Fundamentals

class pams.Fundamentals(prng)

Fundamental generator for simulator.

add_market(market_id, initial, drift, volatility, start_at=0)

add a market whose fundamental prices are generated in this class.

パラメータ:

• market_id (int) -- market ID to add.

• initial (float) -- initial value.

• drift (float) -- drifts.

• volatility (float) -- volatility.

• start_at (int) -- time step to start simulation (default 0).

戻り値の型:

None

戻り値:

None

change_drift(market_id, drift, time=0)

change drift.

パラメータ:

• market_id (int) -- market ID.

• drift (float) -- drift.

• time (int) -- time step to apply the change (default 0).

戻り値の型:

None

戻り値:

None

change_volatility(market_id, volatility, time=0)

change volatility.

パラメータ:

• market_id (int) -- market ID.

• volatility (float) -- volatility.

• time (int) -- time step to apply the change(default 0).

戻り値の型:

None

戻り値:

None

get_fundamental_price(market_id, time)

get a fundamental price.

パラメータ:

• market_id (int) -- market ID.

• time (int) -- time step to get the price.

戻り値:

fundamental price at the specified time step.

戻り値の型:

float

get_fundamental_prices(market_id, times)

get some fundamental prices.

パラメータ:

• market_id (int) -- market ID.

• times (Iterable[int]) -- time steps to get the price.

戻り値:

fundamental prices in specified range of time steps.

戻り値の型:

List[float]

remove_correlation(market_id1, market_id2, time=0)

remove correlation.

パラメータ:

• market_id1 (int) -- one of the market IDs to remove correlation.

• market_id2 (int) -- the other of the market IDs to remove correlation.

• time (int) -- time step to apply the correlation (default 0).

戻り値の型:

None

戻り値:

None

remove_market(market_id)

remove a market from the list of markets whose fundamental prices are generated in this class.

パラメータ:

market_id (int) -- market ID to remove.

戻り値の型:

None

戻り値:

None

set_correlation(market_id1, market_id2, corr, time=0)

set correlation between fundamental prices of markets.

パラメータ:

• market_id1 (int) -- one of the market IDs to set correlation.

• market_id2 (int) -- the other of the market IDs to set correlation.

• corr (float) -- correlation.

• time (int) -- time step to apply the correlation (default 0).

戻り値の型:

None

戻り値:

None