Package jdistlib.finance
package jdistlib.finance
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ClassDescriptionSpectral, distortion/Choquet, and entropic risk measures.CGMY/KoBoL infinitely-divisible return law in (C,G,M,Y,location) form.Exact scalar law conditional on lower < X <= upper.Tail dependence, finite-level concentration, and bivariate stress regions.Delaporte count: Poisson(lambda) plus NB(shape, successProbability).Reproducible aggregation, product/ratio, compound-sum, and scenario helpers.An approximate composed law together with strategy, error, and seed provenance.Bounded MLE/MAP fitting with censored and interval observations.Numerical transform, cumulant, Fourier-inversion, and Esscher-tilt helpers.Result retaining the tilted law and its normalization diagnostics.Immutable equal-weight empirical distribution used by reproducible fallbacks.GEV/GPD fitting, tail-index estimators, return levels, and threshold diagnostics.Atom-aware tail-risk, partial-moment, and option-payoff functionals.Immutable equally-spaced finite distribution used by exact/FFT/Panjer grids.Work, truncation, and convergence controls for adaptive Fourier inversion.Generalized-hyperbolic law in the canonical (lambda, alpha, beta, delta, mu) parameterization, with alpha > |beta| and delta > 0.Generalized-inverse-Gaussian law in (lambda, chi, psi), chi/psi positive.Checked implied-volatility inversion result.Time-scaled increment of an infinitely-divisible transform-defined unit law.Meixner return law in the (scale, skew, shape, location) parameterization.Multivariate GH/NIG/VG, symmetric stable, or normal-tempered-stable construction.Named NIG specialization of the generalized-hyperbolic family.Normal-tempered-stable law defined by a tempered-stable normal variance mixture.Immutable diagnostics for an approximate scalar calculation.Fits caller-supplied parametric terminal laws directly to European option quotes.Arbitrage-repaired European option curve and its implied risk-neutral law.Atom-aware risk-neutral law recovered from a convex piecewise-linear call curve.Option-price likelihood factors and posterior-predictive distribution adapters.Immutable European option quote used by the narrow option-implied layer.Exact minimum or maximum of independent identically distributed variables.Exact iid-observation extrema and simulated drawdowns for iid discrete-time increments.Polya-Aeppli count: Poisson clusters with shifted-geometric cluster sizes.Positive tempered-stable subordinator increment with Laplace exponent.Reference Black-Scholes/Bachelier transformations and checked inversion.Whether observations are already losses or are returns (loss is minus return).Smooth risk-neutral density plus regularization and differentiation diagnostics.Univariate alpha-stable law in Nolan's S1 parameterization.Side of a scalar distribution used by tail and stress calculations.Distribution exposing stable log characteristic and cumulant transforms.Open/closed interval on which a cumulant-generating function exists.Variance-gamma law X=mu+theta*G+sigma*sqrt(G)*Z, G~Gamma(shape,1).