Public API reference

The supported import surface is re-exported from goal_based_allocation. The catalogue below is checked against the installed package so documentation cannot name a missing symbol. Follow the module links for source and implementation docstrings.

Wealth-floor model and analytics

Public symbol	Purpose
RegimeSwitchParams	Two-regime diffusion, transition, and jump parameters.
AssetSpecification	Asset-level wealth-floor specification.
MandateSpecification	Named mandate specification.
compute_density	Bounded regime-conditional transition density.
compute_survival	Analytical survival probability.
compute_tilted_survival	Tilted survival transform for moments.
compute_overshoot_density	Jump-overshoot density below the barrier.
create_paper_assets	Asset specifications used by the paper.
create_paper_mandates	Named paper mandate specifications.
bh_moments_rsjd	Exact buy-and-hold moments by matrix exponential.

Source: regime_switch_paper.py.

MV-optimal policy

Public symbol	Purpose
find_ell	Solve the Riccati policy for a target return.
gap_process_asset	Map a Riccati solution to the terminal gap process.

Source: riccati_solver.py.

Effective assets and opportunity sets

Public symbol	Purpose
build_effective_asset	Aggregate the multi-asset mandate to one effective asset.
portfolio_sigma_unc	Unconditional portfolio volatility used by mandate construction.
portfolio_eta_quadrature	Deterministic effective-jump quadrature.
AdvisorSpec	Advisor-side opportunity-set assumptions.
compute_opportunity_point	Compute one analytical mandate and benchmark.
build_opportunity_set	Compute a bond-weight opportunity set.

Sources: client_solver.py and opportunity_set.py.

European options

Public symbol	Purpose
RiskNeutralParams	Risk-neutral two-regime option parameters.
OptionType	Call/put selection.
Regime	Growth/stress starting regime.
price_vanilla	Joint-strike European call/put pricing.
implied_vol	Black-Scholes implied volatility inversion.

Source: vanilla_option_pricer.py.

Variance analytics

Public symbol	Purpose
VarianceConvention	Variance-swap convention selection.
VarianceDecomposition	Diffusion/jump/regime variance decomposition.
VarianceRiskPremium	Variance risk-premium result.
SizePremiumCalibration	Size-premium calibration result.
variance_swap_strike	Closed-form variance-swap strike.
decompose_variance	Decompose total variance into model components.
occupation_times	Expected regime occupation times.
jump_skew_gap	Jump-induced skew-gap diagnostic.
variance_risk_premium	Compare physical and risk-neutral variance.
implied_crash_size_from_var_swap	Infer crash size from a variance-swap input.
skew_overidentification_test	Cross-check skew and variance restrictions.

Source: variance_swap.py.

Advanced module

The inversion algorithms in laplace_inversion.py are lower-level numerical machinery. Prefer the model-level public functions above unless implementing or validating a transform calculation.