stochvolmodels 1.0.10__tar.gz → 1.0.11__tar.gz

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Files changed (29) hide show
  1. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/PKG-INFO +1 -1
  2. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/pyproject.toml +1 -1
  3. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/logsv_pricer.py +3 -1
  4. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/LICENSE.txt +0 -0
  5. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/README.md +0 -0
  6. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/__init__.py +0 -0
  7. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/data/__init__.py +0 -0
  8. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/data/fetch_option_chain.py +0 -0
  9. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/data/option_chain.py +0 -0
  10. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/data/test_option_chain.py +0 -0
  11. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/__init__.py +0 -0
  12. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/core/__init__.py +0 -0
  13. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/core/bsm_pricer.py +0 -0
  14. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/core/config.py +0 -0
  15. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/core/mc_payoffs.py +0 -0
  16. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/core/mgf_pricer.py +0 -0
  17. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/core/normal_pricer.py +0 -0
  18. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/hawkes_jd_pricer.py +0 -0
  19. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/heston_pricer.py +0 -0
  20. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/logsv/__init__.py +0 -0
  21. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/logsv/affine_expansion.py +0 -0
  22. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/logsv/vol_moments_ode.py +0 -0
  23. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/model_pricer.py +0 -0
  24. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/tests/__init__.py +0 -0
  25. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/tests/bsm_mgf_pricer.py +0 -0
  26. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/tests/qv_pricer.py +0 -0
  27. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/utils/__init__.py +0 -0
  28. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/utils/funcs.py +0 -0
  29. {stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/utils/plots.py +0 -0
{stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/PKG-INFO RENAMED
@@ -1,6 +1,6 @@
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  Metadata-Version: 2.1
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  Name: stochvolmodels
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- Version: 1.0.10
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+ Version: 1.0.11
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  Summary: Implementation of stochastic volatility models for option pricing
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  Home-page: https://github.com/ArturSepp/StochVolModels
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  License: LICENSE.txt
{stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/pyproject.toml RENAMED
@@ -1,6 +1,6 @@
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  [tool.poetry]
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  name = "stochvolmodels"
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- version = "1.0.10"
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+ version = "1.0.11"
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  description = "Implementation of stochastic volatility models for option pricing"
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  license = "LICENSE.txt"
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  authors = ["Artur Sepp <artursepp@gmail.com>"]
{stochvolmodels-1.0.10 → stochvolmodels-1.0.11}/stochvolmodels/pricers/logsv_pricer.py RENAMED
@@ -380,12 +380,14 @@ class LogSVPricer(ModelPricer):
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  ttm: float = 1.0,
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  nb_path: int = 100000,
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  is_spot_measure: bool = True,
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- nb_steps: int = 360,
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+ nb_steps: int = None,
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+ year_days: int = 360,
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  **kwargs
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  ) -> Tuple[np.ndarray, np.ndarray]:
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  """
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  simulate vols in dt_path grid
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  """
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+ nb_steps = nb_steps or int(np.ceil(year_days * ttm))
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  sigma_t, grid_t = simulate_vol_paths(ttm=ttm,
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  v0=params.sigma0,
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  theta=params.theta,