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README.md
VarGamma.py
example.py

README.md

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:

example.py output