woody82 / vargamma

Variance Gamma distribution (Python): pdf, cdf, rand and fit.

VarGamma

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: