Variance Gamma (VarGamma) distribution module for Python.
Implements:
- probability density function,
- cumulative distribution function,
- random point generator,
- two parameter fitting methods (method of moments and maximum likelihood).
Parameters of VarGamma distribution according to Seneta, E. "Fitting the variance-gamma model to financial data" (2004):
- c - location
- sigma - spread
- theta - asymmetry
- nu - shape
Requires:
- numpy,
- scipy
See example.py for more details, it should produce something like this:
