stochvolmodels 1.0.22__tar.gz → 1.0.24__tar.gz

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  1. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/PKG-INFO +9 -3
  2. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/README.md +7 -0
  3. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/pyproject.toml +1 -1
  4. stochvolmodels-1.0.24/stochvolmodels/data/option_chain.py +657 -0
  5. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/analytic/bachelier.py +14 -3
  6. stochvolmodels-1.0.24/stochvolmodels/pricers/factor_hjm/double_exp_pricer.py +93 -0
  7. stochvolmodels-1.0.24/stochvolmodels/pricers/factor_hjm/factor_hjm_pricer.py +186 -0
  8. stochvolmodels-1.0.24/stochvolmodels/pricers/factor_hjm/rate_affine_expansion.py +340 -0
  9. stochvolmodels-1.0.24/stochvolmodels/pricers/factor_hjm/rate_core.py +188 -0
  10. stochvolmodels-1.0.24/stochvolmodels/pricers/factor_hjm/rate_evaluate.py +118 -0
  11. stochvolmodels-1.0.24/stochvolmodels/pricers/factor_hjm/rate_factor_basis.py +404 -0
  12. stochvolmodels-1.0.24/stochvolmodels/pricers/factor_hjm/rate_logsv_ivols.py +215 -0
  13. stochvolmodels-1.0.24/stochvolmodels/pricers/factor_hjm/rate_logsv_params.py +580 -0
  14. stochvolmodels-1.0.24/stochvolmodels/pricers/factor_hjm/rate_logsv_pricer.py +1305 -0
  15. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/gmm_pricer.py +2 -2
  16. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/logsv/affine_expansion.py +1 -0
  17. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/model_pricer.py +3 -4
  18. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/tdist_pricer.py +2 -2
  19. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/utils/plots.py +8 -1
  20. stochvolmodels-1.0.22/stochvolmodels/data/option_chain.py +0 -300
  21. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/LICENSE.txt +0 -0
  22. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/__init__.py +0 -0
  23. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/data/__init__.py +0 -0
  24. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/data/fetch_option_chain.py +0 -0
  25. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/data/test_option_chain.py +0 -0
  26. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/examples/quick_run_lognormal_sv_pricer.py +0 -0
  27. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/examples/run_gmm_fit.py +0 -0
  28. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/examples/run_heston.py +0 -0
  29. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/examples/run_heston_sv_pricer.py +0 -0
  30. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/examples/run_lognormal_sv_pricer.py +0 -0
  31. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/examples/run_pricing_options_on_qvar.py +0 -0
  32. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/__init__.py +0 -0
  33. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/analytic/__init__.py +0 -0
  34. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/analytic/bsm.py +0 -0
  35. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/analytic/tdist.py +0 -0
  36. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/hawkes_jd_pricer.py +0 -0
  37. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/heston_pricer.py +0 -0
  38. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/logsv/__init__.py +0 -0
  39. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/logsv/logsv_params.py +0 -0
  40. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/logsv/vol_moments_ode.py +0 -0
  41. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/pricers/logsv_pricer.py +0 -0
  42. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/tests/__init__.py +0 -0
  43. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/tests/bsm_mgf_pricer.py +0 -0
  44. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/tests/qv_pricer.py +0 -0
  45. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/utils/__init__.py +0 -0
  46. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/utils/config.py +0 -0
  47. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/utils/funcs.py +0 -0
  48. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/utils/mc_payoffs.py +0 -0
  49. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/utils/mgf_pricer.py +0 -0
  50. {stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/stochvolmodels/utils/var_swap_pricer.py +0 -0
{stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/PKG-INFO RENAMED
@@ -1,8 +1,7 @@
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- Metadata-Version: 2.1
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+ Metadata-Version: 2.3
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  Name: stochvolmodels
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- Version: 1.0.22
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+ Version: 1.0.24
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  Summary: Implementation of stochastic volatility models for option pricing
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- Home-page: https://github.com/ArturSepp/StochVolModels
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  License: LICENSE.txt
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  Keywords: volatility,options,Black-Scholes,Heston,Monte-Carlo
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  Author: Artur Sepp
@@ -288,3 +287,10 @@ SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4887298
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  stochvolmodels/my_papers/il_hedging
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  ```
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+ 5) "Stochastic Volatility for Factor Heath-Jarrow-Morton Framework" by Artur Sepp and Parviz Rakhmonov, SSRN:
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+ https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4646925
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+ ```python
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+ stochvolmodels/my_papers/sv_for_factor_hjm
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+ ```
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+
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{stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/README.md RENAMED
@@ -245,3 +245,10 @@ SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4887298
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  ```python
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  stochvolmodels/my_papers/il_hedging
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  ```
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+
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+ 5) "Stochastic Volatility for Factor Heath-Jarrow-Morton Framework" by Artur Sepp and Parviz Rakhmonov, SSRN:
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+ https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4646925
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+ ```python
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+ stochvolmodels/my_papers/sv_for_factor_hjm
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+ ```
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{stochvolmodels-1.0.22 → stochvolmodels-1.0.24}/pyproject.toml RENAMED
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  [tool.poetry]
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  name = "stochvolmodels"
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- version = "1.0.22"
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+ version = "1.0.24"
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  description = "Implementation of stochastic volatility models for option pricing"
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  license = "LICENSE.txt"
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  authors = ["Artur Sepp <artursepp@gmail.com>"]