorquantlib.finance.variance_reduction) bs_price_numpy() (in module tensorquantlib.finance.black_scholes) bs_price_qmc() (in module tensorquantlib.finance.variance_reduction) bs_price_stratified() (in module tensorquantlib.finance.variance_reduction) bs_price_tensor() (in module tensorquantlib.finance.black_scholes) bs_rho() (in module tensorquantlib.finance.black_scholes) bs_theta() (in module tensorquantlib.finance.black_scholes) bs_vega() (in module tensorquantlib.finance.black_scholes) build_pricing_grid() (in module tensorquantlib.finance.basket) build_pricing_grid_analytic() (in module tensorquantlib.finance.basket) build_time (tensorquantlib.tt.surrogate.TTSurrogate attribute)

C

calmar() (tensorquantlib.finance.risk.PortfolioRisk method) calmar_ratio() (in module tensorquantlib.backtest.metrics) cap_price() (in module tensorquantlib.finance.ir_derivatives) cds_price() (in module tensorquantlib.finance.credit) cds_spread() (in module tensorquantlib.finance.credit) check_grad() (in module tensorquantlib.utils.validation) cir_bond_price() (in module tensorquantlib.finance.rates) cir_simulate() (in module tensorquantlib.finance.rates) cir_yield() (in module tensorquantlib.finance.rates) clip() (tensorquantlib.core.tensor.Tensor method) cliquet_price_mc() (in module tensorquantlib.finance.exotics)

CommissionModel (class in tensorquantlib.backtest.engine) compare_variance_reduction() (in module tensorquantlib.finance.variance_reduction) compress_time (tensorquantlib.tt.surrogate.TTSurrogate attribute) compute_greeks() (in module tensorquantlib.finance.greeks) compute_greeks_vectorized() (in module tensorquantlib.finance.greeks) cores (tensorquantlib.tt.surrogate.TTSurrogate attribute) cos() (tensorquantlib.core.tensor.Tensor method) cost() (tensorquantlib.backtest.engine.CommissionModel method) (tensorquantlib.backtest.engine.SlippageModel method) cvar() (in module tensorquantlib.finance.risk) (tensorquantlib.finance.risk.PortfolioRisk method)

D

data (tensorquantlib.core.tensor.Tensor attribute) DeltaGammaHedgeStrategy (class in tensorquantlib.backtest.strategy) DeltaHedgeStrategy (class in tensorquantlib.backtest.strategy) detach() (tensorquantlib.core.tensor.Tensor method)

digital_greeks() (in module tensorquantlib.finance.exotics) digital_price() (in module tensorquantlib.finance.exotics) digital_price_mc() (in module tensorquantlib.finance.exotics) dtype (tensorquantlib.core.tensor.Tensor property) dupire_local_vol() (in module tensorquantlib.finance.local_vol)

E

eps (tensorquantlib.tt.surrogate.TTSurrogate attribute) EQUITY_COMM (in module tensorquantlib.backtest.engine) equity_curve (tensorquantlib.backtest.engine.BacktestResult attribute) EQUITY_SLIP (in module tensorquantlib.backtest.engine)

evaluate() (tensorquantlib.tt.surrogate.TTSurrogate method) evaluate_tensor() (tensorquantlib.tt.surrogate.TTSurrogate method) exotic_surrogate() (in module tensorquantlib.tt.pricing) exp() (tensorquantlib.core.tensor.Tensor method)

F

feller_condition() (in module tensorquantlib.finance.rates) feller_satisfied() (tensorquantlib.finance.heston.HestonParams method) final_equity (tensorquantlib.backtest.engine.BacktestResult attribute) fit() (tensorquantlib.finance.heston.HestonCalibrator method) floor_price() (in module tensorquantlib.finance.ir_derivatives) free_graph() (tensorquantlib.core.tensor.Tensor method)

from_basket_analytic() (tensorquantlib.tt.surrogate.TTSurrogate class method) from_basket_mc() (tensorquantlib.tt.surrogate.TTSurrogate class method) from_function() (tensorquantlib.tt.surrogate.TTSurrogate class method) from_grid() (tensorquantlib.tt.surrogate.TTSurrogate class method) FX_COMM (in module tensorquantlib.backtest.engine) fx_forward() (in module tensorquantlib.finance.fx)

