qablet-basic 0.4.6__cp38-cp38-win_amd64.whl

qablet/base/base.py

@@ -0,0 +1,70 @@
+# Define Base Class for Models
+from abc import ABC, abstractmethod
+from datetime import datetime
+
+from pyarrow import RecordBatch as rb
+from qablet_contracts.timetable import TS_EVENT_SCHEMA, py_to_ts
+
+
+def convert_to_arrow(timetable, dataset):
+    """If required, convert timetable and dataset to arrow format."""
+    if isinstance(dataset["PRICING_TS"], datetime):
+        dataset = dataset.copy()  # shallow copy
+        dataset["PRICING_TS"] = py_to_ts(dataset["PRICING_TS"]).value
+    if isinstance(timetable["events"], list):
+        timetable = timetable.copy()  # shallow copy
+        timetable["events"] = rb.from_pylist(
+            timetable["events"], schema=TS_EVENT_SCHEMA
+        )
+    return timetable, dataset
+
+
+# Define Base Class for State Object for all Models
+class ModelStateBase(ABC):
+    """Class to maintain the state during a model execution."""
+
+    stats: dict = {}
+
+    def __init__(self, timetable, dataset):
+        pass
+
+    def set_stat(self, key: str, val):
+        self.stats[key] = val
+
+
+class Model(ABC):
+    """Base class for all models."""
+
+    @abstractmethod
+    def state_class(self):
+        """The class that maintains state for this model."""
+        ...
+
+    @abstractmethod
+    def price_method(self):
+        """The method that calculates price."""
+        ...
+
+    def price(self, timetable, dataset):
+        """Calculate price of contract.
+
+        Parameters:
+            timetable (dict): timetable for the contract.
+            dataset (dict): dataset for the model.
+
+        Returns:
+            price (float): price of contract
+            stats (dict): stats such as standard error
+
+        """
+
+        timetable, dataset = convert_to_arrow(timetable, dataset)
+        model_state = (self.state_class())(timetable, dataset)
+        price = self.price_method()(
+            timetable["events"],
+            model_state,
+            dataset,
+            timetable.get("expressions", {}),
+        )
+
+        return price, model_state.stats

qablet/base/cf.py

@@ -0,0 +1,67 @@
+# Define Base Class for Cashflow Models
+from abc import ABC, abstractmethod
+
+import polars as pl
+
+from .._qablet import backtest_csv, backtest_py
+
+MS_IN_DAY = 1000 * 3600 * 24
+
+
+class CFModelPyBase(ABC):
+    """Base class for all Cashflow models delegating data to py class."""
+
+    def __init__(self, base):
+        self.base = base
+        self.stats = {}
+
+    def set_stat(self, key: str, val):
+        self.stats[key] = val
+
+    @abstractmethod
+    def get_value(self, unit, ts):
+        """Return value for given unit on given ts."""
+        ...
+
+    def cashflow(self, timetable):
+        backtest_py(
+            timetable["events"],
+            self,
+            timetable.get("expressions", {}),
+            self.base,
+        )
+
+        return self.stats["CASHFLOW"][0].sort_by("index")
+
+    def cashflow_by_ts(self, timetable):
+        cf = self.cashflow(timetable)
+
+        # convert to polars dataframe
+        cf_df = pl.from_arrow(cf)
+        ts_col = pl.from_arrow(
+            timetable["events"]["time"], schema={"time": pl.Int64}
+        )[cf_df["index"]]
+        return cf_df.with_columns(ts=ts_col)
+
+
+class CFModelCSV:
+    """A cashflow model using backtest_csv (currently trivially implemented)"""
+
+    def __init__(self, filename, base):
+        self.base = base
+        self.filename = filename
+        self.stats = {}
+
+    def set_stat(self, key: str, val):
+        self.stats[key] = val
+
+    def cashflow(self, timetable):
+        backtest_csv(
+            timetable["events"],
+            self,
+            self.filename,
+            self.base,
+            timetable.get("expressions", {}),
+        )
+
+        return self.stats["CASHFLOW"][0].sort_by("index")

qablet/base/fixed.py

@@ -0,0 +1,13 @@
+# Define the fixed model
+
+from .._qablet import fixed_price
+from .base import Model, ModelStateBase
+
+
+# Define a determinitic Model that just uses forwards
+class FixedModel(Model):
+    def state_class(self):
+        return ModelStateBase
+
+    def price_method(self):
+        return fixed_price

qablet/base/flags.py

@@ -0,0 +1,8 @@
+from enum import IntFlag
+
+
+class Stats(IntFlag):
+    PV_VEC = 1
+    CHOICES = 2
+    PV_GRID = 4
+    CASHFLOW = 8

