Add heston with jumps

notebooks/api/sp.rst

@@ -25,3 +25,39 @@ IntensityProcess
 
 .. autoclass:: IntensityProcess
    :members:
+
+
+WeinerProcess
+=====================
+
+.. module:: quantflow.sp.weiner
+
+.. autoclass:: WeinerProcess
+   :members:
+
+
+PoissonProcess
+=====================
+
+.. module:: quantflow.sp.poisson
+
+.. autoclass:: PoissonProcess
+   :members:
+
+
+CompoundPoissonProcess
+=======================
+
+.. module:: quantflow.sp.poisson
+
+.. autoclass:: CompoundPoissonProcess
+   :members:
+
+
+Heston
+=======================
+
+.. module:: quantflow.sp.heston
+
+.. autoclass:: Heston
+   :members:

notebooks/models/heston_jumps.md

@@ -0,0 +1,51 @@
+---
+jupytext:
+  text_representation:
+    extension: .md
+    format_name: myst
+    format_version: 0.13
+    jupytext_version: 1.14.7
+kernelspec:
+  display_name: Python 3 (ipykernel)
+  language: python
+  name: python3
+---
+
+# Heston Model with Jumps
+
+```{code-cell} ipython3
+from quantflow.sp.heston import HestonJ
+pr = HestonJ.create(
+    vol=0.6,
+    kappa=2,
+    sigma=1.5,
+    rho=-0.3,
+    jump_intensity=100,
+    jump_fraction=0.3,
+    jump_skew=1.5
+)
+pr
+```
+
+```{code-cell} ipython3
+from quantflow.utils import plot
+plot.plot_marginal_pdf(pr.marginal(0.1), 128, normal=True, analytical=False)
+```
+
+```{code-cell} ipython3
+from quantflow.options.pricer import OptionPricer
+from quantflow.sp.heston import Heston
+pricer = OptionPricer(pr)
+pricer
+```
+
+```{code-cell} ipython3
+fig = None
+for ttm in (0.05, 0.1, 0.2, 0.4, 0.6, 1):
+    fig = pricer.maturity(ttm).plot(fig=fig, name=f"t={ttm}")
+fig.update_layout(title="Implied black vols", height=500)
+```
+
+```{code-cell} ipython3
+
+```

notebooks/models/poisson.md

@@ -245,7 +245,3 @@ m.characteristic(2)
 ```{code-cell} ipython3
 m.characteristic(-2).conj()
 ```
-
-```{code-cell} ipython3
-
-```