affidiff 0.1.0__tar.gz

affidiff-0.1.0/.gitattributes

@@ -0,0 +1 @@
+*.pdf filter=lfs diff=lfs merge=lfs -crlf

affidiff-0.1.0/.github/workflows/bump-version.yaml

@@ -0,0 +1,32 @@
+name: Bump version
+
+on:
+  push:
+    branches:
+      - main
+
+jobs:
+  bump-version:
+    if: "!startsWith(github.event.head_commit.message, 'bump:')"
+    runs-on: ubuntu-latest
+    name: "Bump version and create changelog with commitizen"
+    steps:
+      - name: Check out
+        uses: actions/checkout@v6
+        with:
+          token: ${{ secrets.PERSONAL_ACCESS_TOKEN }}
+          fetch-depth: 0
+      - name: Create bump and changelog
+        uses: commitizen-tools/commitizen-action@master
+        with:
+          github_token: ${{ secrets.PERSONAL_ACCESS_TOKEN }}
+          changelog_increment_filename: body.md
+          push: true
+      - name: Release
+        uses: ncipollo/release-action@v1
+        with:
+          tag: v${{ env.REVISION }}
+          bodyFile: "body.md"
+          skipIfReleaseExists: true
+        env:
+          GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}

affidiff-0.1.0/.github/workflows/workflow.yaml

@@ -0,0 +1,59 @@
+name: Tests, Code Quality, Build
+
+on:
+  push:
+    tags:
+      - "*"
+  pull_request:
+    branches:
+      - main
+
+jobs:
+
+  test:
+    name: Run unit tests
+    runs-on: ubuntu-latest
+    steps:
+      - name: Check out repository code
+        uses: actions/checkout@v6
+      - name: Setup Python
+        uses: actions/setup-python@v6
+        with:
+          python-version-file: ".python-version"
+      - name: Install uv
+        uses: astral-sh/setup-uv@v7
+        with:
+          enable-cache: true
+          cache-dependency-glob: "uv.lock"
+      - name: Install dependencies
+        run: uv sync --group dev
+      - name: Run test suite
+        run: uv run pytest
+
+  publish:
+    name: Build and publish wheels
+    needs: [ test ]
+    runs-on: ubuntu-latest
+    environment:
+      name: pypi
+      url: https://pypi.org/p/affidiff/
+    permissions:
+      id-token: write
+      contents: read
+    if: github.event_name == 'push' && startsWith(github.ref, 'refs/tags')
+    steps:
+      - name: Check out repository code
+        uses: actions/checkout@v6
+      - name: Setup Python
+        uses: actions/setup-python@v6
+        with:
+          python-version-file: ".python-version"
+      - name: Install uv
+        uses: astral-sh/setup-uv@v7
+        with:
+          enable-cache: true
+          cache-dependency-glob: "uv.lock"
+      - name: Build
+        run: uv build
+      - name: Publish
+        run: uv publish

affidiff-0.1.0/.gitignore

@@ -0,0 +1,9 @@
+.idea/
+.mypy_cache/
+.pytest_cache/
+.ruff_cache/
+__pycache__/
+.venv/
+*.egg-info
+.coverage
+dist/

affidiff-0.1.0/.python-version

@@ -0,0 +1 @@
+3.14

affidiff-0.1.0/.travis.yml

@@ -0,0 +1,52 @@
+language: python
+python:
+  - 2.7
+  - 3.4
+  - 3.5
+  - 3.6
+notifications:
+  email:
+    on_success: change
+    on_failure: always
+sudo: false
+addons:
+  apt:
+    packages:
+    # BLAS support
+    - liblapack3gf
+    - libblas3gf
+    - liblapack-dev
+    - libblas-dev
+    - libatlas-base-dev
+
+# Setup anaconda
+before_install:
+  - if [[ "$TRAVIS_PYTHON_VERSION" == "2.7" ]]; then
+      wget https://repo.continuum.io/miniconda/Miniconda2-latest-Linux-x86_64.sh -O miniconda.sh;
+    else
+      wget https://repo.continuum.io/miniconda/Miniconda3-latest-Linux-x86_64.sh -O miniconda.sh;
+    fi
+  - bash miniconda.sh -b -p $HOME/miniconda
+  - export PATH="$HOME/miniconda/bin:$PATH"
+  - hash -r
+  - conda config --set always_yes yes --set changeps1 no
+  - conda update -q conda
+  # Useful for debugging any issues with conda
+  - conda info -a
+  - conda create -q -n test-environment python=$TRAVIS_PYTHON_VERSION cython numpy scipy matplotlib nose seaborn statsmodels
+  - source activate test-environment
+
+# Install packages
+install:
+  - conda install --yes -c omnia numdifftools
+  - pip install git+git://github.com/khrapovs/mygmm
+  - python setup.py build
+
+# Run test
+script:
+  - python setup.py develop
+  - nosetests
+
+# Calculate coverage
+after_success:
+  - coveralls --config_file .coveragerc

