stochvolmodels 1.1.1__tar.gz → 1.1.3__tar.gz

{stochvolmodels-1.1.1 → stochvolmodels-1.1.3}/.gitignore

@@ -131,3 +131,5 @@ dmypy.json
 
 # Pyre type checker
 .pyre/
+/resources
+/volatility_book

{stochvolmodels-1.1.1/stochvolmodels.egg-info → stochvolmodels-1.1.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: stochvolmodels
-Version: 1.1.1
+Version: 1.1.3
 Summary: Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston
 Author-email: Artur Sepp <artursepp@gmail.com>
 Maintainer-email: Artur Sepp <artursepp@gmail.com>, Parviz Rakhmonov <ParvizRZ@gmail.com>
@@ -779,7 +779,7 @@ Dynamic: license-file
 The StochVol package provides:
 1) Analytics for Black-Scholes and Normal vols
 2) Interfaces and implementation for stochastic volatility models,
-including log-normal SV model and Heston SV model 
+including Karasinski-Sepp log-normal SV model and Heston SV model 
 using analytical method with Fourier transform and Monte Carlo simulations
 3) Visualization of model implied volatilities
 
@@ -808,17 +808,18 @@ Close using
 git clone https://github.com/ArturSepp/StochVolModels.git
 ```
 
-Core dependencies:
-    python = ">=3.8",
-    numba = ">=0.56.4",
-    numpy = ">=1.22.4",
-    scipy = ">=1.10",
-    pandas = ">=2.2.0",
-    matplotlib = ">=3.2.2",
-    seaborn = ">=0.12.2"
+
+### Core Dependencies
+- `python >= 3.8`
+- `numba >= 0.56.4`
+- `numpy >= 1.22.4`
+- `scipy >= 1.10`
+- `pandas >= 2.2.0`
+- `matplotlib >= 3.2.2`
+- `seaborn >= 0.12.2`
 
 Optional dependencies:
-    qis ">=2.1.38" (for running code in my_papers)
+    qis ">=2.3.1" (for running code in my_papers)
 
 
 # Table of contents
@@ -846,7 +847,7 @@ The model interface is in stochvolmodels/pricers/model_pricer.py
 
 ### Log-normal stochastic volatility model <a name="logsv"></a>
 
-The analytics for the log-normal stochastic volatility model is based on the paper
+The analytics for Karasinki-Sepp log-normal stochastic volatility model is based on the paper
 
 [Log-normal Stochastic Volatility Model with Quadratic Drift](https://www.worldscientific.com/doi/10.1142/S0219024924500031) by Artur Sepp and Parviz Rakhmonov
 
@@ -1039,3 +1040,121 @@ https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4646925
 stochvolmodels/my_papers/sv_for_factor_hjm
 ```
 
