stochvolmodels 1.0.15__tar.gz → 1.0.17__tar.gz

{stochvolmodels-1.0.15 → stochvolmodels-1.0.17}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: stochvolmodels
-Version: 1.0.15
+Version: 1.0.17
 Summary: Implementation of stochastic volatility models for option pricing
 Home-page: https://github.com/ArturSepp/StochVolModels
 License: LICENSE.txt

{stochvolmodels-1.0.15 → stochvolmodels-1.0.17}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "stochvolmodels"
-version = "1.0.15"
+version = "1.0.17"
 description = "Implementation of stochastic volatility models for option pricing"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{stochvolmodels-1.0.15 → stochvolmodels-1.0.17}/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 (
@@ -112,7 +111,8 @@ from stochvolmodels.pricers.logsv_pricer import (
 
 from stochvolmodels.pricers.gmm_pricer import (
     GmmParams,
-    GmmPricer
+    GmmPricer,
+    plot_gmm_pdfs
 )
 
 from stochvolmodels.pricers.tdist_pricer import (

{stochvolmodels-1.0.15 → stochvolmodels-1.0.17}/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-1.0.17}/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-1.0.17}/stochvolmodels/pricers/gmm_pricer.py

@@ -4,14 +4,18 @@ implementation of gaussian mixture pricer and calibration
 import numpy as np
 import matplotlib.pyplot as plt
 from dataclasses import dataclass
+
+import pandas as pd
+import qis as qis
+import seaborn as sns
 from scipy.optimize import minimize
 from numba import njit
 from numba.typed import List
 from typing import Tuple
 from enum import Enum
 
-from stochvolmodels.utils.funcs import to_flat_np_array, timer, npdf1
 import stochvolmodels.pricers.analytic.bsm as bsm
+from stochvolmodels.utils.funcs import to_flat_np_array, timer, npdf
 from stochvolmodels.pricers.model_pricer import ModelParams, ModelPricer
 from stochvolmodels.utils.config import VariableType
 from stochvolmodels.data.option_chain import OptionChain
@@ -37,7 +41,7 @@ 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 +49,7 @@ 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
 
 
@@ -259,6 +263,56 @@ def gmm_vanilla_chain_pricer(gmm_weights: np.ndarray,
     return model_prices_ttms
 
 
+def plot_gmm_pdfs(params: GmmParams,
+                  option_chain0: OptionChain,
+                  nstdev: float = 10.0,
+                  titles: List[str] = None,
+                  axs: List[plt.Subplot] = None
+                  ) -> plt.Figure:
+    """
+    plot gmm pdf and model fit
+    """
+    stdev = nstdev * params.get_get_avg_vol() * np.sqrt(params.ttm)
+    x = np.linspace(-stdev, stdev, 3000)
+    state_pdfs, agg_pdf = params.compute_state_pdfs(x=x)
+
+    columns = []
+    for idx in range(len(params.gmm_weights)):
+        columns.append(
+            f"state-{idx + 1}: mean={params.gmm_mus[idx]:0.2f}, vol={params.gmm_vols[idx]:0.2f}, weight={params.gmm_weights[idx]:0.2f}")
+
+    state_pdfs = pd.DataFrame(state_pdfs, index=x, columns=columns)
+    agg_pdf = pd.Series(agg_pdf, index=x, name='Aggregate PDF')
+    df = pd.concat([agg_pdf, state_pdfs], axis=1)
+
+    kwargs = dict(fontsize=14, framealpha=0.80)
+
+    if axs is None:
+        with sns.axes_style("darkgrid"):
+            fig, axs = plt.subplots(1, 2, figsize=(16, 4.5))
+    else:
+        fig = None
+
+    qis.plot_line(df=df,
+                  linestyles=['--'] + ['-'] * len(params.gmm_weights),
+                  y_limits=(0.0, None),
+                  xvar_format='{:,.2f}',
+                  xlabel='log-price',
+                  first_color_fixed=True,
+                  ax=axs[0],
+                  **kwargs)
+    axs[0].get_lines()[0].set_linewidth(4.0)
+    axs[0].get_legend().get_lines()[0].set_linewidth(4.0)
+    qis.set_title(ax=axs[0], title='(A) State PDF and Aggregate Risk-Neutral PDF', **kwargs)
+
+    gmm_pricer = GmmPricer()
+    gmm_pricer.plot_model_ivols_vs_bid_ask(option_chain=option_chain0, params=params,
+                                           is_log_strike_xaxis=True,
+                                           axs=[axs[1]],
+                                           **kwargs)
+    return fig
+
+
 class UnitTests(Enum):
     CALIBRATOR = 1
 

{stochvolmodels-1.0.15 → stochvolmodels-1.0.17}/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))