stochvolmodels 1.0.12__tar.gz → 1.0.25__tar.gz

{stochvolmodels-1.0.12 → stochvolmodels-1.0.25}/PKG-INFO

@@ -1,15 +1,14 @@
-Metadata-Version: 2.1
+Metadata-Version: 2.3
 Name: stochvolmodels
-Version: 1.0.12
+Version: 1.0.25
 Summary: Implementation of stochastic volatility models for option pricing
-Home-page: https://github.com/ArturSepp/StochVolModels
 License: LICENSE.txt
 Keywords: volatility,options,Black-Scholes,Heston,Monte-Carlo
 Author: Artur Sepp
 Author-email: artursepp@gmail.com
 Maintainer: Artur Sepp
 Maintainer-email: artursepp@gmail.com
-Requires-Python: >=3.8,<3.11
+Requires-Python: >=3.8
 Classifier: Development Status :: 4 - Beta
 Classifier: Environment :: Console
 Classifier: Intended Audience :: Financial and Insurance Industry
@@ -22,6 +21,9 @@ Classifier: Programming Language :: Python :: 3
 Classifier: Programming Language :: Python :: 3.8
 Classifier: Programming Language :: Python :: 3.9
 Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
 Classifier: Programming Language :: Python :: 3 :: Only
 Classifier: Topic :: Office/Business :: Financial :: Investment
 Requires-Dist: matplotlib (>=3.5.2)
@@ -41,45 +43,36 @@ Description-Content-Type: text/markdown
 
 Implementation of pricing analytics and Monte Carlo simulations for modeling of options and implied volatilities.
 
-The StochVolPackage provides:
+The StochVol package provides:
 1) Analytics for Black-Scholes and Normal vols
-2) Interfaces and implementation for stochastic volatility models including log-normal SV model and Heston SV model
+2) Interfaces and implementation for stochastic volatility models,
+including log-normal SV model and Heston SV model 
+using analytical method with Fourier transform and Monte Carlo simulations
 3) Visualization of model implied volatilities
 
 For the analytic implementation of stochastic volatility models, the package provides interfaces for a generic volatility model with the following features.
-1) Interface for analytical pricing of vanilla options using Fourier transform with closed-form solution for moment generating function
+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 
+[Illustrations](#papers) of using package analytics for research 
+work is provided in top-level package ```my_papers``` 
+which contains computations and visualisations for several papers
 
-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
+## Installation
+Install using
 ```python 
-stochvolmodels/my_papers/volatility_models
+pip install stochvolmodels
 ```
-
-
-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 
+Upgrade using
 ```python 
-stochvolmodels/my_papers/inverse_options
+pip install --upgrade stochvolmodels
 ```
-
-
-
-## Installation
+Close using
 ```python 
-pip install stochvolmodels
+git clone https://github.com/ArturSepp/StochVolModels.git
 ```
 
 # Table of contents
@@ -92,6 +85,8 @@ 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
 
@@ -107,7 +102,7 @@ The model interface is in stochvolmodels/pricers/model_pricer.py
 
 The analytics for the log-normal stochastic volatility model is based on the paper
 
-[Log-normal Stochastic Volatility Model with Quadratic Drift](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2522425) by Artur Sepp and Parviz Rakhmonov
+[Log-normal Stochastic Volatility Model with Quadratic Drift](https://www.worldscientific.com/doi/10.1142/S0219024924500031) by Artur Sepp and Parviz Rakhmonov
 
 
 The dynamics of the log-normal stochastic volatility model:
@@ -256,3 +251,46 @@ 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 Artur Sepp 
+and Parviz Rakhmonov: https://www.worldscientific.com/doi/10.1142/S0219024924500031
+```python 
+stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift
+```
+
+
+2) "What is a robust stochastic volatility model" by Artur Sepp and Parviz Rakhmonov, 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 Artur Sepp
+and Vladimir Lucic, 
+SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4606748 
+```python 
+stochvolmodels/my_papers/inverse_options
+```
+
+4) "Unified Approach for Hedging Impermanent Loss of Liquidity Provision" by 
+Artur Sepp, Alexander Lipton and Vladimir Lucic, 
+SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4887298 
+```python 
+stochvolmodels/my_papers/il_hedging
+```
+
+5) "Stochastic Volatility for Factor Heath-Jarrow-Morton Framework" by Artur Sepp and Parviz Rakhmonov, SSRN:
+https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4646925
+```python 
+stochvolmodels/my_papers/sv_for_factor_hjm
+```
+
+

{stochvolmodels-1.0.12 → stochvolmodels-1.0.25}/README.md

@@ -2,45 +2,36 @@
 
 Implementation of pricing analytics and Monte Carlo simulations for modeling of options and implied volatilities.
 
