stochvolmodels 1.0.17__tar.gz → 1.0.18__tar.gz

{stochvolmodels-1.0.17 → stochvolmodels-1.0.18}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: stochvolmodels
-Version: 1.0.17
+Version: 1.0.18
 Summary: Implementation of stochastic volatility models for option pricing
 Home-page: https://github.com/ArturSepp/StochVolModels
 License: LICENSE.txt
@@ -41,20 +41,37 @@ 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
 
 
+[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
+
+
 ## Installation
+Install using
 ```python 
 pip install stochvolmodels
 ```
+Upgrade using
+```python 
+pip install --upgrade stochvolmodels
+```
+Close using
+```python 
+git clone https://github.com/ArturSepp/StochVolModels.git
+```
 
 # Table of contents
 1. [Model Interface](#introduction)
@@ -83,7 +100,7 @@ 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:
@@ -240,24 +257,31 @@ As illustrations of different analytics, this packadge includes module ```my_pap
 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
+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 Sepp A and Rakhmonov P,
-SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4647027
+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 Sepp A and Lucic V, 
+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
+```
 

{stochvolmodels-1.0.17 → stochvolmodels-1.0.18}/README.md

@@ -2,20 +2,37 @@
 
 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
 
 
+[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
+
+
 ## Installation
+Install using
 ```python 
 pip install stochvolmodels
 ```
+Upgrade using
+```python 
+pip install --upgrade stochvolmodels
+```
+Close using
+```python 
+git clone https://github.com/ArturSepp/StochVolModels.git
+```
 
 # Table of contents
 1. [Model Interface](#introduction)
@@ -44,7 +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:
@@ -201,23 +218,30 @@ As illustrations of different analytics, this packadge includes module ```my_pap
 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
+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 Sepp A and Rakhmonov P,
-SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4647027
+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 Sepp A and Lucic V, 
+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
+```

stochvolmodels-1.0.18/examples/run_gmm_fit.py

@@ -0,0 +1,41 @@
+"""
+example of fitting GMM
+see StochVolModels/examples/run_gmm_fit.py
+"""
+import matplotlib.pyplot as plt
+import seaborn as sns
+import qis as qis
+from stochvolmodels import (get_btc_test_chain_data,
+                            get_spy_test_chain_data,
+                            OptionChain, GmmPricer,
+                            plot_gmm_pdfs)
+
+# get test option chain data
+# option_chain = get_btc_test_chain_data()
+option_chain = get_spy_test_chain_data()
+
+# run GMM fit
+gmm_pricer = GmmPricer()
+fit_params = gmm_pricer.calibrate_model_params_to_chain(option_chain=option_chain, n_mixtures=4)
+
+# illustrate fitted parameters and model fit to market bid-ask
+# plot two ids
+ids = ['2m', '6m']
+n = len(ids)
+with sns.axes_style('darkgrid'):
+    fig, axs = plt.subplots(n, 2, figsize=(14, 12), tight_layout=True)
+    # axs = qis.to_flat_list(axs)
+current_ax = 0
+
+for key, params in fit_params.items():
+    print(f"{key}: {params}")
+    if key in ids:
+        option_chain0 = OptionChain.get_slices_as_chain(option_chain, ids=[key])
+        # gmm_pricer.plot_model_ivols_vs_bid_ask(option_chain=option_chain0, params=params, axs=[axs[idx]])
+        plot_gmm_pdfs(params=params, option_chain0=option_chain0, axs=axs[current_ax, :])
+        qis.set_title(ax=axs[current_ax, 0], title=f"{key}-slice: (A) State PDF and Aggregate Risk-Neutral PDF")
+        qis.set_title(ax=axs[current_ax, 1], title=f"{key}-slice: Model to Market Bid/Ask vols")
+        current_ax += 1
+
+qis.set_suptitle(fig, title='Fit of 4-state GMM to SPY implied vols @ 15_Jul_2022_10_23_09')
+plt.show()

stochvolmodels-1.0.18/examples/run_heston.py

@@ -0,0 +1,18 @@
+import numpy as np
+import matplotlib.pyplot as plt
+from stochvolmodels import HestonPricer, HestonParams, OptionChain
+
+# define parameters for bootstrap
+params_dict = {'rho=0.0': HestonParams(v0=0.2**2, theta=0.2**2, kappa=4.0, volvol=0.75, rho=0.0),
+               'rho=-0.4': HestonParams(v0=0.2**2, theta=0.2**2, kappa=4.0, volvol=0.75, rho=-0.4),
+               'rho=-0.8': HestonParams(v0=0.2**2, theta=0.2**2, kappa=4.0, volvol=0.75, rho=-0.8)}
+
+# get uniform slice
+option_chain = OptionChain.get_uniform_chain(ttms=np.array([0.25]), ids=np.array(['3m']), strikes=np.linspace(0.8, 1.15, 20))
+option_slice = option_chain.get_slice(id='3m')
+
+# run pricer
+pricer = HestonPricer()
+pricer.plot_model_slices_in_params(option_slice=option_slice, params_dict=params_dict)
+
+plt.show()

stochvolmodels-1.0.18/examples/run_heston_sv_pricer.py

@@ -0,0 +1,72 @@
+
+import numpy as np
+import matplotlib.pyplot as plt
+from enum import Enum
+
+import stochvolmodels as sv
+from stochvolmodels import HestonPricer, HestonParams, OptionChain, BTC_HESTON_PARAMS
+
+pricer = HestonPricer()
+
+# define model params
+params = HestonParams(v0=1.0, theta=1.0, kappa=5.0, volvol=1.0, rho=-0.5)
+
+# 1. one price
+model_price, vol = pricer.price_vanilla(params=params,
+                                        ttm=0.25,
+                                        forward=1.0,
+                                        strike=1.0,
+                                        optiontype='C')
+print(f"price={model_price:0.4f}, implied vol={vol: 0.2%}")
+
+# 2. price slice
+model_prices, vols = pricer.price_slice(params=params,
+                                        ttm=0.25,
+                                        forward=1.0,
+                                        strikes=np.array([0.9, 1.0, 1.1]),
+                                        optiontypes=np.array(['P', 'C', 'C']))
+print([f"{p:0.4f}, implied vol={v: 0.2%}" for p, v in zip(model_prices, vols)])
+
+# 3. prices for option chain with uniform strikes
+option_chain = OptionChain.get_uniform_chain(ttms=np.array([0.083, 0.25]),
+                                             ids=np.array(['1m', '3m']),
+                                             strikes=np.linspace(0.9, 1.1, 3))
+model_prices, vols = pricer.compute_chain_prices_with_vols(option_chain=option_chain, params=params)
+print(model_prices)
+print(vols)
+
+# define uniform option chain
+option_chain = OptionChain.get_uniform_chain(ttms=np.array([0.083, 0.25]),
+                                             ids=np.array(['1m', '3m']),
+                                             strikes=np.linspace(0.5, 1.5, 21))
+pricer.plot_model_ivols(option_chain=option_chain,
+                        params=params)
+
+
+# define uniform option chain
+option_chain = OptionChain.get_uniform_chain(ttms=np.array([0.083, 0.25]),
+                                             ids=np.array(['1m', '3m']),
+                                             strikes=np.linspace(0.5, 1.5, 21))
+
+# define parameters for bootstrap
+params_dict = {'kappa=5': HestonParams(v0=1.0, theta=1.0, kappa=5.0, volvol=1.0, rho=-0.5),
+               'kappa=10': HestonParams(v0=1.0, theta=1.0, kappa=10.0, volvol=1.0, rho=-0.5)}
+option_slice = option_chain.get_slice(id='1m')
+pricer.plot_model_slices_in_params(option_slice=option_slice,
+                                   params_dict=params_dict)
+
+
+btc_option_chain = sv.get_btc_test_chain_data()
+btc_calibrated_params = BTC_HESTON_PARAMS
+pricer.plot_model_ivols_vs_bid_ask(option_chain=btc_option_chain,
+                                   params=btc_calibrated_params)
+
+btc_option_chain = sv.get_btc_test_chain_data()
+params0 = HestonParams(v0=0.8, theta=1.0, kappa=5.0, volvol=1.0, rho=-0.5)
+btc_calibrated_params = pricer.calibrate_model_params_to_chain(option_chain=btc_option_chain,
+                                                               params0=params0,
+                                                               constraints_type=sv.ConstraintsType.INVERSE_MARTINGALE)
+print(btc_calibrated_params)
+pricer.plot_model_ivols_vs_bid_ask(option_chain=btc_option_chain,
+                                   params=btc_calibrated_params)
+plt.show()

