stochvolmodels 1.0.29__tar.gz → 1.1.1__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.
- stochvolmodels-1.1.1/.gitignore +133 -0
- stochvolmodels-1.1.1/MANIFEST.in +40 -0
- stochvolmodels-1.1.1/PKG-INFO +1041 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/README.md +25 -3
- stochvolmodels-1.1.1/my_papers/forward_var/calibrate_forward_var.py +115 -0
- stochvolmodels-1.1.1/my_papers/il_hedging/README.md +8 -0
- stochvolmodels-1.1.1/my_papers/il_hedging/logsv_figures.py +61 -0
- stochvolmodels-1.1.1/my_papers/il_hedging/run_logsv_for_il_payoff.py +150 -0
- stochvolmodels-1.1.1/my_papers/inverse_options/README.md +10 -0
- stochvolmodels-1.1.1/my_papers/inverse_options/compare_net_delta.py +168 -0
- stochvolmodels-1.1.1/my_papers/logsv_model_wtih_quadratic_drift/README.md +15 -0
- stochvolmodels-1.1.1/my_papers/logsv_model_wtih_quadratic_drift/article_figures.py +325 -0
- stochvolmodels-1.1.1/my_papers/logsv_model_wtih_quadratic_drift/calibrations.py +198 -0
- stochvolmodels-1.1.1/my_papers/logsv_model_wtih_quadratic_drift/compare_admis_reg.py +128 -0
- stochvolmodels-1.1.1/my_papers/logsv_model_wtih_quadratic_drift/model_fit_to_options_timeseries.py +251 -0
- stochvolmodels-1.1.1/my_papers/logsv_model_wtih_quadratic_drift/moments_vol_qvar.py +240 -0
- stochvolmodels-1.1.1/my_papers/logsv_model_wtih_quadratic_drift/ode_sol_in_time.py +308 -0
- stochvolmodels-1.1.1/my_papers/logsv_model_wtih_quadratic_drift/steady_state_pdf.py +251 -0
- stochvolmodels-1.1.1/my_papers/logsv_model_wtih_quadratic_drift/vol_drift.py +82 -0
- stochvolmodels-1.1.1/my_papers/risk_premia_gmm/check_kernel.py +20 -0
- stochvolmodels-1.1.1/my_papers/risk_premia_gmm/gmm_slides.py +501 -0
- stochvolmodels-1.1.1/my_papers/risk_premia_gmm/plot_gmm.py +60 -0
- stochvolmodels-1.1.1/my_papers/risk_premia_gmm/q_kernel.py +53 -0
- stochvolmodels-1.1.1/my_papers/risk_premia_gmm/run_gmm_fit.py +41 -0
- stochvolmodels-1.1.1/my_papers/sv_for_factor_hjm/README.md +16 -0
- stochvolmodels-1.1.1/my_papers/sv_for_factor_hjm/calibration_fig_5_6_7.py +451 -0
- stochvolmodels-1.1.1/my_papers/sv_for_factor_hjm/calibration_fig_8_9.py +586 -0
- stochvolmodels-1.1.1/my_papers/t_distribution/illustrations.py +197 -0
- stochvolmodels-1.1.1/my_papers/t_distribution/market_data_fit.py +66 -0
- stochvolmodels-1.1.1/my_papers/t_distribution/mc_pricer_with_kernel.py +97 -0
- stochvolmodels-1.1.1/my_papers/volatility_models/README.md +10 -0
- stochvolmodels-1.1.1/my_papers/volatility_models/article_figures.py +229 -0
- stochvolmodels-1.1.1/my_papers/volatility_models/autocorr_fit.py +236 -0
- stochvolmodels-1.1.1/my_papers/volatility_models/load_data.py +64 -0
- stochvolmodels-1.1.1/my_papers/volatility_models/ss_distribution_fit.py +327 -0
- stochvolmodels-1.1.1/my_papers/volatility_models/vol_beta.py +60 -0
- stochvolmodels-1.1.1/pyproject.toml +279 -0
- stochvolmodels-1.1.1/requirements.txt +0 -0
- stochvolmodels-1.1.1/setup.cfg +4 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/__init__.py +3 -1
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/data/fetch_option_chain.py +1 -1
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/examples/run_lognormal_sv_pricer.py +114 -5
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/analytic/tdist.py +2 -2
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/logsv/logsv_params.py +14 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/logsv/vol_moments_ode.py +3 -3
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/logsv_pricer.py +118 -6
- stochvolmodels-1.1.1/stochvolmodels/pricers/rough_logsv/RoughKernel.py +1210 -0
- stochvolmodels-1.1.1/stochvolmodels/pricers/rough_logsv/split_simulation.py +159 -0
- stochvolmodels-1.1.1/stochvolmodels.egg-info/PKG-INFO +1041 -0
- stochvolmodels-1.1.1/stochvolmodels.egg-info/SOURCES.txt +89 -0
- stochvolmodels-1.1.1/stochvolmodels.egg-info/dependency_links.txt +1 -0
- stochvolmodels-1.1.1/stochvolmodels.egg-info/requires.txt +51 -0
- stochvolmodels-1.1.1/stochvolmodels.egg-info/top_level.txt +1 -0
- stochvolmodels-1.0.29/PKG-INFO +0 -308
- stochvolmodels-1.0.29/pyproject.toml +0 -46
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/LICENSE.txt +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/data/__init__.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/data/option_chain.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/data/test_option_chain.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/examples/quick_run_lognormal_sv_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/examples/run_heston.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/examples/run_heston_sv_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/examples/run_pricing_options_on_qvar.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/__init__.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/analytic/__init__.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/analytic/bachelier.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/analytic/bsm.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/factor_hjm/double_exp_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/factor_hjm/factor_hjm_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/factor_hjm/rate_affine_expansion.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/factor_hjm/rate_core.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/factor_hjm/rate_evaluate.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/factor_hjm/rate_factor_basis.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/factor_hjm/rate_logsv_ivols.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/factor_hjm/rate_logsv_params.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/factor_hjm/rate_logsv_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/gmm_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/hawkes_jd_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/heston_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/logsv/__init__.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/logsv/affine_expansion.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/model_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/pricers/tdist_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/tests/__init__.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/tests/bsm_mgf_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/tests/qv_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/utils/__init__.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/utils/config.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/utils/funcs.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/utils/mc_payoffs.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/utils/mgf_pricer.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/utils/plots.py +0 -0
- {stochvolmodels-1.0.29 → stochvolmodels-1.1.1}/stochvolmodels/utils/var_swap_pricer.py +0 -0
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