qablet/base/mc.py

@@ -0,0 +1,38 @@
+# Generic MC model
+
+from abc import ABC
+
+from .._qablet import mc_price
+from .base import convert_to_arrow
+
+
+class MCPricer(ABC):
+    """MC Pricer that uses a Py Model."""
+
+    def __init__(self, state_class):
+        self.state_class = state_class
+
+    def price(self, timetable, dataset):
+        """Calculate price of contract.
+
+        Parameters:
+            timetable (dict): timetable for the contract.
+            dataset (dict): dataset for the model.
+
+        Returns:
+            price (float): price of contract
+            stats (dict): stats such as standard error
+
+        """
+
+        timetable, dataset = convert_to_arrow(timetable, dataset)
+        model_state = self.state_class(dataset)
+        model_state.reset()
+        price = mc_price(
+            timetable["events"],
+            model_state,
+            dataset,
+            timetable.get("expressions", {}),
+        )
+
+        return price, model_state.stats

qablet/black_scholes/fd.py

@@ -0,0 +1,17 @@
+# Black Scholes model using finite difference method
+
+
+from qablet.base.base import Model, ModelStateBase
+
+from .._qablet import fd_blackscholes_price
+
+
+# Define the Model Class
+class BSFDModel(Model):
+    __PARAM_SCHEMA_NAME__ = "BS"
+
+    def state_class(self):
+        return ModelStateBase
+
+    def price_method(self):
+        return fd_blackscholes_price

qablet/hullwhite/fd.py

@@ -0,0 +1,17 @@
+# Hullwhite model using finite difference method
+
+
+from qablet.base.base import Model, ModelStateBase
+
+from .._qablet import fd_hullwhite_price
+
+
+# Define the Model Class
+class HWFDModel(Model):
+    __PARAM_SCHEMA_NAME__ = "HW"
+
+    def state_class(self):
+        return ModelStateBase
+
+    def price_method(self):
+        return fd_hullwhite_price

qablet/local_vol/mc.py

@@ -0,0 +1,17 @@
+# Local Vol model using Monte Carlo method
+
+
+from qablet.base.base import Model, ModelStateBase
+
+from .. import _qablet
+
+
+# Define the Model Class
+class LVMCModel(Model):
+    __PARAM_SCHEMA_NAME__ = "LV"
+
+    def state_class(self):
+        return ModelStateBase
+
+    def price_method(self):
+        return _qablet.mc_lv_price

qablet_basic-0.4.6.dist-info/METADATA

@@ -0,0 +1,5 @@
+Metadata-Version: 2.4
+Name: qablet_basic
+Version: 0.4.6
+Summary: A suite of basic models to price qablet contracts. See Project links for details.
+Project-URL: Documentation, https://qablet-academy.github.io/intro/

qablet_basic-0.4.6.dist-info/RECORD

@@ -0,0 +1,15 @@
+qablet_basic-0.4.6.dist-info/METADATA,sha256=ZxwkCg4qExZ1rLOxxZ9G0yyrVYjbZ6jGdR3boW4SON8,215
+qablet_basic-0.4.6.dist-info/WHEEL,sha256=dmlmVrg43J3mJzkGmG6YeG3qWwtCluTVS5kljaN-U-M,94
+qablet/base/base.py,sha256=HTjZILjcZAXXgfJDKojYEJpIAq61aDIBLRuMrwemQPg,2065
+qablet/base/cf.py,sha256=rer-7y82frVX4w1b30lowCsAlNiqQAQUq0ub6-e9SsE,1754
+qablet/base/fixed.py,sha256=whP8JoNtAMFvWigKJsQ0suhSr9pwvBk3JI9g9vx_E6Q,307
+qablet/base/flags.py,sha256=GQ1d1ProTJh4ivcG2DK_kmKkiTAyd4iyg2rAGpZt0XM,121
+qablet/base/mc.py,sha256=8ShapO6Ym7hO6msn6llzoETobMhV_I5YSnz_h6HqiAo,975
+qablet/base/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+qablet/black_scholes/fd.py,sha256=nLP4rAALKav2uQjDQtEVaskvQoQt1MVuh7NEzYysJRU,376
+qablet/black_scholes/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+qablet/hullwhite/fd.py,sha256=9RqUMnbQMUx6U5eaWb-RYQNpdu-FF7oBUCa31904Wg0,366
+qablet/local_vol/mc.py,sha256=Isf5fUd7Md_8ZoNAbIP6jA7isDFOfRFpsUEuijBrrEQ,343
+qablet/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+qablet/_qablet.cp38-win_amd64.pyd,sha256=Y14V4qWMcEc3YtPSIpnYATtXQlfCjZyQ8K5WYp5s3rw,1639424
+qablet_basic-0.4.6.dist-info/RECORD,,

qablet_basic-0.4.6.dist-info/WHEEL

@@ -0,0 +1,4 @@
+Wheel-Version: 1.0
+Generator: maturin (1.8.1)
+Root-Is-Purelib: false
+Tag: cp38-cp38-win_amd64