affidiff-0.1.0/CHANGELOG.md

@@ -0,0 +1,5 @@
+## v0.1.0 (2026-04-20)
+
+### Feat
+
+- Release management (#3)

affidiff-0.1.0/LICENSE.md

@@ -0,0 +1,22 @@
+**Copyright (c) 2015 Stanislav Khrapov**
+
+Developed by: Stanislav Khrapov (<khrapovs@gmail.com>)
+[https://sites.google.com/site/khrapovs](https://sites.google.com/site/khrapovs)
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+**THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.**

affidiff-0.1.0/PKG-INFO

@@ -0,0 +1,18 @@
+Metadata-Version: 2.4
+Name: affidiff
+Version: 0.1.0
+Summary: Affine Diffusions. Simulation and estimation.
+Author-email: Stanislav Khrapov <khrapovs@gmail.com>
+License-File: LICENSE.md
+Requires-Python: >=3.14
+Requires-Dist: matplotlib>=3.10.8
+Requires-Dist: mygmm>=0.1.0
+Requires-Dist: numpy>=2.4.4
+Requires-Dist: scipy>=1.17.1
+Requires-Dist: seaborn>=0.13.2
+Requires-Dist: statsmodels>=0.14.6
+Description-Content-Type: text/markdown
+
+# Affine Diffusions
+
+Simulation and estimation of Affine Diffusion models.

affidiff-0.1.0/README.md

@@ -0,0 +1,3 @@
+# Affine Diffusions
+
+Simulation and estimation of Affine Diffusion models.

affidiff-0.1.0/docs/Makefile

@@ -0,0 +1,177 @@
+# Makefile for Sphinx documentation
+#
+
+# You can set these variables from the command line.
+SPHINXOPTS    =
+SPHINXBUILD   = sphinx-build
+PAPER         =
+BUILDDIR      = build
+
+# User-friendly check for sphinx-build
+ifeq ($(shell which $(SPHINXBUILD) >/dev/null 2>&1; echo $$?), 1)
+$(error The '$(SPHINXBUILD)' command was not found. Make sure you have Sphinx installed, then set the SPHINXBUILD environment variable to point to the full path of the '$(SPHINXBUILD)' executable. Alternatively you can add the directory with the executable to your PATH. If you don't have Sphinx installed, grab it from http://sphinx-doc.org/)
+endif
+
+# Internal variables.
+PAPEROPT_a4     = -D latex_paper_size=a4
+PAPEROPT_letter = -D latex_paper_size=letter
+ALLSPHINXOPTS   = -d $(BUILDDIR)/doctrees $(PAPEROPT_$(PAPER)) $(SPHINXOPTS) source
+# the i18n builder cannot share the environment and doctrees with the others
+I18NSPHINXOPTS  = $(PAPEROPT_$(PAPER)) $(SPHINXOPTS) source
+
+.PHONY: help clean html dirhtml singlehtml pickle json htmlhelp qthelp devhelp epub latex latexpdf text man changes linkcheck doctest gettext
+
+help:
+	@echo "Please use \`make <target>' where <target> is one of"
+	@echo "  html       to make standalone HTML files"
+	@echo "  dirhtml    to make HTML files named index.html in directories"
+	@echo "  singlehtml to make a single large HTML file"
+	@echo "  pickle     to make pickle files"
+	@echo "  json       to make JSON files"
+	@echo "  htmlhelp   to make HTML files and a HTML help project"
+	@echo "  qthelp     to make HTML files and a qthelp project"
+	@echo "  devhelp    to make HTML files and a Devhelp project"
+	@echo "  epub       to make an epub"
+	@echo "  latex      to make LaTeX files, you can set PAPER=a4 or PAPER=letter"
+	@echo "  latexpdf   to make LaTeX files and run them through pdflatex"
+	@echo "  latexpdfja to make LaTeX files and run them through platex/dvipdfmx"
+	@echo "  text       to make text files"
+	@echo "  man        to make manual pages"
+	@echo "  texinfo    to make Texinfo files"
+	@echo "  info       to make Texinfo files and run them through makeinfo"
+	@echo "  gettext    to make PO message catalogs"
+	@echo "  changes    to make an overview of all changed/added/deprecated items"
+	@echo "  xml        to make Docutils-native XML files"
+	@echo "  pseudoxml  to make pseudoxml-XML files for display purposes"
+	@echo "  linkcheck  to check all external links for integrity"
+	@echo "  doctest    to run all doctests embedded in the documentation (if enabled)"
+
+clean:
+	rm -rf $(BUILDDIR)/*
+
+html:
+	$(SPHINXBUILD) -b html $(ALLSPHINXOPTS) $(BUILDDIR)/html
+	@echo
+	@echo "Build finished. The HTML pages are in $(BUILDDIR)/html."
+
+dirhtml:
+	$(SPHINXBUILD) -b dirhtml $(ALLSPHINXOPTS) $(BUILDDIR)/dirhtml
+	@echo
+	@echo "Build finished. The HTML pages are in $(BUILDDIR)/dirhtml."
+
+singlehtml:
+	$(SPHINXBUILD) -b singlehtml $(ALLSPHINXOPTS) $(BUILDDIR)/singlehtml
+	@echo
+	@echo "Build finished. The HTML page is in $(BUILDDIR)/singlehtml."
+
+pickle:
+	$(SPHINXBUILD) -b pickle $(ALLSPHINXOPTS) $(BUILDDIR)/pickle
+	@echo
+	@echo "Build finished; now you can process the pickle files."
+
+json:
+	$(SPHINXBUILD) -b json $(ALLSPHINXOPTS) $(BUILDDIR)/json
+	@echo
+	@echo "Build finished; now you can process the JSON files."
+
+htmlhelp:
+	$(SPHINXBUILD) -b htmlhelp $(ALLSPHINXOPTS) $(BUILDDIR)/htmlhelp
+	@echo
+	@echo "Build finished; now you can run HTML Help Workshop with the" \
+	      ".hhp project file in $(BUILDDIR)/htmlhelp."
+
+qthelp:
+	$(SPHINXBUILD) -b qthelp $(ALLSPHINXOPTS) $(BUILDDIR)/qthelp
+	@echo
+	@echo "Build finished; now you can run "qcollectiongenerator" with the" \
+	      ".qhcp project file in $(BUILDDIR)/qthelp, like this:"
+	@echo "# qcollectiongenerator $(BUILDDIR)/qthelp/diffusions.qhcp"
+	@echo "To view the help file:"
+	@echo "# assistant -collectionFile $(BUILDDIR)/qthelp/diffusions.qhc"
+
+devhelp:
+	$(SPHINXBUILD) -b devhelp $(ALLSPHINXOPTS) $(BUILDDIR)/devhelp
+	@echo
+	@echo "Build finished."
+	@echo "To view the help file:"
+	@echo "# mkdir -p $$HOME/.local/share/devhelp/diffusions"
+	@echo "# ln -s $(BUILDDIR)/devhelp $$HOME/.local/share/devhelp/diffusions"
+	@echo "# devhelp"
+
+epub:
+	$(SPHINXBUILD) -b epub $(ALLSPHINXOPTS) $(BUILDDIR)/epub
+	@echo
+	@echo "Build finished. The epub file is in $(BUILDDIR)/epub."
+
+latex:
+	$(SPHINXBUILD) -b latex $(ALLSPHINXOPTS) $(BUILDDIR)/latex
+	@echo
+	@echo "Build finished; the LaTeX files are in $(BUILDDIR)/latex."
+	@echo "Run \`make' in that directory to run these through (pdf)latex" \
+	      "(use \`make latexpdf' here to do that automatically)."
+
+latexpdf:
+	$(SPHINXBUILD) -b latex $(ALLSPHINXOPTS) $(BUILDDIR)/latex
+	@echo "Running LaTeX files through pdflatex..."
+	$(MAKE) -C $(BUILDDIR)/latex all-pdf
+	@echo "pdflatex finished; the PDF files are in $(BUILDDIR)/latex."
+
+latexpdfja:
+	$(SPHINXBUILD) -b latex $(ALLSPHINXOPTS) $(BUILDDIR)/latex
+	@echo "Running LaTeX files through platex and dvipdfmx..."
+	$(MAKE) -C $(BUILDDIR)/latex all-pdf-ja
+	@echo "pdflatex finished; the PDF files are in $(BUILDDIR)/latex."
+
+text:
+	$(SPHINXBUILD) -b text $(ALLSPHINXOPTS) $(BUILDDIR)/text
+	@echo
+	@echo "Build finished. The text files are in $(BUILDDIR)/text."
+
+man:
+	$(SPHINXBUILD) -b man $(ALLSPHINXOPTS) $(BUILDDIR)/man
+	@echo
+	@echo "Build finished. The manual pages are in $(BUILDDIR)/man."
+
+texinfo:
+	$(SPHINXBUILD) -b texinfo $(ALLSPHINXOPTS) $(BUILDDIR)/texinfo
+	@echo
+	@echo "Build finished. The Texinfo files are in $(BUILDDIR)/texinfo."
+	@echo "Run \`make' in that directory to run these through makeinfo" \
+	      "(use \`make info' here to do that automatically)."
+
+info:
+	$(SPHINXBUILD) -b texinfo $(ALLSPHINXOPTS) $(BUILDDIR)/texinfo
+	@echo "Running Texinfo files through makeinfo..."
+	make -C $(BUILDDIR)/texinfo info
+	@echo "makeinfo finished; the Info files are in $(BUILDDIR)/texinfo."
+
+gettext:
+	$(SPHINXBUILD) -b gettext $(I18NSPHINXOPTS) $(BUILDDIR)/locale
+	@echo
+	@echo "Build finished. The message catalogs are in $(BUILDDIR)/locale."
+
+changes:
+	$(SPHINXBUILD) -b changes $(ALLSPHINXOPTS) $(BUILDDIR)/changes
+	@echo
+	@echo "The overview file is in $(BUILDDIR)/changes."
+
+linkcheck:
+	$(SPHINXBUILD) -b linkcheck $(ALLSPHINXOPTS) $(BUILDDIR)/linkcheck
+	@echo
+	@echo "Link check complete; look for any errors in the above output " \
+	      "or in $(BUILDDIR)/linkcheck/output.txt."
+
+doctest:
+	$(SPHINXBUILD) -b doctest $(ALLSPHINXOPTS) $(BUILDDIR)/doctest
+	@echo "Testing of doctests in the sources finished, look at the " \
+	      "results in $(BUILDDIR)/doctest/output.txt."
+
+xml:
+	$(SPHINXBUILD) -b xml $(ALLSPHINXOPTS) $(BUILDDIR)/xml
+	@echo
+	@echo "Build finished. The XML files are in $(BUILDDIR)/xml."
+
+pseudoxml:
+	$(SPHINXBUILD) -b pseudoxml $(ALLSPHINXOPTS) $(BUILDDIR)/pseudoxml
+	@echo
+	@echo "Build finished. The pseudo-XML files are in $(BUILDDIR)/pseudoxml."

