stochvolmodels 1.0.12__tar.gz → 1.0.14__tar.gz

{stochvolmodels-1.0.12 → stochvolmodels-1.0.14}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: stochvolmodels
-Version: 1.0.12
+Version: 1.0.14
 Summary: Implementation of stochastic volatility models for option pricing
 Home-page: https://github.com/ArturSepp/StochVolModels
 License: LICENSE.txt
@@ -50,32 +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
 
-## Supporting Illustrations for Public Papers 
-
-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
-```
-
-
 
 ## Installation
 ```python 
@@ -92,6 +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
 
@@ -256,3 +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-1.0.12 → stochvolmodels-1.0.14}/README.md

@@ -11,32 +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
 
-## Supporting Illustrations for Public Papers 
-
-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
-```
-
-
 
 ## Installation
 ```python 
@@ -53,6 +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
 
@@ -216,4 +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-1.0.12 → stochvolmodels-1.0.14}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "stochvolmodels"
-version = "1.0.12"
+version = "1.0.14"
 description = "Implementation of stochastic volatility models for option pricing"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{stochvolmodels-1.0.12 → stochvolmodels-1.0.14}/stochvolmodels/__init__.py

@@ -114,10 +114,12 @@ from stochvolmodels.pricers.gmm_pricer import (
 
 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,
@@ -148,3 +150,6 @@ from stochvolmodels.utils.plots import (
     set_y_limits,
     vol_slice_fit
 )
+
+
+from stochvolmodels.pricers.logsv.vol_moments_ode import compute_analytic_qvar

{stochvolmodels-1.0.12 → 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,

{stochvolmodels-1.0.12 → stochvolmodels-1.0.14}/stochvolmodels/pricers/gmm_pricer.py

@@ -191,6 +191,7 @@ def compute_gmm_vanilla_price(gmm_weights: np.ndarray,
     price = 0.0
     for gmm_weight, gmm_mu, gmm_vol in zip(gmm_weights, gmm_mus, gmm_vols):
         forward_i = forward*np.exp((gmm_mu+0.5*gmm_vol*gmm_vol)*ttm)
+        # forward is vol-adjusted
         price_i = bsm.compute_bsm_vanilla_price(forward=forward_i,
                                                 strike=strike,
                                                 ttm=ttm,

{stochvolmodels-1.0.12 → stochvolmodels-1.0.14}/stochvolmodels/pricers/heston_pricer.py

@@ -13,10 +13,10 @@ from enum import Enum
 
 # stochvolmodels
 from stochvolmodels.utils.funcs import to_flat_np_array, set_time_grid, timer
-from stochvolmodels.utils.mgf_pricer import get_transform_var_grid, vanilla_slice_pricer_with_mgf_grid
 from stochvolmodels.utils.config import VariableType
 from stochvolmodels.utils.mc_payoffs import compute_mc_vars_payoff
 from stochvolmodels.pricers.model_pricer import ModelParams, ModelPricer
+import stochvolmodels.utils.mgf_pricer as mgfp
 
 # data
 from stochvolmodels.data.option_chain import OptionChain
@@ -192,11 +192,14 @@ def heston_chain_pricer(v0: float,
                         strikes_ttms: Tuple[np.ndarray, ...],
                         optiontypes_ttms: Tuple[np.ndarray, ...],
                         discfactors: np.ndarray,
+                        variable_type: VariableType = VariableType.LOG_RETURN,
                         vol_scaler: float = None  # run calibration on same vol_scaler
                         ) -> List[np.ndarray]:
 
     # starting values
-    phi_grid, psi_grid, theta_grid = get_transform_var_grid(vol_scaler=vol_scaler or np.sqrt(v0*ttms[-1]))
+    if vol_scaler is None:
+        vol_scaler = np.minimum(0.3, np.sqrt(v0*ttms[0]))
+    phi_grid, psi_grid, theta_grid = mgfp.get_transform_var_grid(vol_scaler=vol_scaler)
     a_t0, b_t0 = np.zeros(phi_grid.shape[0], dtype=np.complex128), np.zeros(phi_grid.shape[0], dtype=np.complex128)
     ttm0 = 0.0
 
@@ -213,13 +216,26 @@ def heston_chain_pricer(v0: float,
                                                            psi_grid=psi_grid,
                                                            a_t0=a_t0,
                                                            b_t0=b_t0)
-
-        option_prices = vanilla_slice_pricer_with_mgf_grid(log_mgf_grid=log_mgf_grid,
-                                                           phi_grid=phi_grid,
-                                                           forward=forward,
-                                                           discfactor=discfactor,
-                                                           strikes=strikes_ttm,
-                                                           optiontypes=optiontypes_ttm)
+        
+        if variable_type == VariableType.LOG_RETURN:
+            option_prices = mgfp.vanilla_slice_pricer_with_mgf_grid(log_mgf_grid=log_mgf_grid,
+                                                                    phi_grid=phi_grid,
+                                                                    forward=forward,
+                                                                    strikes=strikes_ttm,
+                                                                    optiontypes=optiontypes_ttm,
+                                                                    discfactor=discfactor)
+
+        elif variable_type == VariableType.Q_VAR:
+            option_prices = mgfp.slice_qvar_pricer_with_a_grid(log_mgf_grid=log_mgf_grid,
+                                                               psi_grid=psi_grid,
+                                                               ttm=ttm,
+                                                               forward=forward,
+                                                               strikes=strikes_ttm,
+                                                               optiontypes=optiontypes_ttm,
+                                                               discfactor=discfactor)
+        else:
+            raise NotImplementedError(f"variable_type={variable_type}")
+            
         model_prices_ttms.append(option_prices)
         ttm0 = ttm
 
