stochvolmodels 1.0.15__tar.gz → 1.0.16__tar.gz

{stochvolmodels-1.0.15 → stochvolmodels-1.0.16}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: stochvolmodels
-Version: 1.0.15
+Version: 1.0.16
 Summary: Implementation of stochastic volatility models for option pricing
 Home-page: https://github.com/ArturSepp/StochVolModels
 License: LICENSE.txt

{stochvolmodels-1.0.15 → stochvolmodels-1.0.16}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "stochvolmodels"
-version = "1.0.15"
+version = "1.0.16"
 description = "Implementation of stochastic volatility models for option pricing"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{stochvolmodels-1.0.15 → stochvolmodels-1.0.16}/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 (

{stochvolmodels-1.0.15 → stochvolmodels-1.0.16}/stochvolmodels/pricers/analytic/bsm.py

@@ -249,6 +249,8 @@ def compute_bsm_strike_from_delta(ttm: float,
 Vega
 ****************************
 """
+
+
 @njit
 def compute_bsm_vanilla_vega(ttm: float,
                              forward: float,
@@ -308,6 +310,7 @@ Gamma
 ****************************
 """
 
+
 @njit
 def compute_bsm_vanilla_gamma(ttm: float,
                               forward: float,

{stochvolmodels-1.0.15 → stochvolmodels-1.0.16}/stochvolmodels/pricers/analytic/tdist.py

@@ -33,7 +33,8 @@ def cdf_tdist(x: Union[np.ndarray, float], mu: float, vol: float, nu: float, ttm
     return cdf
 
 
-def cum_mean_tdist(x: Union[np.ndarray, float], mu: float = 0, vol: float = 0.2, nu: float = 3.0, ttm: float = 0.25) -> Union[float, np.ndarray]:
+def cum_mean_tdist(x: Union[np.ndarray, float], mu: float = 0, vol: float = 0.2, nu: float = 3.0, ttm: float = 0.25
+                   ) -> Union[float, np.ndarray]:
     """
     cumulative expected value
     h = int^{x}_{-\infty} u f(u)du

{stochvolmodels-1.0.15 → stochvolmodels-1.0.16}/stochvolmodels/pricers/gmm_pricer.py

@@ -10,7 +10,7 @@ from numba.typed import List
 from typing import Tuple
 from enum import Enum
 
-from stochvolmodels.utils.funcs import to_flat_np_array, timer, npdf1
+from stochvolmodels.utils.funcs import to_flat_np_array, timer
 import stochvolmodels.pricers.analytic.bsm as bsm
 from stochvolmodels.pricers.model_pricer import ModelParams, ModelPricer
 from stochvolmodels.utils.config import VariableType
@@ -37,7 +37,7 @@ class GmmParams(ModelParams):
         state_pdfs = np.zeros((len(x), len(self.gmm_weights)))
         agg_pdf = np.zeros_like(x)
         for idx, (gmm_weight, mu, vol) in enumerate(zip(self.gmm_weights, self.gmm_mus, self.gmm_vols)):
-            state_pdf = npdf1(x, mu=mu*self.ttm, vol=vol*np.sqrt(self.ttm))
+            state_pdf = npdf(x, mu=mu*self.ttm, vol=vol*np.sqrt(self.ttm))
             state_pdfs[:, idx] = state_pdf
             agg_pdf += gmm_weight*state_pdf
         return state_pdfs, agg_pdf
@@ -45,7 +45,7 @@ class GmmParams(ModelParams):
     def compute_pdf(self, x: np.ndarray):
         pdfs = np.zeros_like(x)
         for gmm_weight, mu, vol in zip(self.gmm_weights, self.gmm_mus, self.gmm_vols):
-            pdfs = pdfs + gmm_weight*npdf1(x, mu=mu*self.ttm, vol=vol*np.sqrt(self.ttm))
+            pdfs = pdfs + gmm_weight*npdf(x, mu=mu*self.ttm, vol=vol*np.sqrt(self.ttm))
         return pdfs
 
 

{stochvolmodels-1.0.15 → stochvolmodels-1.0.16}/stochvolmodels/utils/funcs.py

@@ -5,7 +5,7 @@ import functools
 import time
 import numpy as np
 import pandas as pd
-from numba import njit, int32, int64
+from numba import njit
 from numba.typed import List
 from typing import Tuple, Dict, Any, Optional, Union
 
@@ -92,11 +92,5 @@ def ncdf(x: Union[float, np.ndarray]) -> Union[float, np.ndarray]:
 
 
 @njit(cache=False, fastmath=True)
-def npdf(x: Union[float, np.ndarray]) -> Union[float, np.ndarray]:
-    return np.exp(-0.5*np.square(x))/np.sqrt(2.0*np.pi)
-
-
-@njit(cache=False, fastmath=True)
-def npdf1(x: Union[float, np.ndarray], mu: float, vol: float) -> Union[float, np.ndarray]:
-    vol2 = vol*vol
-    return np.exp(-0.5*np.square(x-mu)/vol2)/np.sqrt(2.0*np.pi*vol2)
+def npdf(x: Union[float, np.ndarray], mu: float = 0.0, vol: float = 1.0) -> Union[float, np.ndarray]:
+    return np.exp(-0.5*np.square((x-mu)/vol))/(vol*np.sqrt(2.0*np.pi))