stochvolmodels 1.0.11__tar.gz → 1.0.14__tar.gz

{stochvolmodels-1.0.11 → stochvolmodels-1.0.14}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: stochvolmodels
-Version: 1.0.11
+Version: 1.0.14
 Summary: Implementation of stochastic volatility models for option pricing
 Home-page: https://github.com/ArturSepp/StochVolModels
 License: LICENSE.txt
@@ -50,22 +50,6 @@ For the analytic implementation of stochastic volatility models, the package pro
 1) Interface for analytical pricing of vanilla options using Fourier transform with closed-form solution for moment generating function
 2) Interface for Monte-Carlo simulations of model dynamics
 
-## Illustrations
-
-As illustrations of different analytics, this packadge includes the computations and visualisations
-for 
-
-1) Log-normal Stochastic Volatility Model with Quadratic Drift by Sepp A and Rakhmonov P, SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2522425
-```python 
-stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift
-```
-
-
-2) What is a robust stochastic volatility model by Sepp A and Rakhmonov P, SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4647027
-```python 
-stochvolmodels/my_papers/volatility_models
-```
-
 
 ## Installation
 ```python 
@@ -82,6 +66,8 @@ pip install stochvolmodels
    3. [Comparison of model prices vs MC](#subparagraph3)
    4. [Analysis and figures for the paper](#subparagraph4)
 3. [Running Heston SV pricer](#heston)
+4. [Supporting Illustrations for Public Papers](#papers)
+
 
 Running model calibration to sample Bitcoin options data
 
@@ -246,3 +232,32 @@ pricer.plot_model_slices_in_params(option_slice=option_slice, params_dict=params
 
 plt.show()
 ```
+
+
+## Supporting Illustrations for Public Papers <a name="papers"></a>
+
+As illustrations of different analytics, this packadge includes module ```my_papers``` 
+with codes for computations and visualisations featured in several papers
+for 
+
+1) "Log-normal Stochastic Volatility Model with Quadratic Drift" by Sepp A and Rakhmonov P, SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2522425
+```python 
+stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift
+```
+
+
+2) "What is a robust stochastic volatility model" by Sepp A and Rakhmonov P,
+SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4647027
+```python 
+stochvolmodels/my_papers/volatility_models
+```
+
+
+3) "Valuation and Hedging of Cryptocurrency Inverse Options" by Sepp A and Lucic V, 
+SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4606748 
+```python 
+stochvolmodels/my_papers/inverse_options
+```
+
+
+

{stochvolmodels-1.0.11 → stochvolmodels-1.0.14}/README.md

@@ -11,22 +11,6 @@ For the analytic implementation of stochastic volatility models, the package pro
 1) Interface for analytical pricing of vanilla options using Fourier transform with closed-form solution for moment generating function
 2) Interface for Monte-Carlo simulations of model dynamics
 
-## Illustrations
-
-As illustrations of different analytics, this packadge includes the computations and visualisations
-for 
-
-1) Log-normal Stochastic Volatility Model with Quadratic Drift by Sepp A and Rakhmonov P, SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2522425
-```python 
-stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift
-```
-
-
-2) What is a robust stochastic volatility model by Sepp A and Rakhmonov P, SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4647027
-```python 
-stochvolmodels/my_papers/volatility_models
-```
-
 
 ## Installation
 ```python 
@@ -43,6 +27,8 @@ pip install stochvolmodels
    3. [Comparison of model prices vs MC](#subparagraph3)
    4. [Analysis and figures for the paper](#subparagraph4)
 3. [Running Heston SV pricer](#heston)
+4. [Supporting Illustrations for Public Papers](#papers)
+
 
 Running model calibration to sample Bitcoin options data
 
@@ -206,4 +192,32 @@ pricer = HestonPricer()
 pricer.plot_model_slices_in_params(option_slice=option_slice, params_dict=params_dict)
 
 plt.show()
-```
+```
+
+
+## Supporting Illustrations for Public Papers <a name="papers"></a>
+
+As illustrations of different analytics, this packadge includes module ```my_papers``` 
+with codes for computations and visualisations featured in several papers
+for 
+
+1) "Log-normal Stochastic Volatility Model with Quadratic Drift" by Sepp A and Rakhmonov P, SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2522425
+```python 
+stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift
+```
+
+
+2) "What is a robust stochastic volatility model" by Sepp A and Rakhmonov P,
+SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4647027
+```python 
+stochvolmodels/my_papers/volatility_models
+```
+
+
+3) "Valuation and Hedging of Cryptocurrency Inverse Options" by Sepp A and Lucic V, 
+SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4606748 
+```python 
+stochvolmodels/my_papers/inverse_options
+```
+
+

{stochvolmodels-1.0.11 → stochvolmodels-1.0.14}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "stochvolmodels"
-version = "1.0.11"
+version = "1.0.14"
 description = "Implementation of stochastic volatility models for option pricing"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{stochvolmodels-1.0.11 → stochvolmodels-1.0.14}/stochvolmodels/__init__.py

@@ -1,4 +1,20 @@
 
+
+from stochvolmodels.utils.config import VariableType
+
+from stochvolmodels.utils.mc_payoffs import compute_mc_vars_payoff
+
+from stochvolmodels.utils.mgf_pricer import (get_phi_grid,
+                                             get_psi_grid,
+                                             get_theta_grid,
+                                             get_transform_var_grid,
+                                             compute_integration_weights,
+                                             vanilla_slice_pricer_with_mgf_grid,
+                                             digital_slice_pricer_with_mgf_grid,
+                                             slice_pricer_with_mgf_grid_with_gamma,
+                                             slice_qvar_pricer_with_a_grid,
+                                             pdf_with_mgf_grid)
+
 from stochvolmodels.utils.funcs import (
     set_seed,
     compute_histogram_data,
@@ -6,17 +22,20 @@ from stochvolmodels.utils.funcs import (
     to_flat_np_array,
     update_kwargs,
     ncdf,
-    npdf
+    npdf,
+    npdf1
 )
 
-from stochvolmodels.pricers.core.bsm_pricer import (
+from stochvolmodels.pricers.analytic.bsm import (
     OptionType,
-    compute_bsm_delta,
-    compute_bsm_delta_to_strike,
-    compute_bsm_deltas_ttms,
-    compute_bsm_price,
-    compute_bsm_slice_deltas,
-    compute_bsm_slice_prices,
+    compute_bsm_vanilla_price,
+    compute_bsm_vanilla_slice_deltas,
+    compute_bsm_vanilla_slice_prices,
+    compute_bsm_forward_grid_prices,
+    compute_bsm_vanilla_delta,
+    compute_bsm_vanilla_grid_deltas,
+    compute_bsm_strike_from_delta,
+    compute_bsm_vanilla_deltas_ttms,
     compute_bsm_slice_vegas,
     compute_bsm_vegas_ttms,
     infer_bsm_implied_vol,
@@ -25,7 +44,7 @@ from stochvolmodels.pricers.core.bsm_pricer import (
     infer_bsm_ivols_from_slice_prices
 )
 
-from stochvolmodels.pricers.core.normal_pricer import (
+from stochvolmodels.pricers.analytic.bachelier import (
     compute_normal_delta,
     compute_normal_delta_from_lognormal_vol,
     compute_normal_delta_to_strike,
@@ -41,6 +60,33 @@ from stochvolmodels.pricers.core.normal_pricer import (
     infer_normal_ivols_from_slice_prices,
 )
 
+from stochvolmodels.pricers.analytic.tdist import (
+    t_cum,
+    compute_tdist_price,
+    compute_compute_negative_prob,
+    infer_tdist_implied_vol,
+    infer_tdist_implied_vols_from_model_slice_prices
+)
+
+from stochvolmodels.pricers.logsv.affine_expansion import (
+    ExpansionOrder,
+    VariableType,
+    compute_logsv_a_mgf_grid,
+    func_a_ode_quadratic_terms,
+    func_rhs,
+    func_rhs_jac,
+    get_expansion_n,
+    get_init_conditions_a,
+    solve_a_ode_grid,
+    solve_analytic_ode_for_a,
+    solve_analytic_ode_for_a0,
+    solve_analytic_ode_grid_phi,
+    solve_ode_for_a,
+    compute_logsv_a_mgf_grid,
+    solve_a_ode_grid,
+    solve_ode_for_a,
+)
+
 from stochvolmodels.pricers.hawkes_jd_pricer import (
     HawkesJDParams,
     HawkesJDPricer
@@ -60,12 +106,20 @@ from stochvolmodels.pricers.logsv_pricer import (
     ConstraintsType
 )
 
+from stochvolmodels.pricers.gmm_pricer import (
+    GmmParams,
+    GmmPricer
+)
+
+
 from stochvolmodels.data.option_chain import OptionChain, OptionSlice
 
+"""
 from stochvolmodels.data.fetch_option_chain import (generate_vol_chain_np,
                                                     load_option_chain,
                                                     sample_option_chain_at_times,
                                                     load_price_data)
+"""
 
 from stochvolmodels.data.test_option_chain import (
     get_btc_test_chain_data,
@@ -98,41 +152,4 @@ from stochvolmodels.utils.plots import (
 )
 
 
-from stochvolmodels.pricers.core.mgf_pricer import (
-    compute_integration_weights,
-    digital_slice_pricer_with_mgf_grid,
-    get_phi_grid,
-    get_psi_grid,
-    get_theta_grid,
-    get_transform_var_grid,
-    pdf_with_mgf_grid,
-    slice_pricer_with_mgf_grid_with_gamma,
-    slice_qvar_pricer_with_a_grid,
-    vanilla_slice_pricer_with_mgf_grid,
-    slice_pricer_with_mgf_grid_with_gamma,
-)
-
-from stochvolmodels.pricers.logsv.affine_expansion import (
-    ExpansionOrder,
-    VariableType,
-    compute_logsv_a_mgf_grid,
-    func_a_ode_quadratic_terms,
-    func_rhs,
-    func_rhs_jac,
-    get_expansion_n,
-    get_init_conditions_a,
-    solve_a_ode_grid,
-    solve_analytic_ode_for_a,
-    solve_analytic_ode_for_a0,
-    solve_analytic_ode_grid_phi,
-    solve_ode_for_a,
-    compute_logsv_a_mgf_grid,
-    solve_a_ode_grid,
-    solve_ode_for_a,
-)
-
-from stochvolmodels.pricers.core.config import VariableType
-
-from stochvolmodels.pricers.core.mc_payoffs import compute_mc_vars_payoff
-
-
+from stochvolmodels.pricers.logsv.vol_moments_ode import compute_analytic_qvar

{stochvolmodels-1.0.11 → stochvolmodels-1.0.14}/stochvolmodels/data/option_chain.py

@@ -12,7 +12,7 @@ from dataclasses import dataclass
 from typing import Tuple, Optional
 from numba.typed import List
 
-import stochvolmodels.pricers.core.bsm_pricer as bsm
+import stochvolmodels.pricers.analytic.bsm as bsm
 
 
 @dataclass
@@ -115,11 +115,11 @@ class OptionChain:
             return None
 
     def get_chain_deltas(self) -> List[np.ndarray]:
-        deltas_ttms = bsm.compute_bsm_deltas_ttms(ttms=self.ttms,
-                                                  forwards=self.forwards,
-                                                  strikes_ttms=self.strikes_ttms,
-                                                  optiontypes_ttms=self.optiontypes_ttms,
-                                                  vols_ttms=self.get_mid_vols())
+        deltas_ttms = bsm.compute_bsm_vanilla_deltas_ttms(ttms=self.ttms,
+                                                          forwards=self.forwards,
+                                                          strikes_ttms=self.strikes_ttms,
+                                                          optiontypes_ttms=self.optiontypes_ttms,
+                                                          vols_ttms=self.get_mid_vols())
         return deltas_ttms
 
     def get_chain_vegas(self, is_unit_ttm_vega: bool = False) -> List[np.ndarray]:
@@ -233,7 +233,7 @@ class OptionChain:
         return a subset of chain for given ids
         """
         if len(ids) == 1:
-            idx = option_chain.ids.tolist().index(ids[0])
+            idx = list(option_chain.ids).index(ids[0])  # get location of ids
             option_chain = cls(ids=ids,
                                ttms=np.array([option_chain.ttms[idx]]),
                                ticker=option_chain.ticker,

{stochvolmodels-1.0.11 → stochvolmodels-1.0.14}/stochvolmodels/data/test_option_chain.py

@@ -852,10 +852,10 @@ def get_qv_options_test_chain_data(num_strikes: int = 21) -> OptionChain:
     forwards = array([1.0, 1.0, 1.0, 1.0, 1.0, 1.0])
     discfactors = array([1.0, 1.0, 1.0, 1.0, 1.0, 1.0])
     strikes_ttm = np.linspace(0.75, 1.5, num_strikes)
-    strikes_ttms = (strikes_ttm, strikes_ttm, strikes_ttm, strikes_ttm)
+    strikes_ttms = (strikes_ttm, strikes_ttm, strikes_ttm, strikes_ttm, strikes_ttm, strikes_ttm)
 
     optiontypes_ttm = np.full(strikes_ttm.shape, 'C')
-    optiontypes_ttms = (optiontypes_ttm, optiontypes_ttm, optiontypes_ttm, optiontypes_ttm)
+    optiontypes_ttms = (optiontypes_ttm, optiontypes_ttm, optiontypes_ttm, optiontypes_ttm, optiontypes_ttm, optiontypes_ttm)
 
     data = OptionChain(ids=ids,
                        ttms=ttms,