-The StochVolPackage provides:
+The StochVol package provides:
 1) Analytics for Black-Scholes and Normal vols
-2) Interfaces and implementation for stochastic volatility models including log-normal SV model and Heston SV model
+2) Interfaces and implementation for stochastic volatility models,
+including log-normal SV model and Heston SV model 
+using analytical method with Fourier transform and Monte Carlo simulations
 3) Visualization of model implied volatilities
 
 For the analytic implementation of stochastic volatility models, the package provides interfaces for a generic volatility model with the following features.
-1) Interface for analytical pricing of vanilla options using Fourier transform with closed-form solution for moment generating function
+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 
+[Illustrations](#papers) of using package analytics for research 
+work is provided in top-level package ```my_papers``` 
+which contains computations and visualisations for several papers
 
-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
+## Installation
+Install using
 ```python 
-stochvolmodels/my_papers/volatility_models
+pip install stochvolmodels
 ```
-
-
-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 
+Upgrade using
 ```python 
-stochvolmodels/my_papers/inverse_options
+pip install --upgrade stochvolmodels
 ```
-
-
-
-## Installation
+Close using
 ```python 
-pip install stochvolmodels
+git clone https://github.com/ArturSepp/StochVolModels.git
 ```
 
 # Table of contents
@@ -53,6 +44,8 @@ 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
 
@@ -68,7 +61,7 @@ The model interface is in stochvolmodels/pricers/model_pricer.py
 
 The analytics for the log-normal stochastic volatility model is based on the paper
 
-[Log-normal Stochastic Volatility Model with Quadratic Drift](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2522425) by Artur Sepp and Parviz Rakhmonov
+[Log-normal Stochastic Volatility Model with Quadratic Drift](https://www.worldscientific.com/doi/10.1142/S0219024924500031) by Artur Sepp and Parviz Rakhmonov
 
 
 The dynamics of the log-normal stochastic volatility model:
@@ -216,4 +209,46 @@ 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 Artur Sepp 
+and Parviz Rakhmonov: https://www.worldscientific.com/doi/10.1142/S0219024924500031
+```python 
+stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift
+```
+
+
+2) "What is a robust stochastic volatility model" by Artur Sepp and Parviz Rakhmonov, 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 Artur Sepp
+and Vladimir Lucic, 
+SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4606748 
+```python 
+stochvolmodels/my_papers/inverse_options
+```
+
+4) "Unified Approach for Hedging Impermanent Loss of Liquidity Provision" by 
+Artur Sepp, Alexander Lipton and Vladimir Lucic, 
+SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4887298 
+```python 
+stochvolmodels/my_papers/il_hedging
+```
+
+5) "Stochastic Volatility for Factor Heath-Jarrow-Morton Framework" by Artur Sepp and Parviz Rakhmonov, SSRN:
+https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4646925
+```python 
+stochvolmodels/my_papers/sv_for_factor_hjm
+```
+

{stochvolmodels-1.0.12 → stochvolmodels-1.0.25}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "stochvolmodels"
-version = "1.0.12"
+version = "1.0.25"
 description = "Implementation of stochastic volatility models for option pricing"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]
@@ -23,14 +23,17 @@ classifiers=[
         "Programming Language :: Python :: 3 :: Only",
         "Topic :: Office/Business :: Financial :: Investment",
     ]
-packages = [ {include = "stochvolmodels"} ]
+
+packages = [ {include = "stochvolmodels"}]
+
+exclude = ["stochvolmodel/my_papers/"]
 
 [tool.poetry.urls]
 "Issues" = "https://github.com/ArturSepp/StochVolModels/issues"
 "Personal website" = "https://artursepp.com"
 
 [tool.poetry.dependencies]
-python = ">=3.8,<3.11"
+python = ">=3.8"
 numba = ">=0.55"
 numpy = ">=1.22.4"
 scipy = ">=1.3"

{stochvolmodels-1.0.12 → stochvolmodels-1.0.25}/stochvolmodels/__init__.py

@@ -22,8 +22,7 @@ from stochvolmodels.utils.funcs import (
     to_flat_np_array,
     update_kwargs,
     ncdf,
-    npdf,
-    npdf1
+    npdf
 )
 
 from stochvolmodels.pricers.analytic.bsm import (
@@ -61,10 +60,14 @@ from stochvolmodels.pricers.analytic.bachelier import (
 )
 
 from stochvolmodels.pricers.analytic.tdist import (
-    t_cum,
-    compute_tdist_price,
-    compute_compute_negative_prob,
-    infer_tdist_implied_vol,
+    pdf_tdist,
+    cdf_tdist,
+    cum_mean_tdist,
+    imply_drift_tdist,
+    compute_default_prob_tdist,
+    compute_forward_tdist,
+    compute_vanilla_price_tdist,
+    infer_implied_vol_tdist,
     infer_tdist_implied_vols_from_model_slice_prices
 )
 
@@ -101,23 +104,25 @@ from stochvolmodels.pricers.heston_pricer import (
 from stochvolmodels.pricers.logsv_pricer import (
     LOGSV_BTC_PARAMS,
     LogSVPricer,
-    LogSvParams,
     LogsvModelCalibrationType,
     ConstraintsType
 )
+from stochvolmodels.pricers.logsv.logsv_params import LogSvParams
 
 from stochvolmodels.pricers.gmm_pricer import (
     GmmParams,
-    GmmPricer
+    GmmPricer,
+    plot_gmm_pdfs
+)
+
+from stochvolmodels.pricers.tdist_pricer import (
+    TdistParams,
+    TdistPricer
 )
 
 
 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,
@@ -135,7 +140,7 @@ from stochvolmodels.utils.plots import (
     create_dummy_line,
     fig_list_to_pdf,
     fig_to_pdf,
-    get_legend_colors,
+    set_legend_colors,
     get_n_sns_colors,
     map_deltas_to_str,
     model_param_ts,
@@ -148,3 +153,6 @@ from stochvolmodels.utils.plots import (
     set_y_limits,
     vol_slice_fit
 )
+
+
+from stochvolmodels.pricers.logsv.vol_moments_ode import compute_analytic_qvar