stochvolmodels 1.0.18__tar.gz → 1.0.19__tar.gz

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: stochvolmodels
-Version: 1.0.18
+Version: 1.0.19
 Summary: Implementation of stochastic volatility models for option pricing
 Home-page: https://github.com/ArturSepp/StochVolModels
 License: LICENSE.txt

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "stochvolmodels"
-version = "1.0.18"
+version = "1.0.19"
 description = "Implementation of stochastic volatility models for option pricing"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]
@@ -23,7 +23,9 @@ classifiers=[
         "Programming Language :: Python :: 3 :: Only",
         "Topic :: Office/Business :: Financial :: Investment",
     ]
-packages = [ {include = "stochvolmodels"}, {include = "my_papers"}, {include = "examples"} ]
+packages = [ {include = "stochvolmodels"}]
+
+exclude = ["stochvolmodel/my_papers/"]
 
 [tool.poetry.urls]
 "Issues" = "https://github.com/ArturSepp/StochVolModels/issues"

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19}/stochvolmodels/__init__.py

@@ -123,12 +123,6 @@ from stochvolmodels.pricers.tdist_pricer import (
 
 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,

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19}/stochvolmodels/data/option_chain.py

@@ -246,7 +246,7 @@ class OptionChain:
                                bid_prices=None if option_chain.bid_prices is None else List([option_chain.bid_prices[idx]]),
                                ask_prices=None if option_chain.ask_prices is None else List([option_chain.ask_prices[idx]]))
         else:
-            indices = np.in1d(option_chain.ids, ids).nonzero()[0]
+            indices = np.isin(option_chain.ids, ids).nonzero()[0]
             option_chain = cls(ids=ids,
                                ttms=option_chain.ttms[indices],
                                ticker=option_chain.ticker,

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/il_hedging/README.md

@@ -3,8 +3,6 @@ This module contains analysis for paper
 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
+https://github.com/ArturSepp/StochVolModels/blob/main/my_papers/il_hedging/run_logsv_for_il_payoff.py
 
 See the description of data and analysis in the paper.

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/logsv_model_wtih_quadratic_drift/article_figures.py

@@ -1,10 +1,14 @@
-
+"""
+figures for paper
+https://www.worldscientific.com/doi/10.1142/S0219024924500031
+Log-Normal Stochastic Volatility Model With Quadratic Drift
+"""
 import string
 import pandas as pd
 import numpy as np
 import matplotlib.pyplot as plt
 import seaborn as sns
-import qis
+import qis as qis
 from typing import Tuple
 from numba.typed import List
 from enum import Enum
@@ -22,10 +26,10 @@ from stochvolmodels.utils.funcs import set_seed, compute_histogram_data
 import stochvolmodels.utils.plots as plot
 
 # implementations for paper
-import my_papers.logsv_model_wtih_quadratic_drift.steady_state_pdf as ssp
-import my_papers.logsv_model_wtih_quadratic_drift.moments_vol_qvar as mvq
-import my_papers.logsv_model_wtih_quadratic_drift.ode_sol_in_time as osi
-from my_papers.logsv_model_wtih_quadratic_drift.model_fit_to_options_timeseries import report_calibration_timeseries
+import stochvolmodels.my_papers.logsv_model_wtih_quadratic_drift as mvq
+import stochvolmodels.my_papers.logsv_model_wtih_quadratic_drift.steady_state_pdf as ssp
+import stochvolmodels.my_papers.logsv_model_wtih_quadratic_drift.ode_sol_in_time as osi
+from stochvolmodels.my_papers.logsv_model_wtih_quadratic_drift.model_fit_to_options_timeseries import report_calibration_timeseries
 
 
 def plot_fitted_model(option_chain: OptionChain,

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/logsv_model_wtih_quadratic_drift/calibrations.py

@@ -103,7 +103,7 @@ def run_unit_test(unit_test: UnitTests):
     if unit_test == UnitTests.CALIBRATION:
         asset = Assets.BTC
         fig = calibrate_logsv_model(asset=asset)
-        plot.save_fig(fig=fig, local_path='../../docs/figures//', file_name=f"calibration_{asset.value}")
+        plot.save_fig(fig=fig, local_path='../../../docs/figures//', file_name=f"calibration_{asset.value}")
 
     elif unit_test == UnitTests.MODEL_COMPARISION_WITH_MC:
 
@@ -143,8 +143,8 @@ def run_unit_test(unit_test: UnitTests):
 
         is_save = False
         if is_save:
-            plot.save_fig(fig=fig1, local_path='../../docs/figures//', file_name="btc_fit")
-            plot.save_fig(fig=fig2, local_path='../../docs/figures//', file_name="btc_mc_comp")
+            plot.save_fig(fig=fig1, local_path='../../../docs/figures//', file_name="btc_fit")
+            plot.save_fig(fig=fig2, local_path='../../../docs/figures//', file_name="btc_mc_comp")
 
     elif unit_test == UnitTests.PLOT_QVAR_FIGURE_FOR_ARTICLE:
 
@@ -170,7 +170,7 @@ def run_unit_test(unit_test: UnitTests):
                                                                  nb_path=100000)
         is_save = False
         if is_save:
-            plot.save_fig(fig=fig, local_path='../../docs/figures//', file_name="model_vs_mc_qvar_logsv")
+            plot.save_fig(fig=fig, local_path='../../../docs/figures//', file_name="model_vs_mc_qvar_logsv")
 
     else:
         raise NotImplementedError(f"not implemented {unit_test}")

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/logsv_model_wtih_quadratic_drift/compare_admis_reg.py

@@ -56,7 +56,7 @@ def lognormal_combined(vartheta_min=0.5,
         ax[i].legend()
         ax[i].set(xlabel=r"$\vartheta$", ylabel=r"$\beta$")
 
-    plot.save_fig(fig=fig, local_path='../../docs/figures//',
+    plot.save_fig(fig=fig, local_path='../../../docs/figures//',
                   file_name='logsv_regions')
 
 
@@ -101,7 +101,7 @@ def heston_exp_ou_combined(vartheta_min=0.5,
     ax[1].set(xlabel=r"$\vartheta$", ylabel=r"$\rho$")
     ax[1].set_title(f"(B) Exp-OU model")
 
-    plot.save_fig(fig=fig, local_path='../../docs/figures//',
+    plot.save_fig(fig=fig, local_path='../../../docs/figures//',
                   file_name='heston_exp_ou_combined')
 
 

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/logsv_model_wtih_quadratic_drift/model_fit_to_options_timeseries.py

@@ -11,8 +11,11 @@ from typing import Dict, Tuple, Any, Optional
 from enum import Enum
 
 # analytics
-from stochvolmodels import (OptionChain, LogSvParams, LogSVPricer, ConstraintsType, LogsvModelCalibrationType,
-                            generate_vol_chain_np, sample_option_chain_at_times)
+from stochvolmodels.data.fetch_option_chain import (generate_vol_chain_np,
+                                                    load_option_chain,
+                                                    sample_option_chain_at_times,
+                                                    load_price_data)
+from stochvolmodels import (OptionChain, LogSvParams, LogSVPricer, ConstraintsType, LogsvModelCalibrationType)
 
 # chain data
 from option_chain_analytics import OptionsDataDFs, create_chain_from_from_options_dfs

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/logsv_model_wtih_quadratic_drift/moments_vol_qvar.py

@@ -194,7 +194,7 @@ def run_unit_test(unit_test: UnitTests):
 
         is_save = True
         if is_save:
-            plot.save_fig(fig=fig, local_path='../../docs/figures//', file_name='vol_qvar_exp')
+            plot.save_fig(fig=fig, local_path='../../../docs/figures//', file_name='vol_qvar_exp')
 
     elif unit_test == UnitTests.JOINT_VOL_MOMENTS_VS_MC_FIGURE:
         params = LogSvParams(sigma0=1.5, theta=1.0, kappa1=4.0, kappa2=4.0, beta=0.0, volvol=1.0)
@@ -212,7 +212,7 @@ def run_unit_test(unit_test: UnitTests):
 
         is_save = False
         if is_save:
-            plot.save_fig(fig=fig, local_path='../../docs/figures//', file_name='vol_moments')
+            plot.save_fig(fig=fig, local_path='../../../docs/figures//', file_name='vol_moments')
 
     elif unit_test == UnitTests.SINGLE_QVAR_FIGURE:
         with sns.axes_style('darkgrid'):
@@ -222,7 +222,7 @@ def run_unit_test(unit_test: UnitTests):
 
         is_save = False
         if is_save:
-            plot.save_fig(fig=fig, local_path='../../docs/figures//', file_name='qvar_exp')
+            plot.save_fig(fig=fig, local_path='../../../docs/figures//', file_name='qvar_exp')
 
     plt.show()
 

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/logsv_model_wtih_quadratic_drift/ode_sol_in_time.py

@@ -281,13 +281,13 @@ def run_unit_test(unit_test: UnitTests):
         fig = plot_ode_solutions(params=params, ttm=ttm, expansion_order=ExpansionOrder.FIRST,
                                  is_spot_measure=is_spot_measure)
         if is_save:
-            plot.save_fig(fig=fig, local_path='../../docs/figures//', file_name="first_order_fig")
+            plot.save_fig(fig=fig, local_path='../../../docs/figures//', file_name="first_order_fig")
 
     elif unit_test == UnitTests.SECOND_ORDER:
         fig = plot_ode_solutions(params=params, ttm=ttm, expansion_order=ExpansionOrder.SECOND,
                                  is_spot_measure=is_spot_measure)
         if is_save:
-            plot.save_fig(fig=fig, local_path='../../docs/figures//', file_name="second_order_fig")
+            plot.save_fig(fig=fig, local_path='../../../docs/figures//', file_name="second_order_fig")
 
     elif unit_test == UnitTests.APPROXIMATION:
         plot_approximate_solutions(phi=-0.5 + 1j,

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/logsv_model_wtih_quadratic_drift/steady_state_pdf.py

@@ -234,7 +234,7 @@ def run_unit_test(unit_test: UnitTests):
 
             is_save = True
             if is_save:
-                plot.save_fig(fig=fig, local_path='../../docs/figures//', file_name='vol_steady_state')
+                plot.save_fig(fig=fig, local_path='../../../docs/figures//', file_name='vol_steady_state')
 
     plt.show()
 

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/logsv_model_wtih_quadratic_drift/vol_drift.py

@@ -64,7 +64,7 @@ def run_unit_test(unit_test: UnitTests):
         is_save = False
         if is_save:
             plot.save_fig(fig=fig,
-                          local_path='../../docs/figures//',
+                          local_path='../../../docs/figures//',
                           file_name='vol_drift')
 
     plt.show()

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/volatility_models/article_figures.py

@@ -12,10 +12,10 @@ from stochvolmodels.pricers.logsv_pricer import LogSvParams
 from stochvolmodels.utils.funcs import set_seed
 
 # project
-from my_papers.volatility_models.load_data import fetch_ohlc_vol
-import my_papers.volatility_models.ss_distribution_fit as ssd
-from my_papers.volatility_models.vol_beta import estimate_vol_beta
-from my_papers.volatility_models.autocorr_fit import autocorr_fit_report_logsv
+from stochvolmodels.my_papers.volatility_models.load_data import fetch_ohlc_vol
+import stochvolmodels.my_papers.volatility_models.ss_distribution_fit as ssd
+from stochvolmodels.my_papers.volatility_models.vol_beta import estimate_vol_beta
+from stochvolmodels.my_papers.volatility_models.autocorr_fit import autocorr_fit_report_logsv
 
 KWARGS = dict(fontsize=14)
 FIGSIZE = (18, 8)

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/volatility_models/autocorr_fit.py

@@ -6,8 +6,8 @@ from typing import Tuple
 from scipy.optimize import minimize
 from enum import Enum
 
-import my_papers.volatility_models.ss_distribution_fit as ssd
-from my_papers.volatility_models.load_data import fetch_ohlc_vol
+import stochvolmodels.my_papers.volatility_models.ss_distribution_fit as ssd
+from stochvolmodels.my_papers.volatility_models.load_data import fetch_ohlc_vol
 from stochvolmodels.pricers.logsv_pricer import LogSvParams, LogSVPricer
 from stochvolmodels.utils.funcs import set_seed
 

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/volatility_models/ss_distribution_fit.py

@@ -9,7 +9,7 @@ from typing import Optional
 from enum import Enum
 import qis
 
-from my_papers.volatility_models.load_data import fetch_ohlc_vol
+from stochvolmodels.my_papers.volatility_models.load_data import fetch_ohlc_vol
 from stochvolmodels import LogSvParams, HestonParams
 
 

{stochvolmodels-1.0.18 → stochvolmodels-1.0.19/stochvolmodels}/my_papers/volatility_models/vol_beta.py

@@ -1,11 +1,10 @@
-import numpy as np
 import pandas as pd
 import matplotlib.pyplot as plt
 import seaborn as sns
 from enum import Enum
 import qis
 
-from my_papers.volatility_models.load_data import fetch_ohlc_vol
+from stochvolmodels.my_papers.volatility_models.load_data import fetch_ohlc_vol
 
 
 def estimate_vol_beta(vol: pd.Series,