stochvolmodels 1.0.19__tar.gz → 1.0.21__tar.gz

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: stochvolmodels
-Version: 1.0.19
+Version: 1.0.21
 Summary: Implementation of stochastic volatility models for option pricing
 Home-page: https://github.com/ArturSepp/StochVolModels
 License: LICENSE.txt
@@ -9,7 +9,7 @@ Author: Artur Sepp
 Author-email: artursepp@gmail.com
 Maintainer: Artur Sepp
 Maintainer-email: artursepp@gmail.com
-Requires-Python: >=3.8,<3.11
+Requires-Python: >=3.8
 Classifier: Development Status :: 4 - Beta
 Classifier: Environment :: Console
 Classifier: Intended Audience :: Financial and Insurance Industry
@@ -22,6 +22,9 @@ Classifier: Programming Language :: Python :: 3
 Classifier: Programming Language :: Python :: 3.8
 Classifier: Programming Language :: Python :: 3.9
 Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
 Classifier: Programming Language :: Python :: 3 :: Only
 Classifier: Topic :: Office/Business :: Financial :: Investment
 Requires-Dist: matplotlib (>=3.5.2)

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "stochvolmodels"
-version = "1.0.19"
+version = "1.0.21"
 description = "Implementation of stochastic volatility models for option pricing"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]
@@ -23,6 +23,7 @@ classifiers=[
         "Programming Language :: Python :: 3 :: Only",
         "Topic :: Office/Business :: Financial :: Investment",
     ]
+
 packages = [ {include = "stochvolmodels"}]
 
 exclude = ["stochvolmodel/my_papers/"]
@@ -32,7 +33,7 @@ exclude = ["stochvolmodel/my_papers/"]
 "Personal website" = "https://artursepp.com"
 
 [tool.poetry.dependencies]
-python = ">=3.8,<3.11"
+python = ">=3.8"
 numba = ">=0.55"
 numpy = ">=1.22.4"
 scipy = ">=1.3"

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/__init__.py

@@ -104,10 +104,10 @@ from stochvolmodels.pricers.heston_pricer import (
 from stochvolmodels.pricers.logsv_pricer import (
     LOGSV_BTC_PARAMS,
     LogSVPricer,
-    LogSvParams,
     LogsvModelCalibrationType,
     ConstraintsType
 )
+from stochvolmodels.pricers.logsv.logsv_params import LogSvParams
 
 from stochvolmodels.pricers.gmm_pricer import (
     GmmParams,

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/data/option_chain.py

@@ -10,9 +10,12 @@ from __future__ import annotations
 import numpy as np
 from dataclasses import dataclass
 from typing import Tuple, Optional
+
+import pandas as pd
 from numba.typed import List
 
 import stochvolmodels.pricers.analytic.bsm as bsm
+from  stochvolmodels.utils.var_swap_pricer import compute_var_swap_strike
 
 
 @dataclass
@@ -227,6 +230,26 @@ class OptionChain:
                                    ask_prices=None if self.ask_prices is None else self.ask_prices[idx])
         return option_slice
 
+    def get_slice_varswap_strikes(self, floor_with_atm_vols: bool = True) -> pd.Series:
+        varswap_strikes = np.zeros_like(self.ttms)
+        vols_ttms = self.get_mid_vols()
+        for idx, ttm in enumerate(self.ttms):
+            mid_prices = bsm.compute_bsm_vanilla_slice_prices(ttm=ttm,
+                                                              forward=self.forwards[idx],
+                                                              strikes=self.strikes_ttms[idx],
+                                                              vols=vols_ttms[idx],
+                                                              optiontypes=self.optiontypes_ttms[idx])
+            strikes = self.strikes_ttms[idx]
+            puts_cond = self.optiontypes_ttms[idx] == 'P'
+            puts = pd.Series(mid_prices[puts_cond], index=strikes[puts_cond])
+            calls = pd.Series(mid_prices[puts_cond == False], index=strikes[puts_cond == False])
+            varswap_strikes[idx] = compute_var_swap_strike(puts=puts, calls=calls, forward=self.forwards[idx], ttm=ttm)
+
+        if floor_with_atm_vols:
+            varswap_strikes = np.maximum(self.get_chain_atm_vols(), varswap_strikes)
+
+        return pd.Series(varswap_strikes, index=self.ttms)
+
     @classmethod
     def get_slices_as_chain(cls, option_chain: OptionChain, ids: List[str]) -> OptionChain:
         """

stochvolmodels-1.0.21/stochvolmodels/examples/quick_run_lognormal_sv_pricer.py

@@ -0,0 +1,34 @@
+"""
+run few unit test to illustrate implementation of log-normal sv model analytics
+"""
+import numpy as np
+import matplotlib.pyplot as plt
+from stochvolmodels import LogSVPricer, LogSvParams, LogsvModelCalibrationType, ConstraintsType, get_btc_test_chain_data
+
+# 1. create instance of pricer
+logsv_pricer = LogSVPricer()
+
+# 2. define model params
+params = LogSvParams(sigma0=1.0, theta=1.0, kappa1=5.0, kappa2=5.0, beta=0.2, volvol=2.0)
+
+# 3. compute model prices for option slices
+model_prices, vols = logsv_pricer.price_slice(params=params,
+                                              ttm=0.25,
+                                              forward=1.0,
+                                              strikes=np.array([0.8, 0.9, 1.0, 1.1]),
+                                              optiontypes=np.array(['P', 'P', 'C', 'C']))
+print([f"{p:0.4f}, implied vol={v: 0.2%}" for p, v in zip(model_prices, vols)])
+
+# 4. calibrate model to test option chain data
+btc_option_chain = get_btc_test_chain_data()
+params0 = LogSvParams(sigma0=1.0, 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=ConstraintsType.INVERSE_MARTINGALE)
+print(btc_calibrated_params)
+
+# 5. plot model implied vols
+logsv_pricer.plot_model_ivols_vs_bid_ask(option_chain=btc_option_chain,
+                                         params=btc_calibrated_params)
+plt.show()

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/examples/run_lognormal_sv_pricer.py

@@ -90,7 +90,6 @@ def run_unit_test(unit_test: UnitTests):
                                                            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,
@@ -102,7 +101,6 @@ def run_unit_test(unit_test: UnitTests):
         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,
@@ -112,7 +110,7 @@ def run_unit_test(unit_test: UnitTests):
 
 if __name__ == '__main__':
 
-    unit_test = UnitTests.COMPARE_MODEL_VOLS_TO_MC
+    unit_test = UnitTests.COMPUTE_MODEL_PRICES
 
     is_run_all_tests = False
     if is_run_all_tests:

stochvolmodels-1.0.21/stochvolmodels/my_papers/forward_var/calibrate_forward_var.py

@@ -0,0 +1,115 @@
+# packages
+import numpy as np
+import pandas as pd
+import matplotlib.pyplot as plt
+from enum import Enum
+
+import qis
+
+# project
+import stochvolmodels as sv
+from stochvolmodels.pricers.logsv_pricer import LogSVPricer, LogsvModelCalibrationType
+from stochvolmodels.pricers.logsv.vol_moments_ode import fit_model_vol_backbone_to_varswaps
+from stochvolmodels import LogSvParams
+from stochvolmodels.utils.funcs import set_seed
+
+
+class UnitTests(Enum):
+    VARSWAP_FIT = 1
+    CALIBRATE_4PARAM_MODEL = 2
+    CALIBRATE_VARSWAP_PARAM_MODEL = 3
+    COMPARE_MODEL_VOLS_TO_MC = 4
+
+
+def run_unit_test(unit_test: UnitTests):
+
+    set_seed(24)
+
+    logsv_pricer = LogSVPricer()
+    option_chain = sv.get_btc_test_chain_data()
+
+    local_path = "C://Users//artur//OneDrive//My Papers//MyPresentations//Crypto Vols Tartu. Zurich. Aug 2022//figures//"
+
+    if unit_test == UnitTests.VARSWAP_FIT:
+        btc_log_params = LogSvParams(sigma0=0.7118361434192538, theta=0.7118361434192538,
+                                     kappa1=2.214702576955766, kappa2=2.18028273418397, beta=0.0,
+                                     volvol=0.921487415907961)
+        btc_log_params = LogSvParams(sigma0=0.88, theta=0.88,
+                                     kappa1=2.214702576955766, kappa2=2.18028273418397, beta=0.0,
+                                     volvol=0.921487415907961)
+
+        vars_swaps = option_chain.get_slice_varswap_strikes()
+        vars_swaps1 = pd.Series(np.square(option_chain.get_chain_atm_vols()), index=option_chain.ttms)
+        vars_swaps = np.maximum(vars_swaps, vars_swaps1)
+
+        vol_backbone = fit_model_vol_backbone_to_varswaps(log_sv_params=btc_log_params,
+                                                          varswap_strikes=vars_swaps,
+                                                          verbose=True)
+        btc_log_params.set_vol_backbone(vol_backbone=vol_backbone)
+
+        logsv_pricer = LogSVPricer()
+        logsv_pricer.plot_model_ivols_vs_bid_ask(option_chain=option_chain,
+                                                 params=btc_log_params)
+
+    elif unit_test == UnitTests.CALIBRATE_4PARAM_MODEL:
+        params0 = LogSvParams(sigma0=0.8, theta=1.0, kappa1=2.21, kappa2=2.18, beta=0.15, volvol=2.0)
+        fitted_params = LogSvParams(sigma0=0.8626, theta=1.0417, kappa1=2.21, kappa2=2.18, beta=0.13, volvol=1.6286)
+        btc_calibrated_params = fitted_params
+        """
+        btc_calibrated_params = logsv_pricer.calibrate_model_params_to_chain(option_chain=option_chain,
+                                                                             params0=params0,
+                                                                             model_calibration_type=LogsvModelCalibrationType.PARAMS4,
+                                                                             constraints_type=sv.ConstraintsType.INVERSE_MARTINGALE)
+        """
+        print(btc_calibrated_params)
+        fig = logsv_pricer.plot_model_ivols_vs_bid_ask(option_chain=option_chain,
+                                                       params=btc_calibrated_params)
+        qis.save_fig(fig=fig, file_name='four_param_model_fit', local_path=local_path)
+
+    elif unit_test == UnitTests.CALIBRATE_VARSWAP_PARAM_MODEL:
+        params0 = LogSvParams(sigma0=0.85, theta=0.85, kappa1=2.21, kappa2=2.18, beta=0.15, volvol=1.5)
+        fitted_params = LogSvParams(sigma0=0.85, theta=1.0, kappa1=2.21, kappa2=2.18, beta=0.24, volvol=1.14)
+        btc_calibrated_params = logsv_pricer.calibrate_model_params_to_chain(
+            option_chain=option_chain,
+            params0=params0,
+            params_min=LogSvParams(sigma0=0.1, theta=0.1, kappa1=0.25, kappa2=0.25, beta=0.0, volvol=1.5),
+            model_calibration_type=LogsvModelCalibrationType.PARAMS_WITH_VARSWAP_FIT,
+            constraints_type=sv.ConstraintsType.INVERSE_MARTINGALE)
+        print(btc_calibrated_params)
+
+        fig = logsv_pricer.plot_model_ivols_vs_bid_ask(option_chain=option_chain,
+                                                       params=btc_calibrated_params)
+        qis.save_fig(fig=fig, file_name='backbone_model_fit', local_path=local_path)
+
+    elif unit_test == UnitTests.COMPARE_MODEL_VOLS_TO_MC:
+        uniform_chain_data = sv.OptionChain.to_uniform_strikes(obj=option_chain, num_strikes=31)
+        is_varswap = True
+        if is_varswap:
+            fitted_params = LogSvParams(sigma0=0.85, theta=.85, kappa1=2.21, kappa2=2.18, beta=0.24, volvol=1.14)
+            varswap_strikes = option_chain.get_slice_varswap_strikes(floor_with_atm_vols=True)
+            fitted_params.set_vol_backbone(vol_backbone=fit_model_vol_backbone_to_varswaps(log_sv_params=fitted_params,
+                                                                                           varswap_strikes=varswap_strikes))
+        else:
+            fitted_params = LogSvParams(sigma0=0.8626, theta=1.0417, kappa1=2.21, kappa2=2.18, beta=0.13, volvol=1.6286)
+
+        logsv_pricer.plot_model_ivols_vs_mc(option_chain=uniform_chain_data,
+                                            params=fitted_params,
+                                            nb_path=100000)
+
+        logsv_pricer.plot_comp_mma_inverse_options_with_mc(option_chain=uniform_chain_data,
+                                                           params=fitted_params,
+                                                           nb_path=100000)
+
+    plt.show()
+
+
+if __name__ == '__main__':
+
+    unit_test = UnitTests.CALIBRATE_VARSWAP_PARAM_MODEL
+
+    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-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/calibrations.py

@@ -10,7 +10,8 @@ from enum import Enum
 
 from stochvolmodels.utils.config import VariableType
 from stochvolmodels.data.option_chain import OptionChain
-from stochvolmodels.pricers.logsv_pricer import LogSVPricer, LogsvModelCalibrationType, ConstraintsType, LogSvParams
+from stochvolmodels.pricers.logsv_pricer import LogSVPricer, LogsvModelCalibrationType, ConstraintsType
+from stochvolmodels import LogSvParams
 from stochvolmodels.pricers.logsv.vol_moments_ode import compute_analytic_qvar
 from stochvolmodels.utils.funcs import set_seed
 import stochvolmodels.utils.plots as plot
@@ -89,6 +90,7 @@ def calibrate_logsv_model(asset: Assets = Assets.BTC,
 
 
 class UnitTests(Enum):
+    CHAIN_DATA = 0
     CALIBRATION = 1
     MODEL_COMPARISION_WITH_MC = 2
     ALL_PARAMS_TABLE = 3
@@ -100,7 +102,13 @@ def run_unit_test(unit_test: UnitTests):
 
     set_seed(24)
 
-    if unit_test == UnitTests.CALIBRATION:
+    if unit_test == UnitTests.CHAIN_DATA:
+        option_chain = get_asset_chain_data(asset=Assets.BTC)
+        print(option_chain)
+        atm_vols = option_chain.get_chain_atm_vols()
+        print(atm_vols)
+
+    elif 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}")
@@ -180,7 +188,7 @@ def run_unit_test(unit_test: UnitTests):
 
 if __name__ == '__main__':
 
-    unit_test = UnitTests.PLOT_QVAR_FIGURE_FOR_ARTICLE
+    unit_test = UnitTests.CHAIN_DATA
 
     is_run_all_tests = False
     if is_run_all_tests:

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/model_fit_to_options_timeseries.py

@@ -184,6 +184,7 @@ def run_unit_test(unit_test: UnitTests):
 
     # chain data here
     options_data_dfs = OptionsDataDFs(**ts_data_loader_wrapper(ticker=ticker))
+    options_data_dfs.get_start_end_date().print()
     chain = create_chain_from_from_options_dfs(options_data_dfs=options_data_dfs, value_time=value_time)
 
     option_chain = generate_vol_chain_np(chain=chain,
@@ -217,25 +218,25 @@ def run_unit_test(unit_test: UnitTests):
         qis.save_figs_to_pdf(figs=figs_dict, file_name='btc_calibration', local_path=f"C://Users//artur//OneDrive//analytics//outputs//")
 
     elif unit_test == UnitTests.RUN_CALIBRATION_TIMESERIES:
-        time_period = qis.TimePeriod('01Jan2023', '31Jan2023', tz='UTC')
-        time_period = qis.TimePeriod('2019-03-30 00:00:00+00:00', '2023-09-01 00:00:00+00:00', tz='UTC')
+        time_period = qis.TimePeriod('2019-03-30 00:00:00+00:00', '2024-05-06 00:00:00+00:00', tz='UTC')
 
         output_df, figs_dict = run_calibration_time_series(options_data_dfs=options_data_dfs, time_period=time_period,
                                                            freq='W-FRI',
                                                            **kappas)
         print(output_df)
 
-        file_name = 'eth_calibration_w_fri'
+        file_name = 'btc_calibration_w_fri_may_2024'
         qis.save_df_to_excel(data=output_df, file_name=file_name, local_path=f"C://Users//artur//OneDrive//analytics//outputs//",
                              add_current_date=True)
         qis.save_figs_to_pdf(figs=figs_dict, file_name=file_name, local_path=f"C://Users//artur//OneDrive//analytics//outputs//")
 
     elif unit_test == UnitTests.REPORT_CALIBRATION_TIMESERIES:
-
-        df = qis.load_df_from_excel(file_name='btc_calibration_w_fri_20231209_1504', local_path=f"C://Users//artur//OneDrive//analytics//resources//")
+        # df = qis.load_df_from_excel(file_name='btc_calibration_w_fri_20231209_1504', local_path=f"C://Users//artur//OneDrive//analytics//resources//")
         # df = qis.load_df_from_excel(file_name='eth_calibration_w_fri_20231210_1124', local_path=f"C://Users//artur//OneDrive//analytics//resources//")
+        df = qis.load_df_from_excel(file_name='btc_calibration_w_fri_may_2024_20241018_1147', local_path=f"C://Users//artur//OneDrive//analytics//resources//")
+
         fig = report_calibration_timeseries(df=df)
-        qis.save_fig(fig=fig, file_name='btc_calibration_w', local_path=f"C://Users//artur//OneDrive//My Papers//Working Papers//LogNormal Stochastic Volatility. London. Oct 2013//figures//")
+        qis.save_fig(fig=fig, file_name='btc_calibration_w', local_path=f"C://Users//artur//OneDrive//analytics//outputs//")
 
     plt.show()
 

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/moments_vol_qvar.py

@@ -14,7 +14,8 @@ from enum import Enum
 import stochvolmodels.pricers.logsv.vol_moments_ode as vmo
 import stochvolmodels.utils.plots as plot
 from stochvolmodels.utils.funcs import set_seed
-from stochvolmodels.pricers.logsv_pricer import LogSVPricer, LogSvParams
+from stochvolmodels.pricers.logsv_pricer import LogSVPricer
+from stochvolmodels import LogSvParams
 
 VOLVOL = 1.5
 SIGMA0P = 1.5

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/ode_sol_in_time.py

@@ -16,7 +16,7 @@ from typing import Tuple, List
 
 import stochvolmodels.utils.plots as plot
 from stochvolmodels.pricers.logsv.affine_expansion import solve_ode_for_a, ExpansionOrder, func_a_ode_quadratic_terms, get_expansion_n
-from stochvolmodels.pricers.logsv_pricer import LogSvParams
+from stochvolmodels import LogSvParams
 
 
 def plot_ode_sol_in_t(params: LogSvParams,

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/steady_state_pdf.py

@@ -13,7 +13,7 @@ from numba import njit
 from enum import Enum
 from typing import Dict
 
-from stochvolmodels.pricers.logsv_pricer import LogSvParams
+from stochvolmodels import LogSvParams
 import stochvolmodels.utils.plots as plot
 
 VOLVOL = 1.5

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/vol_drift.py

@@ -11,7 +11,7 @@ from typing import Dict, List
 from enum import Enum
 
 import stochvolmodels.utils.plots as plot
-from stochvolmodels.pricers.logsv_pricer import LogSvParams
+from stochvolmodels import LogSvParams
 
 VOLVOL = 1.75
 

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/my_papers/volatility_models/article_figures.py

@@ -8,7 +8,7 @@ from typing import Dict, List
 from enum import Enum
 
 # package
-from stochvolmodels.pricers.logsv_pricer import LogSvParams
+from stochvolmodels import LogSvParams
 from stochvolmodels.utils.funcs import set_seed
 
 # project

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/my_papers/volatility_models/autocorr_fit.py

@@ -8,7 +8,8 @@ from enum import Enum
 
 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.pricers.logsv_pricer import LogSVPricer
+from stochvolmodels import LogSvParams
 from stochvolmodels.utils.funcs import set_seed
 
 

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/pricers/heston_pricer.py

@@ -412,7 +412,7 @@ def run_unit_test(unit_test: UnitTests):
 
     elif unit_test == UnitTests.MC_COMPARISION_QVAR:
         from stochvolmodels.pricers.logsv.vol_moments_ode import compute_analytic_qvar
-        from stochvolmodels.pricers.logsv_pricer import LogSvParams
+        from stochvolmodels import LogSvParams
         heston_pricer = HestonPricer()
         ttms = {'1m': 1.0/12.0, '6m': 0.5}
         option_chain = chains.get_qv_options_test_chain_data()

{stochvolmodels-1.0.19 → stochvolmodels-1.0.21}/stochvolmodels/pricers/logsv/affine_expansion.py

@@ -36,7 +36,8 @@ def func_a_ode_quadratic_terms(theta: float,
                                phi: np.complex128,
                                psi: np.complex128,
                                is_spot_measure: bool = True,
-                               expansion_order: ExpansionOrder = ExpansionOrder.FIRST
+                               expansion_order: ExpansionOrder = ExpansionOrder.FIRST,
+                               vol_backbone_eta: float = 1.0
                                ) -> Tuple[np.ndarray, np.ndarray, np.ndarray]:
     """
     Matrices for the quadratic form A_t = A.T@M@A + L@A + H
@@ -45,14 +46,15 @@ def func_a_ode_quadratic_terms(theta: float,
     vartheta2 = beta * beta + volvol * volvol
     qv = theta * vartheta2
     qv2 = theta2 * vartheta2
+    vol_backbone_eta2 = vol_backbone_eta * vol_backbone_eta
     if is_spot_measure:
         lamda = 0
         kappa2_p = kappa2
         kappa_p = kappa1 + kappa2 * theta
     else:
-        lamda = beta*theta2
-        kappa2_p = kappa2-beta
-        kappa_p = kappa1 + kappa2 * theta - 2*beta*theta
+        lamda = beta*theta2*vol_backbone_eta
+        kappa2_p = kappa2-beta*vol_backbone_eta
+        kappa_p = kappa1 + kappa2 * theta - 2*beta*theta*vol_backbone_eta
 
     # fill Ms: M should be of same type as L and H for numba, eventhough they are real
     # utilize that M is symmetric
@@ -83,15 +85,15 @@ def func_a_ode_quadratic_terms(theta: float,
 
     # fills Ls
     L = np.zeros((n, n), dtype=np.complex128)
-    L[0, 1], L[0, 2] = lamda - theta2 * beta * phi, qv2
-    L[1, 1], L[1, 2] = -kappa_p - 2.0 * theta * beta * phi, 2.0 * (lamda + qv - theta2 * beta * phi)
-    L[2, 1], L[2, 2] = -kappa2_p - beta * phi, vartheta2 - 2.0 * kappa_p - 4.0 * theta * beta * phi
+    L[0, 1], L[0, 2] = lamda - theta2 * beta * vol_backbone_eta * phi, qv2
+    L[1, 1], L[1, 2] = -kappa_p - 2.0 * theta * beta * vol_backbone_eta * phi, 2.0 * (lamda + qv - theta2 * beta * vol_backbone_eta * phi)
+    L[2, 1], L[2, 2] = -kappa2_p - beta * vol_backbone_eta * phi, vartheta2 - 2.0 * kappa_p - 4.0 * theta * beta * vol_backbone_eta * phi
 
     if expansion_order == ExpansionOrder.SECOND:
         L[1, 3] = 3.0*qv2
-        L[2, 3], L[2, 4] = 3.0 * (2.0 * qv - theta2 * beta * phi), 6.0 * qv2
-        L[3, 2], L[3, 3], L[3, 4] = -2.0 * (kappa2_p + beta * phi), 3.0 * (vartheta2 - kappa_p - 2.0 * theta * beta * phi), 4.0 * (3.0 * qv - theta2 * beta * phi)
-        L[4, 3], L[4, 4] = -3.0 * (kappa2_p + beta * phi), 2.0 * (vartheta2 - 2.0 * kappa_p - 4.0 * theta * beta * phi)
+        L[2, 3], L[2, 4] = 3.0 * (2.0 * qv - theta2 * beta * vol_backbone_eta * phi), 6.0 * qv2
+        L[3, 2], L[3, 3], L[3, 4] = -2.0 * (kappa2_p + beta * vol_backbone_eta * phi), 3.0 * (vartheta2 - kappa_p - 2.0 * theta * beta * vol_backbone_eta * phi), 4.0 * (3.0 * qv - theta2 * beta * vol_backbone_eta * phi)
+        L[4, 3], L[4, 4] = -3.0 * (kappa2_p + beta * vol_backbone_eta * phi), 2.0 * (vartheta2 - 2.0 * kappa_p - 4.0 * theta * beta * vol_backbone_eta * phi)
 
     # fill Hs
     H = np.zeros(n, dtype=np.complex128)
@@ -99,7 +101,7 @@ def func_a_ode_quadratic_terms(theta: float,
         rhs = (phi * (phi + 1.0) - 2.0 * psi)
     else:
         rhs = (phi * (phi - 1.0) - 2.0 * psi)
-    H[0], H[1], H[2] = 0.5 * theta2 * rhs, theta * rhs, 0.5 * rhs
+    H[0], H[1], H[2] = 0.5*theta2 * vol_backbone_eta2 * rhs, theta * vol_backbone_eta2 * rhs, 0.5*vol_backbone_eta2 * rhs
 
     return M, L, H
 
@@ -153,7 +155,8 @@ def solve_ode_for_a(ttm: float,
                     a_t0: Optional[np.ndarray] = None,
                     expansion_order: ExpansionOrder = ExpansionOrder.FIRST,
                     is_stiff_solver: bool = False,
-                    dense_output: bool = False
+                    dense_output: bool = False,
+                    vol_backbone_eta: float = 1.0
                     ) -> OdeResult:
     """
     solve ode for given phi
@@ -167,7 +170,8 @@ def solve_ode_for_a(ttm: float,
                                          phi=phi,
                                          psi=psi,
                                          expansion_order=expansion_order,
-                                         is_spot_measure=is_spot_measure)
+                                         is_spot_measure=is_spot_measure,
+                                         vol_backbone_eta=vol_backbone_eta)
 
     if a_t0 is None:
         a_t0 = np.zeros_like(H, dtype=np.complex128)
@@ -361,7 +365,8 @@ def solve_a_ode_grid(phi_grid: np.ndarray,
                      is_spot_measure: bool = True,
                      a_t0: Optional[np.ndarray] = None,
                      is_stiff_solver: bool = False,
-                     expansion_order: ExpansionOrder = ExpansionOrder.FIRST
+                     expansion_order: ExpansionOrder = ExpansionOrder.FIRST,
+                     vol_backbone_eta: float = 1.0
                      ) -> np.ndarray:
     """
     solve ode for range phi
@@ -382,7 +387,8 @@ def solve_a_ode_grid(phi_grid: np.ndarray,
                                               is_stiff_solver=is_stiff_solver,
                                               dense_output=False,
                                               expansion_order=expansion_order,
-                                              is_spot_measure=is_spot_measure)
+                                              is_spot_measure=is_spot_measure,
+                                              vol_backbone_eta=vol_backbone_eta)
 
     a_t1 = np.zeros((phi_grid.shape[0], get_expansion_n(expansion_order)), dtype=np.complex128)
     for idx, (phi, psi) in enumerate(zip(phi_grid, psi_grid)):
@@ -429,6 +435,7 @@ def compute_logsv_a_mgf_grid(ttm: float,
                              is_stiff_solver: bool = False,
                              is_analytic: bool = False,
                              is_spot_measure: bool = True,
+                             vol_backbone_eta: float = 1.0,
                              **kwargs
                              ) -> Tuple[np.ndarray, np.ndarray]:
     """
@@ -471,7 +478,8 @@ def compute_logsv_a_mgf_grid(ttm: float,
                                 a_t0=a_t0,
                                 is_stiff_solver=is_stiff_solver,
                                 expansion_order=expansion_order,
-                                is_spot_measure=is_spot_measure)
+                                is_spot_measure=is_spot_measure,
+                                vol_backbone_eta=vol_backbone_eta)
 
     y = sigma0 - theta
     if expansion_order == ExpansionOrder.FIRST: