dz339-pygbm 1.0.post0

A python package to create simulations of geometric browninan motion.

PYGBM

A python package to create simulations of geometric browninan motion

Features

It can be used as a python package by importing it, as shown in the test, or it can be used inline in linux.

Installation

Download the pygbm repo and use pip install -e ..

Usage

The class GBMSimulator is initialised with the starting location, the drift and the diffusion of the system, and then the method simulate_path can be run to get the path.

An example simulation is below:

from pygbm.gbm_simulator import GBMSimulator
import matplotlib.pyplot as plt

# Parameters for GBM
y0 = 1.0
mu = 0.05
sigma = 0.2
T = 1.0
N = 100

# Initialize simulator
simulator = GBMSimulator(y0, mu, sigma )

# Simulate path
t_values, y_values = simulator.simulate_path_analytical(T, N)

# Plot the simulated path
plt.plot(t_values , y_values , label ="GBM Path")
plt.xlabel(" Time ")
plt.ylabel("Y(t)")
plt.title("Simulated Geometric Brownian Motion Path")
plt.legend()
plt.show()

This program can also be run on the cli by using the pygbm command, with the method subargument, as below

pygbm euler --y0 1.0 --mu 0.05 --sigma 0.2 --T 1.0 --N 100 --output gbm_plot.png

Documentation

To change Link to the documentation page.

Contributing

Contributions via pull requests are welcome!

License

This project is licensed under the MIT License - see the LICENSE file for details.