stochvolmodels 1.1.3__tar.gz → 1.1.4__tar.gz

{stochvolmodels-1.1.3/stochvolmodels.egg-info → stochvolmodels-1.1.4}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: stochvolmodels
-Version: 1.1.3
+Version: 1.1.4
 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>

{stochvolmodels-1.1.3 → stochvolmodels-1.1.4}/pyproject.toml

@@ -7,7 +7,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "stochvolmodels"
-version = "1.1.3"
+version = "1.1.4"
 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-1.1.3 → stochvolmodels-1.1.4}/stochvolmodels/examples/run_lognormal_sv_pricer.py

@@ -144,7 +144,7 @@ def run_local_test(local_test: LocalTests):
                                                                              seed=10)
         params0 = LogSvParams(sigma0=0.8, theta=1.0, kappa1=2.21, kappa2=0.0, beta=0.15, volvol=2.0)
         params0.H = 0.3
-        params0.approximate_kernel(T=btc_option_chain.ttms[-1], N=3)
+        params0.approximate_kernel(T=btc_option_chain.ttms[-1])
 
         option_prices_ttm, option_std_ttm = sv.rough_logsv_mc_chain_pricer_fixed_randoms(ttms=btc_option_chain.ttms,
                                                                                          forwards=btc_option_chain.forwards,
@@ -170,13 +170,12 @@ def run_local_test(local_test: LocalTests):
         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 = H
-            params1.approximate_kernel(T=btc_option_chain.ttms[-1], N=N)
+            params1.approximate_kernel(T=btc_option_chain.ttms[-1])
 
             Z0, Z1, grid_ttms = sv.get_randoms_for_rough_vol_chain_valuation(ttms=btc_option_chain.ttms,
                                                                              nb_path=nb_path,
@@ -250,7 +249,7 @@ def run_local_test(local_test: LocalTests):
             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\n"
+        fig.suptitle(f"Conventional LogSV model vs Rough LogSV, H={H:.2f} via Markovian approximation\n"
                      f"{params0.to_str()}",
                      color = "darkblue", fontsize = 14)
 
@@ -271,7 +270,7 @@ def run_local_test(local_test: LocalTests):
         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
-        params0.approximate_kernel(T=btc_option_chain.ttms[-1], N=3)
+        params0.approximate_kernel(T=btc_option_chain.ttms[-1])
         btc_calibrated_params = logsv_pricer.calibrate_model_params_to_chain(option_chain=btc_option_chain,
                                                                              params0=params0,
                                                                              model_calibration_type=LogsvModelCalibrationType.PARAMS4,

{stochvolmodels-1.1.3 → stochvolmodels-1.1.4}/stochvolmodels/pricers/logsv/logsv_params.py

@@ -33,16 +33,16 @@ class LogSvParams(ModelParams):
             self.kappa2 = self.kappa1 / self.theta
         assert 1e-4 < self.H <= 0.5
 
-    def approximate_kernel(self, T: float, N: int):
-        assert 1 <= N <= 5  # not keen to use large N
-        if self.H >= 0.4:
-            N = N if N<=2 else 2
-            self.nodes, self.weights = european_rule(self.H, N, T)
-        elif N > 1 and self.H<0.49:
-            self.nodes, self.weights = european_rule(self.H, N, T)
-        else:
+    def approximate_kernel(self, T: float):
+        if 0.49 < self.H <= 0.5:
             self.weights = np.array([1.0])
             self.nodes = np.array([1e-3])
+            return
+        elif 0.4 < self.H <= 0.49:
+            N = 2
+        else:
+            N = 3
+        self.nodes, self.weights = european_rule(self.H, N, T)
 
 
     def to_dict(self) -> Dict[str, Any]:

stochvolmodels-1.1.4/stochvolmodels/pricers/rough_logsv/test_kernel_approx.py

@@ -0,0 +1,15 @@
+import numpy as np
+from stochvolmodels import LogSvParams
+
+if __name__ == "__main__":
+    H = 0.4464700054758044
+    N = 2
+    T = 1.
+
+    params0 = LogSvParams(sigma0 = 1.32, theta=0.47, kappa1=4.0, kappa2=2.0, beta=0.45, volvol=0.83)
+    for H in np.linspace(0.3, 0.5, 150):
+        params0.H = H
+        print(f" *** H={H} *** ")
+        params0.approximate_kernel(T=T)
+        print(params0.weights)
+        print(params0.nodes)

{stochvolmodels-1.1.3 → stochvolmodels-1.1.4/stochvolmodels.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: stochvolmodels
-Version: 1.1.3
+Version: 1.1.4
 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>

stochvolmodels-1.1.3/stochvolmodels/pricers/rough_logsv/test_kernel_approx.py

@@ -1,16 +0,0 @@
-import numpy as np
-from stochvolmodels import LogSvParams
-
-if __name__ == "__main__":
-    H = 0.4464700054758044
-    N = 2
-    T = 1.
-
-    params0 = LogSvParams(sigma0 = 1.32, theta=0.47, kappa1=4.0, kappa2=2.0, beta=0.45, volvol=0.83)
-    for N in [1, 2, 3]:
-        for H in np.linspace(0.3, 0.49, 150):
-            params0.H = H
-            print(f" *** N={N}, H={H} *** ")
-            params0.approximate_kernel(T=T, N=N)
-            print(params0.weights)
-            print(params0.nodes)