+## Project Structure
+
+```
+StochVolModels/
+├── stochvolmodels/
+│   ├── pricers/
+│   │   ├── model_pricer.py         # Generic model interface
+│   │   ├── logsv_pricer.py         # Log-normal SV implementation  
+│   │   └── heston_pricer.py        # Heston SV implementation
+│   ├── data/
+│   │   └── option_chain.py         # Option chain data structures
+│   └── my_papers/                  # Research paper implementations
+│       ├── logsv_model_with_quadratic_drift/
+│       ├── volatility_models/
+│       ├── inverse_options/
+│       ├── il_hedging/
+│       └── sv_for_factor_hjm/
+├── examples/
+│   ├── run_lognormal_sv_pricer.py
+│   ├── run_heston_sv_pricer.py
+│   ├── run_heston.py
+│   └── plots_for_paper/
+└── README.md
+```
+
+## Contributing
+
+Contributions are welcome! Please feel free to submit a Pull Request. For major changes, please open an issue first to discuss what you would like to change.
+
+## License
+
+This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.
+
+## Citation
+
+If you use this package in your research, please cite the relevant papers:
+
+```bibtex
+@misc{sepp2024stochvolmodels,
+  title={StochVolModels: Python Implementation of Stochastic Volatility Models},
+  author={Sepp, Artur},
+  year={2024},
+  howpublished={\url{https://github.com/ArturSepp/StochVolModels}},
+  note={Python package for pricing analytics and Monte Carlo simulations}
+}
+
+@article{sepprakhmonov2023,
+title={Log-normal stochastic volatility model with quadratic drift},
+author={Sepp, Artur and Rakhmonov, Parviz},
+journal={International Journal of Theoretical and Applied Finance},
+volume={26},
+number={8},
+year={2023},
+url={https://www.worldscientific.com/doi/epdf/10.1142/S0219024924500031}
+}
+
+@article{sepprakhmonov2023b,
+title={What is a robust stochastic volatility model},
+author={Sepp, Artur and Rakhmonov, Parviz},
+year={2023},
+note={Working paper},
+url={http://ssrn.com/abstract=4647027}
+}
+
+@article{lucicsepp2024,
+title={Valuation and hedging of cryptocurrency inverse options},
+author={Lucic, Vladimir and Sepp, Artur},
+journal={Quantitative Finance},
+volume={24},
+number={7},
+pages={851--869},
+year={2024},
+url={https://www.tandfonline.com/doi/full/10.1080/14697688.2024.2364804}
+}
+
+@article{lucicsepp2024,
+title={Valuation and hedging of cryptocurrency inverse options},
+author={Lucic, Vladimir and Sepp, Artur},
+journal={Quantitative Finance},
+volume={24},
+number={7},
+pages={851--869},
+year={2024},
+url={https://www.tandfonline.com/doi/full/10.1080/14697688.2024.2364804}
+}
+
+@article{sepprakhmonov2024,
+title={Stochastic volatility for factor Heath-Jarrow-Morton framework},
+author={Sepp, Artur and Rakhmonov, Parviz},
+year={2025},
+journal={Review of Derivatives Research},
+note={Accepted},
+url={http://ssrn.com/abstract=4646925}
+}
+```
+
+## Acknowledgments
+
+Special thanks to co-authors and collaborators:
+- Parviz Rakhmonov  
+- Vladimir Lucic
+- Alexander Lipton
+
+For additional research and advanced analytics, see the companion modules and papers included in this package.
+
+## BibTeX Citations for StochVolModels (Stochastic Volatility Models) Package
+
+If you use StochVolModels in your research, please cite it as:
+
+```bibtex
+@software{stochvolmodels2024,
+  author={Sepp, Artur},
+  title={StochVolModels: Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models},
+  year={2024},
+  url={https://github.com/ArturSepp/StochVolModels},
+}
+```
+

{stochvolmodels-1.1.1 → stochvolmodels-1.1.3}/README.md

@@ -27,7 +27,7 @@
 The StochVol package provides:
 1) Analytics for Black-Scholes and Normal vols
 2) Interfaces and implementation for stochastic volatility models,
-including log-normal SV model and Heston SV model 
+including Karasinski-Sepp log-normal SV model and Heston SV model 
 using analytical method with Fourier transform and Monte Carlo simulations
 3) Visualization of model implied volatilities
 
@@ -56,17 +56,18 @@ Close using
 git clone https://github.com/ArturSepp/StochVolModels.git
 ```
 
-Core dependencies:
-    python = ">=3.8",
-    numba = ">=0.56.4",
-    numpy = ">=1.22.4",
-    scipy = ">=1.10",
-    pandas = ">=2.2.0",
-    matplotlib = ">=3.2.2",
-    seaborn = ">=0.12.2"
+
+### Core Dependencies
+- `python >= 3.8`
+- `numba >= 0.56.4`
+- `numpy >= 1.22.4`
+- `scipy >= 1.10`
+- `pandas >= 2.2.0`
+- `matplotlib >= 3.2.2`
+- `seaborn >= 0.12.2`
 
 Optional dependencies:
-    qis ">=2.1.38" (for running code in my_papers)
+    qis ">=2.3.1" (for running code in my_papers)
 
 
 # Table of contents
@@ -94,7 +95,7 @@ The model interface is in stochvolmodels/pricers/model_pricer.py
 
 ### Log-normal stochastic volatility model <a name="logsv"></a>
 
-The analytics for the log-normal stochastic volatility model is based on the paper
+The analytics for Karasinki-Sepp log-normal stochastic volatility model is based on the paper
 
 [Log-normal Stochastic Volatility Model with Quadratic Drift](https://www.worldscientific.com/doi/10.1142/S0219024924500031) by Artur Sepp and Parviz Rakhmonov
 
@@ -287,3 +288,121 @@ https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4646925
 stochvolmodels/my_papers/sv_for_factor_hjm
 ```
 
