stochvolmodels 1.1.5__tar.gz → 1.1.6__tar.gz

{stochvolmodels-1.1.5/stochvolmodels.egg-info → stochvolmodels-1.1.6}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: stochvolmodels
-Version: 1.1.5
+Version: 1.1.6
 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-1.1.5 → stochvolmodels-1.1.6}/pyproject.toml

@@ -7,7 +7,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "stochvolmodels"
-version = "1.1.5"
+version = "1.1.6"
 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-1.1.5 → stochvolmodels-1.1.6}/stochvolmodels/pricers/logsv_pricer.py

@@ -906,8 +906,8 @@ def rough_logsv_mc_chain_pricer_fixed_randoms(ttms: np.ndarray,
         nodes_vec = np.repeat(nodes[:, None], nb_path,axis=1)
         log_spot_str, vol_str, qv_str = log_spot_full_combined(nodes_vec, weight_vec, v0_vec, theta, kappa1, kappa2, log_s0,
                                                                v_init, rho, volvol, timegrid, nb_path, Z0_, Z1_)
-        print(f"Number of paths with negative vol: {np.sum(weights @ vol_str < 0.0)}")
-        print(f"Mean spot Strand: {np.mean(np.exp(log_spot_str))}")
+        print(f"Number of paths with negative vol: {np.sum(weights @ vol_str < 0.0)}, nan vol: {np.count_nonzero(np.isnan(weights @ vol_str))}")
+        print(f"Mean spot Strand: {np.mean(np.exp(log_spot_str))}, nan spots: {np.count_nonzero(np.isnan(log_spot_str))}")
 
         option_prices, option_std = compute_mc_vars_payoff(x0=log_spot_str, sigma0=vol_str, qvar0=qv_str,
                                                            ttm=ttm,

{stochvolmodels-1.1.5 → stochvolmodels-1.1.6}/stochvolmodels/pricers/rough_logsv/split_simulation.py

@@ -75,6 +75,57 @@ def drift_ode_solve(nodes: np.ndarray, v0: np.ndarray, theta: float, kappa1: flo
     return Dzh
 
 
+@njit(cache=False, fastmath=True)
+def drift_ode_solve2(nodes: np.ndarray, v0: np.ndarray, theta: float, kappa1: float, kappa2: float,
+                    z0: np.ndarray, weight: np.ndarray, h: float):
+    """
+
+    Parameters
+    ----------
+    nodes : (fixed argument) exponents x_i, array of size (n,)
+    v0 : (fixed argument) array of size (n, nb_path)
+    theta : long-run level, scalar
+    kappa1 : linear mean-reversion speed, scalar
+    kappa2 : quadratic mean-reversion speed, scalar
+    z0 : initial values, array of size (n, nb_path)
+    weight : wieghts, array of size (n, )
+    h : step size
+
+    Returns
+    -------
+    Array of size (n, nb_path)
+    """
+    assert nodes.shape == v0.shape == z0.shape == weight.shape
+    n, nb_path = weight.shape
+
+    # --- k1 ---
+    z0w = np.sum(weight * z0, axis=0)
+    c1 = (kappa1 + kappa2 * z0w) * (theta - z0w)
+    s1 = -nodes * (z0 - v0) + c1
+
+    # --- k2 ---
+    z_tmp = z0 + 0.5 * h * s1
+    z1w = np.sum(weight * z_tmp, axis=0)
+    c2 = (kappa1 + kappa2 * z1w) * (theta - z1w)
+    s2 = -nodes * (z_tmp - v0) + c2
+
+    # --- k3 ---
+    z_tmp = z0 + 0.5 * h * s2
+    z2w = np.sum(weight * z_tmp, axis=0)
+    c3 = (kappa1 + kappa2 * z2w) * (theta - z2w)
+    s3 = -nodes * (z_tmp - v0) + c3
+
+    # --- k4 ---
+    z_tmp = z0 + h * s3
+    z3w = np.sum(weight * z_tmp, axis=0)
+    c4 = (kappa1 + kappa2 * z3w) * (theta - z3w)
+    s4 = -nodes * (z_tmp - v0) + c4
+
+    zh = z0 + (h / 6.0) * (s1 + 2.0 * s2 + 2.0 * s3 + s4)
+
+    return zh
+
+
 @njit(cache=False, fastmath=True)
 def drift_ode_solve3(nodes: np.ndarray, v0: np.ndarray, theta: float, kappa1: float, kappa2: float,
                     z0: np.ndarray, weight: np.ndarray, h: float):
@@ -185,9 +236,9 @@ def drift_diffus_strand(nodes: np.ndarray, v0: np.ndarray, theta: float, kappa1:
     -------
 
     """
-    D_inn = drift_ode_solve3(nodes, v0, theta, kappa1, kappa2, v_init, weight, 0.5 * h)
+    D_inn = drift_ode_solve2(nodes, v0, theta, kappa1, kappa2, v_init, weight, 0.5 * h)
     S_inn = diffus_sde_solve(D_inn, weight, volvol, h, nb_path, z_rand)
-    sol = drift_ode_solve3(nodes, v0, theta, kappa1, kappa2, S_inn, weight, 0.5 * h)
+    sol = drift_ode_solve2(nodes, v0, theta, kappa1, kappa2, S_inn, weight, 0.5 * h)
 
     return sol
 
@@ -208,6 +259,9 @@ def log_spot_full_solve2(nodes: np.ndarray, weight: np.ndarray,
     assert z0.shape == (nb_path,) and z1.shape == (nb_path,)
 
     vol_h = drift_diffus_strand(nodes, v0, theta, kappa1, kappa2, volvol, v, weight, h, nb_path, z0)
+    w_vol_h = np.sum(weight * vol_h, axis=0)
+    idx_bad = np.nonzero(np.logical_or(np.isnan(w_vol_h), w_vol_h <= 0.0))[0]
+    vol_h[:, idx_bad] = 1e-6
 
     wlam = weight * nodes
     vw = np.sum(weight * v, axis=0)

{stochvolmodels-1.1.5 → stochvolmodels-1.1.6/stochvolmodels.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: stochvolmodels
-Version: 1.1.5
+Version: 1.1.6
 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>