stochvolmodels-1.0.18/examples/run_lognormal_sv_pricer.py

@@ -0,0 +1,122 @@
+"""
+run few unit test to illustrate implementation of log-normal sv model analytics
+"""
+
+import numpy as np
+import matplotlib.pyplot as plt
+from enum import Enum
+
+import stochvolmodels as sv
+from stochvolmodels import LogSVPricer, LogSvParams, OptionChain, LogsvModelCalibrationType
+
+
+class UnitTests(Enum):
+    COMPUTE_MODEL_PRICES = 1
+    PLOT_MODEL_IMPLIED_VOLS = 2
+    PLOT_MODEL_VOLS_IN_PARAMS = 3
+    COMPARE_MODEL_VOLS_TO_MC = 4
+    PLOT_FIT_TO_BITCOIN_OPTION_CHAIN = 5
+    CALIBRATE_MODEL_TO_BTC_OPTIONS = 6
+
+
+def run_unit_test(unit_test: UnitTests):
+
+    # instance of pricer
+    logsv_pricer = LogSVPricer()
+    
+    # define model params    
+    params = LogSvParams(sigma0=1.0, theta=1.0, kappa1=5.0, kappa2=5.0, beta=0.2, volvol=2.0)
+
+    if unit_test == UnitTests.COMPUTE_MODEL_PRICES:
+        # 1. one price
+        model_price, vol = logsv_pricer.price_vanilla(params=params,
+                                                      ttm=0.25,
+                                                      forward=1.0,
+                                                      strike=1.0,
+                                                      optiontype='C')
+        print(f"price={model_price:0.4f}, implied vol={vol: 0.2%}")
+
+        # 2. prices for slices
+        model_prices, vols = logsv_pricer.price_slice(params=params,
+                                                      ttm=0.25,
+                                                      forward=1.0,
+                                                      strikes=np.array([0.9, 1.0, 1.1]),
+                                                      optiontypes=np.array(['P', 'C', 'C']))
+        print([f"{p:0.4f}, implied vol={v: 0.2%}" for p, v in zip(model_prices, vols)])
+
+        # 3. prices for option chain with uniform strikes
+        option_chain = OptionChain.get_uniform_chain(ttms=np.array([0.083, 0.25]),
+                                                     ids=np.array(['1m', '3m']),
+                                                     strikes=np.linspace(0.9, 1.1, 3))
+        model_prices, vols = logsv_pricer.compute_chain_prices_with_vols(option_chain=option_chain, params=params)
+        print(model_prices)
+        print(vols)
+
+    elif unit_test == UnitTests.PLOT_MODEL_IMPLIED_VOLS:
+        # define uniform option chain
+        option_chain = OptionChain.get_uniform_chain(ttms=np.array([0.083, 0.25]),
+                                                     ids=np.array(['1m', '3m']),
+                                                     strikes=np.linspace(0.5, 1.5, 21))
+        logsv_pricer.plot_model_ivols(option_chain=option_chain,
+                                      params=params)
+
+    elif unit_test == UnitTests.PLOT_MODEL_VOLS_IN_PARAMS:
+
+        # define uniform option chain
+        option_chain = OptionChain.get_uniform_chain(ttms=np.array([0.083, 0.25]),
+                                                     ids=np.array(['1m', '3m']),
+                                                     strikes=np.linspace(0.5, 1.5, 21))
+
+        # define parameters for bootstrap
+        params_dict = {'kappa2=5': LogSvParams(sigma0=1.0, theta=1.0, kappa1=5.0, kappa2=5.0, beta=0.2, volvol=2.0),
+                       'kappa2=10': LogSvParams(sigma0=1.0, theta=1.0, kappa1=5.0, kappa2=10.0, beta=0.2, volvol=2.0)}
+
+        # get slice for illustration
+        option_slice = option_chain.get_slice(id='1m')
+        logsv_pricer.plot_model_slices_in_params(option_slice=option_slice,
+                                                 params_dict=params_dict)
+
+    elif unit_test == UnitTests.COMPARE_MODEL_VOLS_TO_MC:
+        btc_option_chain = sv.get_btc_test_chain_data()
+        uniform_chain_data = OptionChain.to_uniform_strikes(obj=btc_option_chain, num_strikes=31)
+        btc_calibrated_params = LogSvParams(sigma0=0.8327, theta=1.0139, kappa1=4.8609, kappa2=4.7940, beta=0.1988, volvol=2.3694)
+
+        logsv_pricer.plot_model_ivols_vs_mc(option_chain=uniform_chain_data,
+                                            params=btc_calibrated_params,
+                                            nb_path=100000)
+
+        logsv_pricer.plot_comp_mma_inverse_options_with_mc(option_chain=uniform_chain_data,
+                                                           params=btc_calibrated_params,
+                                                           nb_path=100000)
+
+    elif unit_test == UnitTests.PLOT_FIT_TO_BITCOIN_OPTION_CHAIN:
+
+        btc_option_chain = sv.get_btc_test_chain_data()
+        btc_calibrated_params = LogSvParams(sigma0=0.8327, theta=1.0139, kappa1=4.8609, kappa2=4.7940, beta=0.1988, volvol=2.3694)
+        logsv_pricer.plot_model_ivols_vs_bid_ask(option_chain=btc_option_chain,
+                                                 params=btc_calibrated_params)
+
+    elif unit_test == UnitTests.CALIBRATE_MODEL_TO_BTC_OPTIONS:
+        btc_option_chain = sv.get_btc_test_chain_data()
+        params0 = LogSvParams(sigma0=0.8, theta=1.0, kappa1=2.21, kappa2=2.18, beta=0.15, volvol=2.0)
+        btc_calibrated_params = logsv_pricer.calibrate_model_params_to_chain(option_chain=btc_option_chain,
+                                                                             params0=params0,
+                                                                             model_calibration_type=LogsvModelCalibrationType.PARAMS4,
+
+                                                                             constraints_type=sv.ConstraintsType.INVERSE_MARTINGALE)
+        print(btc_calibrated_params)
+        logsv_pricer.plot_model_ivols_vs_bid_ask(option_chain=btc_option_chain,
+                                                 params=btc_calibrated_params)
+    plt.show()
+
+
+if __name__ == '__main__':
+
+    unit_test = UnitTests.COMPARE_MODEL_VOLS_TO_MC
+
+    is_run_all_tests = False
+    if is_run_all_tests:
+        for unit_test in UnitTests:
+            run_unit_test(unit_test=unit_test)
+    else:
+        run_unit_test(unit_test=unit_test)

stochvolmodels-1.0.18/examples/run_pricing_options_on_qvar.py

@@ -0,0 +1,51 @@
+"""
+run valuation for options on quadratic variance
+"""
+import numpy as np
+import matplotlib.pyplot as plt
+import qis as qis
+import stochvolmodels.data.test_option_chain as chains
+from numba.typed import List
+from stochvolmodels import (LogSVPricer, LogSvParams, compute_analytic_qvar, OptionChain,
+                            VariableType, HestonPricer, HestonParams)
+
+# these params are calibrated to the same BTC option chain
+# v0=theta=1 to have flat vol term structure
+LOGSV_BTC_PARAMS = LogSvParams(sigma0=1.0, theta=1.0, kappa1=3.1844, kappa2=3.058, beta=0.1514, volvol=1.8458)
+BTC_HESTON_PARAMS = HestonParams(v0=1.0, theta=1.0, kappa=7.4565, rho=0.0919, volvol=4.0907)
+
+ttms = {'1w': 1.0 / 52.0, '1m': 1.0 / 12.0, '3m': 0.25, '6m': 0.5}
+
+# get test strikes for qv
+option_chain = chains.get_qv_options_test_chain_data()
+option_chain = OptionChain.get_slices_as_chain(option_chain, ids=list(ttms.keys()))
+
+# compute forwards using QV model
+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}")
+# replace forwards to imply BSM vols
+option_chain.forwards = forwards
+# adjust strikes
+option_chain.strikes_ttms = List(forward * strikes_ttm for forward, strikes_ttm in
+                                 zip(option_chain.forwards, option_chain.strikes_ttms))
+
+nb_path = 200000
+
+# run log sv pricer
+logsv_pricer = LogSVPricer()
+fig1 = logsv_pricer.plot_model_ivols_vs_mc(option_chain=option_chain,
+                                           params=LOGSV_BTC_PARAMS,
+                                           variable_type=VariableType.Q_VAR,
+                                           nb_path=nb_path)
+qis.set_suptitle(fig1, title='Implied variance skew by Log-Normal SV model')
+
+# run Heston prices
+heston_pricer = HestonPricer()
+fig2 = heston_pricer.plot_model_ivols_vs_mc(option_chain=option_chain,
+                                            params=BTC_HESTON_PARAMS,
+                                            variable_type=VariableType.Q_VAR,
+                                            nb_path=nb_path)
+qis.set_suptitle(fig2, title='Implied variance skew by Heston SV model')
+
+
+plt.show()

stochvolmodels-1.0.18/my_papers/il_hedging/README.md

@@ -0,0 +1,10 @@
+This module contains analysis for paper
+[Unified Approach for Hedging Impermanent Loss of Liquidity Provision](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4887298) 
+by Artur Sepp, Alexander Lipton, and Vladimir Lucic
+
+All figures in the paper are produced by unittests in
+https://github.com/ArturSepp/StochVolModels/blob/main/my_papers/il_hedging/logsv_figures.py
+
+https://github.com/ArturSepp/StochVolModels/blob/main/my_papers/il_hedging/logsv_figures.py
+
+See the description of data and analysis in the paper.

stochvolmodels-1.0.18/my_papers/il_hedging/logsv_figures.py

@@ -0,0 +1,61 @@
+"""
+run few unit test to illustrate implementation of log-normal sv model analytics
+"""
+
+import numpy as np
+import matplotlib.pyplot as plt
+import seaborn as sns
+from enum import Enum
+
+from stochvolmodels import LogSVPricer, LogSvParams, OptionChain
+
+
+def plot_skews():
+    logsv_pricer = LogSVPricer()
+    option_chain = OptionChain.get_uniform_chain(ttms=np.array([14.0/365.0]),
+                                                 ids=np.array(['2w']),
+                                                 strikes=np.linspace(0.6, 1.4, 21))
+
+    # define parameters for bootstrap
+    sigma0 = 0.5
+    params_dict = {'beta=-1': LogSvParams(sigma0=sigma0, theta=sigma0, kappa1=5.0, kappa2=5.0, beta=-1, volvol=1.0),
+                   'beta=0': LogSvParams(sigma0=sigma0, theta=sigma0, kappa1=5.0, kappa2=5.0, beta=0.0, volvol=1.4),
+                   'beta=1': LogSvParams(sigma0=sigma0, theta=sigma0, kappa1=5.0, kappa2=5.0, beta=1.0, volvol=1.0)}
+
+    params_dict = {
+        'volvol=1.0': LogSvParams(sigma0=sigma0, theta=sigma0, kappa1=2.21, kappa2=2.18, beta=0.0, volvol=1.0),
+        'volvol=2.0': LogSvParams(sigma0=sigma0 - 0.005, theta=sigma0 - 0.005, kappa1=2.21, kappa2=2.18, beta=0.0,
+                                  volvol=2.0),
+        'volvol=3.0': LogSvParams(sigma0=sigma0 - 0.01, theta=sigma0 - 0.01, kappa1=2.21, kappa2=2.18, beta=0.0,
+                                  volvol=3.0)}
+
+    # get slice for illustration
+    option_slice = option_chain.get_slice(id='2w')
+    logsv_pricer.plot_model_slices_in_params(option_slice=option_slice,
+                                             params_dict=params_dict)
+
+
+class UnitTests(Enum):
+    PLOT_SKEWS = 1
+
+
+def run_unit_test(unit_test: UnitTests):
+
+    if unit_test == UnitTests.PLOT_SKEWS:
+        with sns.axes_style("darkgrid"):
+            fig, axs = plt.subplots(3, 1, figsize=(10, 7))
+        plot_skews()
+
+    plt.show()
+
+
+if __name__ == '__main__':
+
+    unit_test = UnitTests.PLOT_SKEWS
+
+    is_run_all_tests = False
+    if is_run_all_tests:
+        for unit_test in UnitTests:
+            run_unit_test(unit_test=unit_test)
+    else:
+        run_unit_test(unit_test=unit_test)