stochvolmodels 1.0.21__tar.gz → 1.0.23__tar.gz

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (78) hide show
  1. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/PKG-INFO +8 -1
  2. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/README.md +7 -0
  3. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/pyproject.toml +1 -1
  4. stochvolmodels-1.0.23/stochvolmodels/data/option_chain.py +657 -0
  5. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/analytic/bachelier.py +14 -3
  6. stochvolmodels-1.0.23/stochvolmodels/pricers/factor_hjm/double_exp_pricer.py +93 -0
  7. stochvolmodels-1.0.23/stochvolmodels/pricers/factor_hjm/factor_hjm_pricer.py +186 -0
  8. stochvolmodels-1.0.23/stochvolmodels/pricers/factor_hjm/rate_affine_expansion.py +340 -0
  9. stochvolmodels-1.0.23/stochvolmodels/pricers/factor_hjm/rate_core.py +188 -0
  10. stochvolmodels-1.0.23/stochvolmodels/pricers/factor_hjm/rate_evaluate.py +118 -0
  11. stochvolmodels-1.0.23/stochvolmodels/pricers/factor_hjm/rate_factor_basis.py +404 -0
  12. stochvolmodels-1.0.23/stochvolmodels/pricers/factor_hjm/rate_logsv_ivols.py +215 -0
  13. stochvolmodels-1.0.23/stochvolmodels/pricers/factor_hjm/rate_logsv_params.py +580 -0
  14. stochvolmodels-1.0.23/stochvolmodels/pricers/factor_hjm/rate_logsv_pricer.py +1305 -0
  15. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/logsv/affine_expansion.py +1 -0
  16. stochvolmodels-1.0.21/stochvolmodels/data/option_chain.py +0 -300
  17. stochvolmodels-1.0.21/stochvolmodels/my_papers/forward_var/calibrate_forward_var.py +0 -115
  18. stochvolmodels-1.0.21/stochvolmodels/my_papers/il_hedging/README.md +0 -8
  19. stochvolmodels-1.0.21/stochvolmodels/my_papers/il_hedging/logsv_figures.py +0 -61
  20. stochvolmodels-1.0.21/stochvolmodels/my_papers/il_hedging/run_logsv_for_il_payoff.py +0 -150
  21. stochvolmodels-1.0.21/stochvolmodels/my_papers/inverse_options/README.md +0 -10
  22. stochvolmodels-1.0.21/stochvolmodels/my_papers/inverse_options/compare_net_delta.py +0 -168
  23. stochvolmodels-1.0.21/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/README.md +0 -13
  24. stochvolmodels-1.0.21/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/article_figures.py +0 -325
  25. stochvolmodels-1.0.21/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/calibrations.py +0 -198
  26. stochvolmodels-1.0.21/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/compare_admis_reg.py +0 -128
  27. stochvolmodels-1.0.21/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/model_fit_to_options_timeseries.py +0 -253
  28. stochvolmodels-1.0.21/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/moments_vol_qvar.py +0 -240
  29. stochvolmodels-1.0.21/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/ode_sol_in_time.py +0 -308
  30. stochvolmodels-1.0.21/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/steady_state_pdf.py +0 -251
  31. stochvolmodels-1.0.21/stochvolmodels/my_papers/logsv_model_wtih_quadratic_drift/vol_drift.py +0 -82
  32. stochvolmodels-1.0.21/stochvolmodels/my_papers/risk_premia/check_kernel.py +0 -20
  33. stochvolmodels-1.0.21/stochvolmodels/my_papers/risk_premia/gmm_slides.py +0 -501
  34. stochvolmodels-1.0.21/stochvolmodels/my_papers/risk_premia/q_kernel.py +0 -53
  35. stochvolmodels-1.0.21/stochvolmodels/my_papers/t_distribution/illustrations.py +0 -197
  36. stochvolmodels-1.0.21/stochvolmodels/my_papers/t_distribution/market_data_fit.py +0 -66
  37. stochvolmodels-1.0.21/stochvolmodels/my_papers/t_distribution/mc_pricer_with_kernel.py +0 -97
  38. stochvolmodels-1.0.21/stochvolmodels/my_papers/volatility_models/README.md +0 -10
  39. stochvolmodels-1.0.21/stochvolmodels/my_papers/volatility_models/article_figures.py +0 -216
  40. stochvolmodels-1.0.21/stochvolmodels/my_papers/volatility_models/autocorr_fit.py +0 -236
  41. stochvolmodels-1.0.21/stochvolmodels/my_papers/volatility_models/load_data.py +0 -64
  42. stochvolmodels-1.0.21/stochvolmodels/my_papers/volatility_models/ss_distribution_fit.py +0 -327
  43. stochvolmodels-1.0.21/stochvolmodels/my_papers/volatility_models/vol_beta.py +0 -60
  44. stochvolmodels-1.0.21/stochvolmodels/utils/__init__.py +0 -0
  45. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/LICENSE.txt +0 -0
  46. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/__init__.py +0 -0
  47. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/data/__init__.py +0 -0
  48. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/data/fetch_option_chain.py +0 -0
  49. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/data/test_option_chain.py +0 -0
  50. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/examples/quick_run_lognormal_sv_pricer.py +0 -0
  51. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/examples/run_gmm_fit.py +0 -0
  52. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/examples/run_heston.py +0 -0
  53. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/examples/run_heston_sv_pricer.py +0 -0
  54. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/examples/run_lognormal_sv_pricer.py +0 -0
  55. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/examples/run_pricing_options_on_qvar.py +0 -0
  56. {stochvolmodels-1.0.21/stochvolmodels/my_papers → stochvolmodels-1.0.23/stochvolmodels/pricers}/__init__.py +0 -0
  57. {stochvolmodels-1.0.21/stochvolmodels/pricers → stochvolmodels-1.0.23/stochvolmodels/pricers/analytic}/__init__.py +0 -0
  58. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/analytic/bsm.py +0 -0
  59. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/analytic/tdist.py +0 -0
  60. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/gmm_pricer.py +0 -0
  61. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/hawkes_jd_pricer.py +0 -0
  62. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/heston_pricer.py +0 -0
  63. {stochvolmodels-1.0.21/stochvolmodels/pricers/analytic → stochvolmodels-1.0.23/stochvolmodels/pricers/logsv}/__init__.py +0 -0
  64. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/logsv/logsv_params.py +0 -0
  65. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/logsv/vol_moments_ode.py +0 -0
  66. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/logsv_pricer.py +0 -0
  67. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/model_pricer.py +0 -0
  68. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/pricers/tdist_pricer.py +0 -0
  69. {stochvolmodels-1.0.21/stochvolmodels/pricers/logsv → stochvolmodels-1.0.23/stochvolmodels/tests}/__init__.py +0 -0
  70. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/tests/bsm_mgf_pricer.py +0 -0
  71. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/tests/qv_pricer.py +0 -0
  72. {stochvolmodels-1.0.21/stochvolmodels/tests → stochvolmodels-1.0.23/stochvolmodels/utils}/__init__.py +0 -0
  73. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/utils/config.py +0 -0
  74. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/utils/funcs.py +0 -0
  75. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/utils/mc_payoffs.py +0 -0
  76. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/utils/mgf_pricer.py +0 -0
  77. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/utils/plots.py +0 -0
  78. {stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/stochvolmodels/utils/var_swap_pricer.py +0 -0
{stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/PKG-INFO RENAMED
@@ -1,6 +1,6 @@
1
1
  Metadata-Version: 2.1
2
2
  Name: stochvolmodels
3
- Version: 1.0.21
3
+ Version: 1.0.23
4
4
  Summary: Implementation of stochastic volatility models for option pricing
5
5
  Home-page: https://github.com/ArturSepp/StochVolModels
6
6
  License: LICENSE.txt
@@ -288,3 +288,10 @@ SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4887298
288
288
  stochvolmodels/my_papers/il_hedging
289
289
  ```
290
290
 
291
+ 5) "Stochastic Volatility for Factor Heath-Jarrow-Morton Framework" by Artur Sepp and Parviz Rakhmonov, SSRN:
292
+ https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4646925
293
+ ```python
294
+ stochvolmodels/my_papers/sv_for_factor_hjm
295
+ ```
296
+
297
+
{stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/README.md RENAMED
@@ -245,3 +245,10 @@ SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4887298
245
245
  ```python
246
246
  stochvolmodels/my_papers/il_hedging
247
247
  ```
248
+
249
+ 5) "Stochastic Volatility for Factor Heath-Jarrow-Morton Framework" by Artur Sepp and Parviz Rakhmonov, SSRN:
250
+ https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4646925
251
+ ```python
252
+ stochvolmodels/my_papers/sv_for_factor_hjm
253
+ ```
254
+
{stochvolmodels-1.0.21 → stochvolmodels-1.0.23}/pyproject.toml RENAMED
@@ -1,6 +1,6 @@
1
1
  [tool.poetry]
2
2
  name = "stochvolmodels"
3
- version = "1.0.21"
3
+ version = "1.0.23"
4
4
  description = "Implementation of stochastic volatility models for option pricing"
5
5
  license = "LICENSE.txt"
6
6
  authors = ["Artur Sepp <artursepp@gmail.com>"]