G

GammaScalpingStrategy (class in tensorquantlib.backtest.strategy) garman_kohlhagen() (in module tensorquantlib.finance.fx) get_historical_prices() (in module tensorquantlib.data.market) get_options_chain() (in module tensorquantlib.data.market) get_risk_free_rate() (in module tensorquantlib.data.market)

get_stock_price() (in module tensorquantlib.data.market) gk_greeks() (in module tensorquantlib.finance.fx) grad (tensorquantlib.core.tensor.Tensor attribute) greeks() (tensorquantlib.tt.surrogate.TTSurrogate method) greeks_history (tensorquantlib.backtest.engine.BacktestResult attribute) greeks_portfolio() (in module tensorquantlib.finance.risk)

H

hazard_rate_from_spread() (in module tensorquantlib.finance.credit) hedge_efficiency() (in module tensorquantlib.backtest.metrics) hedge_pnl_attribution() (in module tensorquantlib.backtest.metrics) heston_greeks() (in module tensorquantlib.finance.heston) heston_price() (in module tensorquantlib.finance.heston)

heston_price_mc() (in module tensorquantlib.finance.heston) heston_surrogate() (in module tensorquantlib.tt.pricing) HestonCalibrator (class in tensorquantlib.finance.heston) HestonParams (class in tensorquantlib.finance.heston) historical_volatility() (in module tensorquantlib.data.market)

I

ILLIQUID_SLIP (in module tensorquantlib.backtest.engine) implied_vol() (in module tensorquantlib.finance.implied_vol) implied_vol_batch() (in module tensorquantlib.finance.implied_vol) implied_vol_nr() (in module tensorquantlib.finance.implied_vol)

implied_vol_surface() (tensorquantlib.finance.heston.HestonCalibrator method) information_ratio() (in module tensorquantlib.backtest.metrics) item() (tensorquantlib.core.tensor.Tensor method) iv_surface() (in module tensorquantlib.finance.implied_vol)

J

jump_diffusion_surrogate() (in module tensorquantlib.tt.pricing)

K

K (tensorquantlib.finance.risk.OptionPosition attribute)

kappa (tensorquantlib.finance.heston.HestonParams attribute) kou_jump_price_mc() (in module tensorquantlib.finance.jump_diffusion)

L

local_vol_mc() (in module tensorquantlib.finance.local_vol) log() (tensorquantlib.core.tensor.Tensor method)

lookback_fixed_analytic() (in module tensorquantlib.finance.exotics) lookback_floating_analytic() (in module tensorquantlib.finance.exotics) lookback_price_mc() (in module tensorquantlib.finance.exotics)

M

max_drawdown() (in module tensorquantlib.backtest.metrics) (tensorquantlib.finance.risk.PortfolioRisk method) mean() (tensorquantlib.core.tensor.Tensor method) merton_credit_spread() (in module tensorquantlib.finance.credit) merton_default_prob() (in module tensorquantlib.finance.credit) merton_jump_price() (in module tensorquantlib.finance.jump_diffusion) merton_jump_price_mc() (in module tensorquantlib.finance.jump_diffusion) module tensorquantlib.backtest.engine tensorquantlib.backtest.metrics tensorquantlib.backtest.strategy tensorquantlib.core.tensor tensorquantlib.data.market tensorquantlib.finance.american tensorquantlib.finance.basket tensorquantlib.finance.black_scholes tensorquantlib.finance.credit tensorquantlib.finance.exotics tensorquantlib.finance.fx tensorquantlib.finance.greeks tensorquantlib.finance.heston tensorquantlib.finance.implied_vol tensorquantlib.finance.ir_derivatives tensorquantlib.finance.jump_diffusion tensorquantlib.finance.local_vol tensorquantlib.finance.rates tensorquantlib.finance.risk tensorquantlib.finance.variance_reduction tensorquantlib.finance.volatility tensorquantlib.tt.decompose tensorquantlib.tt.ops tensorquantlib.tt.pricing tensorquantlib.tt.surrogate tensorquantlib.utils.validation tensorquantlib.viz.plots

multiplier (tensorquantlib.finance.risk.OptionPosition attribute)

N

n_assets (tensorquantlib.tt.surrogate.TTSurrogate attribute) n_trades (tensorquantlib.backtest.engine.BacktestResult attribute) ndim (tensorquantlib.core.tensor.Tensor property)

nelson_siegel() (in module tensorquantlib.finance.rates) nelson_siegel_calibrate() (in module tensorquantlib.finance.rates) notional (tensorquantlib.backtest.strategy.Trade property) numerical_gradient() (in module tensorquantlib.utils.validation)

O

on_data() (tensorquantlib.backtest.strategy.DeltaGammaHedgeStrategy method) (tensorquantlib.backtest.strategy.DeltaHedgeStrategy method) (tensorquantlib.backtest.strategy.GammaScalpingStrategy method) (tensorquantlib.backtest.strategy.StraddleStrategy method) (tensorquantlib.backtest.strategy.Strategy method)

on_fill() (tensorquantlib.backtest.strategy.Strategy method) option_type (tensorquantlib.finance.risk.OptionPosition attribute) OptionPosition (class in tensorquantlib.finance.risk)

P

params_ (tensorquantlib.finance.heston.HestonCalibrator attribute) plot_compression_vs_tolerance() (in module tensorquantlib.viz.plots) plot_convergence() (in module tensorquantlib.viz.plots) plot_greeks() (tensorquantlib.tt.surrogate.TTSurrogate method) plot_greeks_surface() (in module tensorquantlib.viz.plots) plot_pricing_surface() (in module tensorquantlib.viz.plots)

plot_rank_profile() (in module tensorquantlib.viz.plots) plot_ranks() (tensorquantlib.tt.surrogate.TTSurrogate method) plot_surface() (tensorquantlib.tt.surrogate.TTSurrogate method) plot_tt_ranks() (in module tensorquantlib.viz.plots) PortfolioRisk (class in tensorquantlib.finance.risk) print_summary() (tensorquantlib.tt.surrogate.TTSurrogate method) profit_factor() (in module tensorquantlib.backtest.metrics)

Q

q (tensorquantlib.finance.heston.HestonCalibrator attribute)

quantity (tensorquantlib.finance.risk.OptionPosition attribute) quanto_option() (in module tensorquantlib.finance.fx)

R

r (tensorquantlib.finance.heston.HestonCalibrator attribute) rainbow_price_mc() (in module tensorquantlib.finance.exotics) requires_grad (tensorquantlib.core.tensor.Tensor attribute) reshape() (tensorquantlib.core.tensor.Tensor method) returns (tensorquantlib.backtest.engine.BacktestResult attribute) (tensorquantlib.finance.risk.PortfolioRisk attribute)

rho (tensorquantlib.finance.heston.HestonParams attribute) risk_free_daily (tensorquantlib.finance.risk.PortfolioRisk attribute) rmse_ (tensorquantlib.finance.heston.HestonCalibrator attribute) run() (tensorquantlib.backtest.engine.BacktestEngine method)

S

S (tensorquantlib.finance.heston.HestonCalibrator attribute) sabr_calibrate() (in module tensorquantlib.finance.volatility) sabr_implied_vol() (in module tensorquantlib.finance.volatility) scenario_analysis() (in module tensorquantlib.finance.risk) shape (tensorquantlib.core.tensor.Tensor property) sharpe() (tensorquantlib.finance.risk.PortfolioRisk method) sharpe_ratio() (in module tensorquantlib.backtest.metrics) sigma (tensorquantlib.finance.risk.OptionPosition attribute) simulate_basket() (in module tensorquantlib.finance.basket) sin() (tensorquantlib.core.tensor.Tensor method) size (tensorquantlib.core.tensor.Tensor property) SlippageModel (class in tensorquantlib.backtest.engine) sortino_ratio() (in module tensorquantlib.backtest.metrics)

sqrt() (tensorquantlib.core.tensor.Tensor method) StraddleStrategy (class in tensorquantlib.backtest.strategy) Strategy (class in tensorquantlib.backtest.strategy) sum() (tensorquantlib.core.tensor.Tensor method) summary() (tensorquantlib.finance.risk.PortfolioRisk method) (tensorquantlib.tt.surrogate.TTSurrogate method) survival_probability() (in module tensorquantlib.finance.credit) svi_calibrate() (in module tensorquantlib.finance.volatility) svi_implied_vol() (in module tensorquantlib.finance.volatility) svi_raw() (in module tensorquantlib.finance.volatility) svi_surface() (in module tensorquantlib.finance.volatility) swap_rate() (in module tensorquantlib.finance.ir_derivatives) swaption_parity() (in module tensorquantlib.finance.ir_derivatives) swaption_price() (in module tensorquantlib.finance.ir_derivatives)

T

T (tensorquantlib.core.tensor.Tensor property) (tensorquantlib.finance.risk.OptionPosition attribute) tanh() (tensorquantlib.core.tensor.Tensor method) Tensor (class in tensorquantlib.core.tensor) tensor_abs() (in module tensorquantlib.core.tensor) tensor_add() (in module tensorquantlib.core.tensor) tensor_clip() (in module tensorquantlib.core.tensor) tensor_cos() (in module tensorquantlib.core.tensor) tensor_div() (in module tensorquantlib.core.tensor) tensor_exp() (in module tensorquantlib.core.tensor) tensor_getitem() (in module tensorquantlib.core.tensor) tensor_log() (in module tensorquantlib.core.tensor) tensor_matmul() (in module tensorquantlib.core.tensor) tensor_maximum() (in module tensorquantlib.core.tensor) tensor_mean() (in module tensorquantlib.core.tensor) tensor_mul() (in module tensorquantlib.core.tensor) tensor_neg() (in module tensorquantlib.core.tensor) tensor_norm_cdf() (in module tensorquantlib.core.tensor) tensor_pow() (in module tensorquantlib.core.tensor) tensor_reshape() (in module tensorquantlib.core.tensor) tensor_sin() (in module tensorquantlib.core.tensor) tensor_softmax() (in module tensorquantlib.core.tensor) tensor_sqrt() (in module tensorquantlib.core.tensor) tensor_sub() (in module tensorquantlib.core.tensor) tensor_sum() (in module tensorquantlib.core.tensor) tensor_tanh() (in module tensorquantlib.core.tensor) tensor_transpose() (in module tensorquantlib.core.tensor) tensor_where() (in module tensorquantlib.core.tensor) tensorquantlib.backtest.engine module tensorquantlib.backtest.metrics module tensorquantlib.backtest.strategy module tensorquantlib.core.tensor module tensorquantlib.data.market module tensorquantlib.finance.american module tensorquantlib.finance.basket module tensorquantlib.finance.black_scholes module tensorquantlib.finance.credit module tensorquantlib.finance.exotics module tensorquantlib.finance.fx module tensorquantlib.finance.greeks module tensorquantlib.finance.heston module

tensorquantlib.finance.implied_vol module tensorquantlib.finance.ir_derivatives module tensorquantlib.finance.jump_diffusion module tensorquantlib.finance.local_vol module tensorquantlib.finance.rates module tensorquantlib.finance.risk module tensorquantlib.finance.variance_reduction module tensorquantlib.finance.volatility module tensorquantlib.tt.decompose module tensorquantlib.tt.ops module tensorquantlib.tt.pricing module tensorquantlib.tt.surrogate module tensorquantlib.utils.validation module tensorquantlib.viz.plots module theta (tensorquantlib.finance.heston.HestonParams attribute) total_commission (tensorquantlib.backtest.engine.BacktestResult attribute) total_cost (tensorquantlib.backtest.strategy.Trade property) total_slippage (tensorquantlib.backtest.engine.BacktestResult attribute) total_turnover (tensorquantlib.backtest.engine.BacktestResult attribute) Trade (class in tensorquantlib.backtest.strategy) trades (tensorquantlib.backtest.engine.BacktestResult attribute) tt_add() (in module tensorquantlib.tt.ops) tt_compression_ratio() (in module tensorquantlib.tt.ops) tt_cross() (in module tensorquantlib.tt.decompose) tt_dot() (in module tensorquantlib.tt.ops) tt_error() (in module tensorquantlib.tt.ops) tt_eval() (in module tensorquantlib.tt.ops) tt_eval_batch() (in module tensorquantlib.tt.ops) tt_frobenius_norm() (in module tensorquantlib.tt.ops) tt_hadamard() (in module tensorquantlib.tt.ops) tt_memory() (in module tensorquantlib.tt.ops) tt_ranks() (in module tensorquantlib.tt.ops) tt_round() (in module tensorquantlib.tt.decompose) tt_scale() (in module tensorquantlib.tt.ops) tt_svd() (in module tensorquantlib.tt.decompose) tt_to_full() (in module tensorquantlib.tt.ops) TTSurrogate (class in tensorquantlib.tt.surrogate) turnover() (in module tensorquantlib.backtest.metrics)

V

v0 (tensorquantlib.finance.heston.HestonParams attribute) var() (tensorquantlib.finance.risk.PortfolioRisk method) var_historical() (in module tensorquantlib.finance.risk) var_mc() (in module tensorquantlib.finance.risk) var_parametric() (in module tensorquantlib.finance.risk)

vasicek_bond_price() (in module tensorquantlib.finance.rates) vasicek_option_price() (in module tensorquantlib.finance.rates) vasicek_simulate() (in module tensorquantlib.finance.rates) vasicek_yield() (in module tensorquantlib.finance.rates) volatility() (tensorquantlib.finance.risk.PortfolioRisk method)

W

win_rate() (in module tensorquantlib.backtest.metrics)

X

xi (tensorquantlib.finance.heston.HestonParams attribute)

Z

ZERO_COST (in module tensorquantlib.backtest.engine)

zero_grad() (tensorquantlib.core.tensor.Tensor method)