stochvolmodels 1.0.27__tar.gz → 1.0.28__tar.gz

{stochvolmodels-1.0.27 → stochvolmodels-1.0.28}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: stochvolmodels
-Version: 1.0.27
+Version: 1.0.28
 Summary: Implementation of stochastic volatility models for option pricing
 License: LICENSE.txt
 Keywords: volatility,options,Black-Scholes,Heston,Monte-Carlo

{stochvolmodels-1.0.27 → stochvolmodels-1.0.28}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "stochvolmodels"
-version = "1.0.27"
+version = "1.0.28"
 description = "Implementation of stochastic volatility models for option pricing"
 license = "LICENSE.txt"
 authors = ["Artur Sepp <artursepp@gmail.com>"]

{stochvolmodels-1.0.27 → stochvolmodels-1.0.28}/stochvolmodels/__init__.py

@@ -159,3 +159,5 @@ from stochvolmodels.utils.plots import (
 
 
 from stochvolmodels.pricers.logsv.vol_moments_ode import compute_analytic_qvar
+
+from stochvolmodels.data.option_chain import generate_vol_chain_np

stochvolmodels-1.0.28/stochvolmodels/data/fetch_option_chain.py

@@ -0,0 +1,174 @@
+"""
+this module is using option-chain-analytics package
+to fetch OptionChain data with options data
+see https://pypi.org/project/option-chain-analytics
+"""
+
+import pandas as pd
+import numpy as np
+import matplotlib.pyplot as plt
+from qis import TimePeriod
+from typing import Dict, Tuple, Optional, Literal
+from numba.typed import List
+from enum import Enum
+import qis as qis
+# chain
+from option_chain_analytics import OptionsDataDFs, create_chain_from_from_options_dfs
+from option_chain_analytics.option_chain import SliceColumn, SlicesChain
+# analytics
+from stochvolmodels.data.option_chain import OptionChain
+
+
+def generate_vol_chain_np(chain: SlicesChain,
+                          value_time: pd.Timestamp,
+                          days_map: Dict[str, int] = {'1w': 7, '1m': 21},
+                          delta_bounds: Tuple[Optional[float], Optional[float]] = (-0.1, 0.1),
+                          is_filtered: bool = True
+                          ) -> OptionChain:
+    """
+    given SlicesChain generate OptionChain for calibration inputs
+    """
+
+    ttms, future_prices, discfactors = List(), List(), List()
+    optiontypes_ttms, strikes_ttms = List(), List()
+    bid_ivs, ask_ivs = List(), List()
+    bid_prices, ask_prices = List(), List()
+    slice_ids = []
+    for label, day in days_map.items():
+        next_date = value_time + pd.DateOffset(days=day)  # if overlapping next date will be last avilable maturity
+        slice_date = chain.get_next_slice_after_date(mat_date=next_date)
+        slice_t = chain.expiry_slices[slice_date]
+        df = slice_t.get_joint_slice(delta_bounds=delta_bounds, is_filtered=is_filtered)
+        if not df.empty:
+            slice_ids.append(f"{label}: {slice_t.expiry_id}")
+            ttms.append(slice_t.get_ttm())
+            future_prices.append(slice_t.get_future_price())
+            discfactors.append(1.0)
+            strikes_ttms.append(df.index.to_numpy())
+            optiontypes_ttms.append(df[SliceColumn.OPTION_TYPE].to_numpy(dtype=str))
+            bid_ivs.append(df[SliceColumn.BID_IV].to_numpy())
+            ask_ivs.append(df[SliceColumn.ASK_IV].to_numpy())
+            bid_prices.append(df[SliceColumn.BID_PRICE].to_numpy())
+            ask_prices.append(df[SliceColumn.ASK_PRICE].to_numpy())
+
+    out = OptionChain(ttms=np.array(ttms),
+                      forwards=np.array(future_prices),
+                      discfactors=np.array(discfactors),
+                      ids=np.array(slice_ids),
+                      strikes_ttms=strikes_ttms,
+                      optiontypes_ttms=optiontypes_ttms,
+                      bid_ivs=bid_ivs,
+                      ask_ivs=ask_ivs,
+                      bid_prices=bid_prices,
+                      ask_prices=ask_prices)
+    return out
+
+
+def load_option_chain(options_data_dfs: OptionsDataDFs,
+                      value_time: pd.Timestamp = pd.Timestamp('2023-02-06 08:00:00+00:00'),
+                      days_map: Dict[str, int] = {'1w': 7, '1m': 21},
+                      delta_bounds: Tuple[Optional[float], Optional[float]] = (-0.1, 0.1),
+                      is_filtered: bool = True
+                      ) -> Optional[OptionChain]:
+    chain = create_chain_from_from_options_dfs(options_data_dfs=options_data_dfs, value_time=value_time)
+    if chain is not None:
+        option_chain = generate_vol_chain_np(chain=chain,
+                                             value_time=value_time,
+                                             days_map=days_map,
+                                             delta_bounds=delta_bounds,
+                                             is_filtered=is_filtered)
+    else:
+        option_chain = None
+
+    return option_chain
+
+
+def sample_option_chain_at_times(options_data_dfs: OptionsDataDFs,
+                                 time_period: TimePeriod,
+                                 freq: str = 'W-FRI',
+                                 days_map: Dict[str, int] = {'1w': 7, '1m': 21},
+                                 delta_bounds: Tuple[Optional[float], Optional[float]] = (-0.1, 0.1),
+                                 hour_offset: int = 8
+                                 ) -> Dict[pd.Timestamp, OptionChain]:
+    value_times = qis.generate_dates_schedule(time_period=time_period,
+                                              freq=freq,
+                                              hour_offset=hour_offset)
+    option_chains = {}
+    for value_time in value_times:
+        option_chains[value_time] = load_option_chain(options_data_dfs=options_data_dfs,
+                                                      value_time=value_time,
+                                                      days_map=days_map,
+                                                      delta_bounds=delta_bounds,
+                                                      is_filtered=True)
+    return option_chains
+
+
+def load_price_data(options_data_dfs: OptionsDataDFs,
+                    time_period: TimePeriod = None,
+                    data: Literal['spot', 'perp', 'funding_rate'] = 'spot',
+                    freq: Optional[str] = 'D'  # to do
+                    ) -> pd.Series:
+    #options_data_dfs = OptionsDataDFs(**ts_data_loader_wrapper(ticker=ticker, freq='D', hour_offset=8))
+    spot_price = options_data_dfs.get_spot_data()[data]
+    if freq is not None:
+        spot_price = spot_price.resample(freq).last()
+    if time_period is not None:
+        spot_price = time_period.locate(spot_price)
+    return spot_price
+
+
+class UnitTests(Enum):
+    PRINT_CHAIN_DATA = 1
+    GENERATE_VOL_CHAIN_NP = 2
+    SAMPLE_CHAIN_AT_TIMES = 3
+
+
+def run_unit_test(unit_test: UnitTests):
+
+    ticker = 'BTC'  # BTC, ETH
+    value_time = pd.Timestamp('2021-10-21 08:00:00+00:00')
+    value_time = pd.Timestamp('2023-10-06 08:00:00+00:00')
+
+    from option_chain_analytics.ts_loaders import ts_data_loader_wrapper
+    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)
+
+    if unit_test == UnitTests.PRINT_CHAIN_DATA:
+        for expiry, eslice in chain.expiry_slices.items():
+            eslice.print()
+
+    elif unit_test == UnitTests.GENERATE_VOL_CHAIN_NP:
+        option_chain = generate_vol_chain_np(chain=chain,
+                                             value_time=value_time,
+                                             days_map={'1w': 7},
+                                             delta_bounds=(-0.1, 0.1),
+                                             is_filtered=True)
+        option_chain.print()
+        skews = option_chain.get_chain_skews(delta=0.35)
+        print(skews)
+
+    elif unit_test == UnitTests.SAMPLE_CHAIN_AT_TIMES:
+        time_period = qis.TimePeriod('01Jan2023', '31Jan2023', tz='UTC')
+        option_chains = sample_option_chain_at_times(options_data_dfs=options_data_dfs,
+                                                     time_period=time_period,
+                                                     freq='W-FRI',
+                                                     hour_offset=9
+                                                     )
+        for key, chain in option_chains.items():
+            print(f"{key}")
+            print(chain)
+
+    plt.show()
+
+
+if __name__ == '__main__':
+
+    unit_test = UnitTests.SAMPLE_CHAIN_AT_TIMES
+
+    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-1.0.27 → stochvolmodels-1.0.28}/stochvolmodels/examples/run_lognormal_sv_pricer.py

@@ -97,17 +97,6 @@ def run_unit_test(unit_test: UnitTests):
         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)
-
     elif unit_test == UnitTests.MC_WITH_FIXED_RANDOMS:
         btc_option_chain = sv.get_btc_test_chain_data()
         W0s, W1s, dts = sv.get_randoms_for_chain_valuation(ttms=btc_option_chain.ttms,
@@ -138,6 +127,17 @@ def run_unit_test(unit_test: UnitTests):
         option_prices_ttm, option_std_ttm = sv.logsv_mc_chain_pricer_fixed_randoms(**args)
         print(option_prices_ttm)
 
+    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)
+
     elif unit_test == UnitTests.CALIBRATE_MODEL_TO_BTC_OPTIONS_WITH_MC:
         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)
@@ -157,7 +157,7 @@ def run_unit_test(unit_test: UnitTests):
 
 if __name__ == '__main__':
 
-    unit_test = UnitTests.CALIBRATE_MODEL_TO_BTC_OPTIONS_WITH_MC
+    unit_test = UnitTests.CALIBRATE_MODEL_TO_BTC_OPTIONS
 
     is_run_all_tests = False
     if is_run_all_tests:

{stochvolmodels-1.0.27 → stochvolmodels-1.0.28}/stochvolmodels/pricers/logsv_pricer.py

@@ -204,8 +204,8 @@ class LogSVPricer(ModelPricer):
                                                                                         volvol=params.volvol,
                                                                                         vol_backbone_etas=params.get_vol_backbone_etas(ttms=option_chain.ttms))
                 model_vols = option_chain.compute_model_ivols_from_chain_data(model_prices=option_prices_ttm)
-                print(f"option_prices_ttm\n{option_prices_ttm}")
-                print(f"model_vols\n{model_vols}")
+                # print(f"option_prices_ttm\n{option_prices_ttm}")
+                # print(f"model_vols\n{model_vols}")
 
             else:
                 raise NotImplementedError(f"{calibration_engine}")