stochvolmodels 1.0.16__tar.gz → 1.0.17__tar.gz

{stochvolmodels-1.0.16 → stochvolmodels-1.0.17}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: stochvolmodels
-Version: 1.0.16
+Version: 1.0.17
 Summary: Implementation of stochastic volatility models for option pricing
 Home-page: https://github.com/ArturSepp/StochVolModels
 License: LICENSE.txt

{stochvolmodels-1.0.16 → stochvolmodels-1.0.17}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "stochvolmodels"
-version = "1.0.16"
+version = "1.0.17"
 description = "Implementation of stochastic volatility models for option pricing"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{stochvolmodels-1.0.16 → stochvolmodels-1.0.17}/stochvolmodels/__init__.py

@@ -111,7 +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-1.0.16 → 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
 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
@@ -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