+## Project Structure
+
+```
+StochVolModels/
+├── stochvolmodels/
+│   ├── pricers/
+│   │   ├── model_pricer.py         # Generic model interface
+│   │   ├── logsv_pricer.py         # Log-normal SV implementation  
+│   │   └── heston_pricer.py        # Heston SV implementation
+│   ├── data/
+│   │   └── option_chain.py         # Option chain data structures
+│   └── my_papers/                  # Research paper implementations
+│       ├── logsv_model_with_quadratic_drift/
+│       ├── volatility_models/
+│       ├── inverse_options/
+│       ├── il_hedging/
+│       └── sv_for_factor_hjm/
+├── examples/
+│   ├── run_lognormal_sv_pricer.py
+│   ├── run_heston_sv_pricer.py
+│   ├── run_heston.py
+│   └── plots_for_paper/
+└── README.md
+```
+
+## Contributing
+
+Contributions are welcome! Please feel free to submit a Pull Request. For major changes, please open an issue first to discuss what you would like to change.
+
+## License
+
+This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.
+
+## Citation
+
+If you use this package in your research, please cite the relevant papers:
+
+```bibtex
+@misc{sepp2024stochvolmodels,
+  title={StochVolModels: Python Implementation of Stochastic Volatility Models},
+  author={Sepp, Artur},
+  year={2024},
+  howpublished={\url{https://github.com/ArturSepp/StochVolModels}},
+  note={Python package for pricing analytics and Monte Carlo simulations}
+}
+
+@article{sepprakhmonov2023,
+title={Log-normal stochastic volatility model with quadratic drift},
+author={Sepp, Artur and Rakhmonov, Parviz},
+journal={International Journal of Theoretical and Applied Finance},
+volume={26},
+number={8},
+year={2023},
+url={https://www.worldscientific.com/doi/epdf/10.1142/S0219024924500031}
+}
+
+@article{sepprakhmonov2023b,
+title={What is a robust stochastic volatility model},
+author={Sepp, Artur and Rakhmonov, Parviz},
+year={2023},
+note={Working paper},
+url={http://ssrn.com/abstract=4647027}
+}
+
+@article{lucicsepp2024,
+title={Valuation and hedging of cryptocurrency inverse options},
+author={Lucic, Vladimir and Sepp, Artur},
+journal={Quantitative Finance},
+volume={24},
+number={7},
+pages={851--869},
+year={2024},
+url={https://www.tandfonline.com/doi/full/10.1080/14697688.2024.2364804}
+}
+
+@article{lucicsepp2024,
+title={Valuation and hedging of cryptocurrency inverse options},
+author={Lucic, Vladimir and Sepp, Artur},
+journal={Quantitative Finance},
+volume={24},
+number={7},
+pages={851--869},
+year={2024},
+url={https://www.tandfonline.com/doi/full/10.1080/14697688.2024.2364804}
+}
+
+@article{sepprakhmonov2024,
+title={Stochastic volatility for factor Heath-Jarrow-Morton framework},
+author={Sepp, Artur and Rakhmonov, Parviz},
+year={2025},
+journal={Review of Derivatives Research},
+note={Accepted},
+url={http://ssrn.com/abstract=4646925}
+}
+```
+
+## Acknowledgments
+
+Special thanks to co-authors and collaborators:
+- Parviz Rakhmonov  
+- Vladimir Lucic
+- Alexander Lipton
+
+For additional research and advanced analytics, see the companion modules and papers included in this package.
+
+## BibTeX Citations for StochVolModels (Stochastic Volatility Models) Package
+
+If you use StochVolModels in your research, please cite it as:
+
+```bibtex
+@software{stochvolmodels2024,
+  author={Sepp, Artur},
+  title={StochVolModels: Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models},
+  year={2024},
+  url={https://github.com/ArturSepp/StochVolModels},
+}
+```
+

{stochvolmodels-1.1.1 → stochvolmodels-1.1.3}/pyproject.toml

@@ -7,7 +7,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "stochvolmodels"
-version = "1.1.1"
+version = "1.1.3"
 description = "Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston"
 readme = "README.md"
 license = {file = "LICENSE.txt"}

{stochvolmodels-1.1.1 → stochvolmodels-1.1.3}/stochvolmodels/data/fetch_option_chain.py

@@ -117,13 +117,18 @@ def load_price_data(options_data_dfs: OptionsDataDFs,
     return spot_price
 
 
-class UnitTests(Enum):
+class LocalTests(Enum):
     PRINT_CHAIN_DATA = 1
     GENERATE_VOL_CHAIN_NP = 2
     SAMPLE_CHAIN_AT_TIMES = 3
 
 
-def run_unit_test(unit_test: UnitTests):
+def run_local_test(local_test: LocalTests):
+    """Run local tests for development and debugging purposes.
+
+    These are integration tests that download real data and generate reports.
+    Use for quick verification during development.
+    """
 
     ticker = 'BTC'  # BTC, ETH
     value_time = pd.Timestamp('2021-10-21 08:00:00+00:00')
@@ -134,11 +139,11 @@ def run_unit_test(unit_test: UnitTests):
     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:
+    if local_test == LocalTests.PRINT_CHAIN_DATA:
         for expiry, eslice in chain.expiry_slices.items():
             eslice.print()
 
-    elif unit_test == UnitTests.GENERATE_VOL_CHAIN_NP:
+    elif local_test == LocalTests.GENERATE_VOL_CHAIN_NP:
         option_chain = generate_vol_chain_np(chain=chain,
                                              value_time=value_time,
                                              days_map={'1w': 7},
@@ -148,7 +153,7 @@ def run_unit_test(unit_test: UnitTests):
         skews = option_chain.get_chain_skews(delta=0.35)
         print(skews)
 
-    elif unit_test == UnitTests.SAMPLE_CHAIN_AT_TIMES:
+    elif local_test == LocalTests.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,
@@ -164,11 +169,4 @@ def run_unit_test(unit_test: UnitTests):
 
 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)
+    run_local_test(local_test=LocalTests.SAMPLE_CHAIN_AT_TIMES)

{stochvolmodels-1.1.1 → stochvolmodels-1.1.3}/stochvolmodels/data/test_option_chain.py

@@ -871,7 +871,7 @@ def get_qv_options_test_chain_data(num_strikes: int = 21) -> OptionChain:
     return data
 
 
-class UnitTests(Enum):
+class LocalTests(Enum):
     BTC = 1
     VIX = 2
     GLD = 3
@@ -879,36 +879,34 @@ class UnitTests(Enum):
     SPY = 5
 
 
-def run_unit_test(unit_test: UnitTests):
+def run_local_test(local_test: LocalTests):
+    """Run local tests for development and debugging purposes.
 
-    if unit_test == UnitTests.BTC:
+    These are integration tests that download real data and generate reports.
+    Use for quick verification during development.
+    """
+
+    if local_test == LocalTests.BTC:
         option_chain = get_btc_test_chain_data()
         print(option_chain)
 
-    elif unit_test == UnitTests.VIX:
+    elif local_test == LocalTests.VIX:
         option_chain = get_vix_test_chain_data()
         print(option_chain)
 
-    elif unit_test == UnitTests.GLD:
+    elif local_test == LocalTests.GLD:
         option_chain = get_gld_test_chain_data()
         print(option_chain)
 
-    elif unit_test == UnitTests.SQQQ:
+    elif local_test == LocalTests.SQQQ:
         option_chain = get_sqqq_test_chain_data()
         print(option_chain)
 
-    elif unit_test == UnitTests.SPY:
+    elif local_test == LocalTests.SPY:
         option_chain = get_spy_test_chain_data()
         print(option_chain)
 
 
 if __name__ == '__main__':
 
-    unit_test = UnitTests.BTC
-
-    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)
+    run_local_test(local_test=LocalTests.BTC)

{stochvolmodels-1.1.1 → stochvolmodels-1.1.3}/stochvolmodels/examples/run_lognormal_sv_pricer.py

@@ -4,12 +4,16 @@ run few unit test to illustrate implementation of log-normal sv model analytics
 
 import numpy as np
 import matplotlib.pyplot as plt
+import seaborn as sns
+import pandas as pd
+import matplotlib.ticker as mticker
 from enum import Enum
 import stochvolmodels as sv
+from stochvolmodels.utils import plots as plot
 from stochvolmodels import LogSVPricer, LogSvParams, OptionChain, LogsvModelCalibrationType
 
 
-class UnitTests(Enum):
+class LocalTests(Enum):
     COMPUTE_MODEL_PRICES = 1
     PLOT_MODEL_IMPLIED_VOLS = 2
     PLOT_MODEL_VOLS_IN_PARAMS = 3
@@ -22,7 +26,13 @@ class UnitTests(Enum):
     BENCHM_ROUGH_PRICER = 10
 
 
-def run_unit_test(unit_test: UnitTests):
+
+def run_local_test(local_test: LocalTests):
+    """Run local tests for development and debugging purposes.
+
+    These are integration tests that download real data and generate reports.
+    Use for quick verification during development.
+    """
 
     # instance of pricer
     logsv_pricer = LogSVPricer()
@@ -30,7 +40,7 @@ def run_unit_test(unit_test: UnitTests):
     # define model params    
     params = LogSvParams(sigma0=1.0, theta=1.0, kappa1=5.0, kappa2=5.0, beta=0.2, volvol=2.0)
 
-    if unit_test == UnitTests.COMPUTE_MODEL_PRICES:
+    if local_test == LocalTests.COMPUTE_MODEL_PRICES:
         # 1. one price
         model_price, vol = logsv_pricer.price_vanilla(params=params,
                                                       ttm=0.25,
@@ -55,7 +65,7 @@ def run_unit_test(unit_test: UnitTests):
         print(model_prices)
         print(vols)
 
-    elif unit_test == UnitTests.PLOT_MODEL_IMPLIED_VOLS:
+    elif local_test == LocalTests.PLOT_MODEL_IMPLIED_VOLS:
         # define uniform option chain
         option_chain = OptionChain.get_uniform_chain(ttms=np.array([0.083, 0.25]),
                                                      ids=np.array(['1m', '3m']),
@@ -63,7 +73,7 @@ def run_unit_test(unit_test: UnitTests):
         logsv_pricer.plot_model_ivols(option_chain=option_chain,
                                       params=params)
 
-    elif unit_test == UnitTests.PLOT_MODEL_VOLS_IN_PARAMS:
+    elif local_test == LocalTests.PLOT_MODEL_VOLS_IN_PARAMS:
 
         # define uniform option chain
         option_chain = OptionChain.get_uniform_chain(ttms=np.array([0.083, 0.25]),
@@ -79,7 +89,7 @@ def run_unit_test(unit_test: UnitTests):
         logsv_pricer.plot_model_slices_in_params(option_slice=option_slice,
                                                  params_dict=params_dict)
 
-    elif unit_test == UnitTests.COMPARE_MODEL_VOLS_TO_MC:
+    elif local_test == LocalTests.COMPARE_MODEL_VOLS_TO_MC:
         btc_option_chain = sv.get_btc_test_chain_data()
         uniform_chain_data = OptionChain.to_uniform_strikes(obj=btc_option_chain, num_strikes=31)
         btc_calibrated_params = LogSvParams(sigma0=0.8327, theta=1.0139, kappa1=4.8609, kappa2=4.7940, beta=0.1988, volvol=2.3694)
@@ -92,13 +102,13 @@ def run_unit_test(unit_test: UnitTests):
                                                            params=btc_calibrated_params,
                                                            nb_path=100000)
 
-    elif unit_test == UnitTests.PLOT_FIT_TO_BITCOIN_OPTION_CHAIN:
+    elif local_test == LocalTests.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,
                                                  params=btc_calibrated_params)
 
-    elif unit_test == UnitTests.MC_WITH_FIXED_RANDOMS:
+    elif local_test == LocalTests.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,
                                                            nb_path=10000,
@@ -126,7 +136,7 @@ def run_unit_test(unit_test: UnitTests):
         print(option_prices_ttm)
 
 
-    elif unit_test == UnitTests.ROUGH_MC_WITH_FIXED_RANDOMS:
+    elif local_test == LocalTests.ROUGH_MC_WITH_FIXED_RANDOMS:
         btc_option_chain = sv.get_btc_test_chain_data()
         Z0, Z1, grid_ttms = sv.get_randoms_for_rough_vol_chain_valuation(ttms=btc_option_chain.ttms,
                                                                              nb_path=10000,
@@ -154,24 +164,24 @@ def run_unit_test(unit_test: UnitTests):
                                                                                          timegrids=grid_ttms)
         print(option_prices_ttm)
 
-    elif unit_test == UnitTests.BENCHM_ROUGH_PRICER:
-        btc_option_chain = OptionChain.get_uniform_chain(ttms=np.array([0.083, 0.25]),
-                                                     ids=np.array(['1m', '3m']),
-                                                     strikes=np.linspace(0.5, 1.5, 21))
-        params0 = LogSvParams(sigma0=0.8, theta=1.0, kappa1=2.21, kappa2=0.0, beta=0.15, volvol=2.0)
-        nb_path = 100000
-        H = 0.3
-        N = 3
+    elif local_test == LocalTests.BENCHM_ROUGH_PRICER:
+        btc_option_chain = sv.get_btc_test_chain_data()
+        # params0 = LogSvParams(sigma0=0.8, theta=1.0, kappa1=2.21, kappa2=1.0, beta=0.15, volvol=1.0)
+        params0 = LogSvParams(sigma0=1.32, theta=0.47, kappa1=9.98, kappa2=2.0, beta=0.45, volvol=0.83)
+        nb_path = 1000000
+        H = 0.4
+        N = 2
+        seed = 1
 
         def rough_vol():
             params1 = LogSvParams.copy(params0)
-            params1.H = 0.3
+            params1.H = H
             params1.approximate_kernel(T=btc_option_chain.ttms[-1], N=N)
 
             Z0, Z1, grid_ttms = sv.get_randoms_for_rough_vol_chain_valuation(ttms=btc_option_chain.ttms,
                                                                              nb_path=nb_path,
                                                                              nb_steps_per_year=360,
-                                                                             seed=10)
+                                                                             seed=seed)
 
 
             option_prices_ttm, option_std_ttm = sv.rough_logsv_mc_chain_pricer_fixed_randoms(ttms=btc_option_chain.ttms,
@@ -223,18 +233,30 @@ def run_unit_test(unit_test: UnitTests):
         ivols_logsv = regular_vol()
 
         nb_slices = btc_option_chain.ttms.size
-        fig, axs = plt.subplots(1, nb_slices, figsize=(4*nb_slices, 3), tight_layout=True)
+        assert nb_slices == 4
+
+        with sns.axes_style('darkgrid'):
+            fig, axs = plt.subplots(2, 2, figsize=(15, 9), tight_layout=True)
+        axs = plot.to_flat_list(axs)
 
         for i in range(nb_slices):
-            ax = axs[i] if nb_slices>1 else axs
-            ax.plot(btc_option_chain.strikes_ttms[i], ivols_logsv[i], label="LOG_SV", marker="*")
-            ax.plot(btc_option_chain.strikes_ttms[i], ivols_rough_logsv[i], label="ROUGH_LOG_SV", marker="o")
+            data = pd.DataFrame({"Rough Log-SV": ivols_rough_logsv[i],
+                                 "Log-SV": ivols_logsv[i]},
+                                index=np.log(
+                                    btc_option_chain.strikes_ttms[i] / btc_option_chain.forwards[i]))
+            ax = axs[i]
+            sns.lineplot(data, ax=ax, markers=["o"])
             ax.set_title("Expiry: " + btc_option_chain.ids[i])
+            ax.yaxis.set_major_formatter(mticker.FuncFormatter(lambda z, _: '{:.0%}'.format(z)))
+            ax.xaxis.set_major_formatter(mticker.FuncFormatter(lambda z, _: '{:.2f}'.format(z)))
             ax.legend()
-        fig.suptitle(f"Conventional LogSV model vs Rough LogSV, H={H:.2f} via {N}f Markovian approximation",
-                     color="darkblue")
+        fig.suptitle(f"Conventional LogSV model vs Rough LogSV, H={H:.2f} via {N}f Markovian approximation\n"
+                     f"{params0.to_str()}",
+                     color = "darkblue", fontsize = 14)
 
-    elif unit_test == UnitTests.CALIBRATE_MODEL_TO_BTC_OPTIONS:
+        # fig.savefig("c:/temp/rough_vs_conven_vol.pdf")
+
+    elif local_test == LocalTests.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,
@@ -245,7 +267,7 @@ 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_WITH_MC:
+    elif local_test == LocalTests.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=0.0, beta=0.15, volvol=2.0)
         params0.H = 0.3
@@ -266,11 +288,4 @@ def run_unit_test(unit_test: UnitTests):
 
 if __name__ == '__main__':
 
-    unit_test = UnitTests.BENCHM_ROUGH_PRICER
-
-    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)
+    run_local_test(local_test=LocalTests.BENCHM_ROUGH_PRICER)