affidiff-0.1.0/docs/source/centtend.rst

@@ -0,0 +1,26 @@
+Central Tendency (CT)
+---------------------
+
+The model is
+
+.. math::
+    dp_{t}&=\left(r+\left(\lambda-\frac{1}{2}\right)
+        \sigma_{t}^{2}\right)dt+\sigma_{t}dW_{t}^{r},\\
+    d\sigma_{t}^{2}&=\kappa_{\sigma}\left(v_{t}^{2}-\sigma_{t}^{2}\right)dt
+        +\eta_{\sigma}\sigma_{t}dW_{t}^{\sigma},\\
+    dv_{t}^{2}&=\kappa_{v}\left(\mu-v_{t}^{2}\right)dt+\eta_{v}v_{t}dW_{t}^{v},
+
+with :math:`p_{t}=\log S_{t}`,
+and :math:`Corr\left[dW_{s}^{r},dW_{s}^{\sigma}\right]=\rho`,
+or in other words
+:math:`W_{t}^{\sigma}=\rho W_{t}^{r}+\sqrt{1-\rho^{2}}W_{t}^{v}`.
+Also let :math:`R\left(Y_{t}\right)=r`.
+
+
+.. automodule:: diffusions.param_ct
+
+.. autoclass:: diffusions.param_ct.CentTendParam
+
+.. automodule:: diffusions.model_ct
+
+.. autoclass:: diffusions.model_ct.CentTend

affidiff-0.1.0/docs/source/cir.rst

@@ -0,0 +1,19 @@
+Cox-Ingersoll-Ross (CIR)
+------------------------
+
+Suppose that :math:`r_{t}` evolves according to
+
+.. math::
+    dr_{t}=\kappa\left(\mu-r_{t}\right)dt+\eta\sqrt{r_{t}}dW_{t}.
+
+Feller condition for positivity of the process is
+:math:`\kappa\mu>\frac{1}{2}\eta^{2}`.
+
+
+.. automodule:: diffusions.param_cir
+
+.. autoclass:: diffusions.param_cir.CIRparam
+
+.. automodule:: diffusions.model_cir
+
+.. autoclass:: diffusions.model_cir.CIR