@@ -330,10 +346,12 @@ class UnitTests(Enum):
     SLICE_PRICER = 2
     CALIBRATOR = 3
     MC_COMPARISION = 4
-
+    MC_COMPARISION_QVAR = 5
 
 def run_unit_test(unit_test: UnitTests):
 
+    import stochvolmodels.data.test_option_chain as chains
+
     if unit_test == UnitTests.CHAIN_PRICER:
         params = HestonParams(v0=0.85**2,
                               theta=1.4**2,
@@ -392,12 +410,33 @@ def run_unit_test(unit_test: UnitTests):
         heston_pricer.plot_model_ivols_vs_mc(option_chain=option_chain,
                                              params=BTC_HESTON_PARAMS)
 
+    elif unit_test == UnitTests.MC_COMPARISION_QVAR:
+        from stochvolmodels.pricers.logsv.vol_moments_ode import compute_analytic_qvar
+        from stochvolmodels.pricers.logsv_pricer import LogSvParams
+        heston_pricer = HestonPricer()
+        ttms = {'1m': 1.0/12.0, '6m': 0.5}
+        option_chain = chains.get_qv_options_test_chain_data()
+        option_chain = OptionChain.get_slices_as_chain(option_chain, ids=list(ttms.keys()))
+        LOGSV_BTC_PARAMS = LogSvParams(sigma0=0.8376, theta=1.0413, kappa1=3.1844, kappa2=3.058, beta=0.1514,
+                                       volvol=1.8458)
+
+        forwards = np.array([compute_analytic_qvar(params=LOGSV_BTC_PARAMS, ttm=ttm, n_terms=4) for ttm in ttms.values()])
+        print(f"QV forwards = {forwards}")
+
+        option_chain.forwards = forwards  # replace forwards to imply BSM vols
+        option_chain.strikes_ttms = List(forward * strikes_ttm for forward, strikes_ttm in zip(option_chain.forwards, option_chain.strikes_ttms))
+
+        fig = heston_pricer.plot_model_ivols_vs_mc(option_chain=option_chain,
+                                                   params=BTC_HESTON_PARAMS,
+                                                   variable_type=VariableType.Q_VAR,
+                                                   nb_path=200000)
+
     plt.show()
 
 
 if __name__ == '__main__':
 
-    unit_test = UnitTests.MC_COMPARISION
+    unit_test = UnitTests.CALIBRATOR
 
     is_run_all_tests = False
     if is_run_all_tests:

{stochvolmodels-1.0.12 → stochvolmodels-1.0.14}/stochvolmodels/pricers/logsv_pricer.py

@@ -770,13 +770,16 @@ class UnitTests(Enum):
     SLICE_PRICER = 2
     CALIBRATOR = 3
     MC_COMPARISION = 4
-    VOL_PATHS = 5
-    TERMINAL_VALUES = 6
-    MMA_INVERSE_MEASURE_VS_MC = 7
+    MC_COMPARISION_QVAR = 5
+    VOL_PATHS = 6
+    TERMINAL_VALUES = 7
+    MMA_INVERSE_MEASURE_VS_MC = 8
 
 
 def run_unit_test(unit_test: UnitTests):
 
+    import stochvolmodels.data.test_option_chain as chains
+
     if unit_test == UnitTests.CHAIN_PRICER:
         option_chain = get_btc_test_chain_data()
         logsv_pricer = LogSVPricer()
@@ -822,6 +825,22 @@ def run_unit_test(unit_test: UnitTests):
         logsv_pricer.plot_model_ivols_vs_mc(option_chain=option_chain,
                                             params=LOGSV_BTC_PARAMS)
 
+    elif unit_test == UnitTests.MC_COMPARISION_QVAR:
+        from stochvolmodels.pricers.logsv.vol_moments_ode import compute_analytic_qvar
+        logsv_pricer = LogSVPricer()
+        ttms = {'1m': 1.0/12.0, '6m': 0.5}
+        option_chain = chains.get_qv_options_test_chain_data()
+        option_chain = OptionChain.get_slices_as_chain(option_chain, ids=list(ttms.keys()))
+        forwards = np.array([compute_analytic_qvar(params=LOGSV_BTC_PARAMS, ttm=ttm, n_terms=4) for ttm in ttms.values()])
+        print(f"QV forwards = {forwards}")
+
+        option_chain.forwards = forwards  # replace forwards to imply BSM vols
+        option_chain.strikes_ttms = List(forward * strikes_ttm for forward, strikes_ttm in zip(option_chain.forwards, option_chain.strikes_ttms))
+
+        fig = logsv_pricer.plot_model_ivols_vs_mc(option_chain=option_chain,
+                                                  params=LOGSV_BTC_PARAMS,
+                                                  variable_type=VariableType.Q_VAR)
+    
     elif unit_test == UnitTests.VOL_PATHS:
         logsv_pricer = LogSVPricer()
         nb_path = 10
@@ -859,7 +878,7 @@ def run_unit_test(unit_test: UnitTests):
 
 if __name__ == '__main__':
 
-    unit_test = UnitTests.VOL_PATHS
+    unit_test = UnitTests.MC_COMPARISION_QVAR
 
     is_run_all_tests = False
     if is_run_all_tests: