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* BUG: Fix BSAmericanBinaryOption (#366) (#391) * TEST: Add more tests to BS modules (#366) (#391) * MAINT: Rename base classes to "Base*" (close #384) (#386) * `Instrument`, `Primary`, `Derivative` are deprecated. Use `Base*` instead. * MAINT: Miscellaneous maintainances (#385) (#387) (#388) (#389) Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> Co-authored-by: GitHub Actions <[email protected]>
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,110 @@ | ||
| import sys | ||
|
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| import matplotlib.pyplot as plt | ||
| import torch | ||
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| sys.path.append("..") | ||
| from pfhedge.nn import BSAmericanBinaryOption | ||
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| LOG_MONEYNESS_MIN = -0.2 | ||
| LOG_MONEYNESS_MAX = 0.2 | ||
| LOG_MONEYNESS_STEPS = 1000 | ||
| S = torch.linspace(LOG_MONEYNESS_MIN, LOG_MONEYNESS_MAX, LOG_MONEYNESS_STEPS) | ||
| VOLATILITY_RANGE = [0.1, 0.2, 0.3] | ||
| VOLATILITY_DEFAULT = 0.1 | ||
| TIME_TO_MATURITY_RANGE = [0.1, 0.2, 0.3] | ||
| TIME_TO_MATURITY_DEFAULT = 0.1 | ||
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| def plot_delta() -> None: | ||
| m = BSAmericanBinaryOption() | ||
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| plt.figure() | ||
| for volatility in VOLATILITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| v = torch.full_like(s, volatility) | ||
| y = m.delta(s, s, t, v) | ||
| plt.plot(s, y, label=f"Volatility={volatility:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Delta") | ||
| plt.legend() | ||
| plt.savefig("./output/american-binary-delta-volatility.png") | ||
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| plt.figure() | ||
| for time_to_maturity in TIME_TO_MATURITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, time_to_maturity) | ||
| v = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| y = m.delta(s, s, t, v) | ||
| plt.plot(s, y, label=f"Time to maturity={time_to_maturity:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Delta") | ||
| plt.legend() | ||
| plt.savefig("./output/american-binary-delta-time.png") | ||
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|
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| def plot_gamma() -> None: | ||
| m = BSAmericanBinaryOption() | ||
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| plt.figure() | ||
| for volatility in VOLATILITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| v = torch.full_like(s, volatility) | ||
| y = m.gamma(s, s, t, v) | ||
| plt.plot(s, y, label=f"Volatility={volatility:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Gamma") | ||
| plt.legend() | ||
| plt.savefig("./output/american-binary-gamma-volatility.png") | ||
|
|
||
| plt.figure() | ||
| for time_to_maturity in TIME_TO_MATURITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, time_to_maturity) | ||
| v = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| y = m.gamma(s, s, t, v) | ||
| plt.plot(s, y, label=f"Time to maturity={time_to_maturity:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Gamma") | ||
| plt.legend() | ||
| plt.savefig("./output/american-binary-gamma-time.png") | ||
|
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|
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| def plot_price() -> None: | ||
| m = BSAmericanBinaryOption() | ||
|
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| plt.figure() | ||
| for volatility in VOLATILITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| v = torch.full_like(s, volatility) | ||
| y = m.price(s, s, t, v) | ||
| plt.plot(s, y, label=f"Volatility={volatility:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Price") | ||
| plt.legend() | ||
| plt.savefig("./output/american-binary-price-volatility.png") | ||
|
|
||
| plt.figure() | ||
| for time_to_maturity in TIME_TO_MATURITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, time_to_maturity) | ||
| v = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| y = m.price(s, s, t, v) | ||
| plt.plot(s, y, label=f"Time to maturity={time_to_maturity:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Price") | ||
| plt.legend() | ||
| plt.savefig("./output/american-binary-price-time.png") | ||
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| def main(): | ||
| plot_delta() | ||
| plot_gamma() | ||
| plot_price() | ||
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| if __name__ == "__main__": | ||
| main() |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,110 @@ | ||
| import sys | ||
|
|
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| import matplotlib.pyplot as plt | ||
| import torch | ||
|
|
||
| sys.path.append("..") | ||
| from pfhedge.nn import BSEuropeanOption | ||
|
|
||
| LOG_MONEYNESS_MIN = -0.2 | ||
| LOG_MONEYNESS_MAX = 0.2 | ||
| LOG_MONEYNESS_STEPS = 1000 | ||
| S = torch.linspace(LOG_MONEYNESS_MIN, LOG_MONEYNESS_MAX, LOG_MONEYNESS_STEPS) | ||
| VOLATILITY_RANGE = [0.1, 0.2, 0.3] | ||
| VOLATILITY_DEFAULT = 0.1 | ||
| TIME_TO_MATURITY_RANGE = [0.1, 0.2, 0.3] | ||
| TIME_TO_MATURITY_DEFAULT = 0.1 | ||
|
|
||
|
|
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| def plot_delta() -> None: | ||
| m = BSEuropeanOption() | ||
|
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| plt.figure() | ||
| for volatility in VOLATILITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| v = torch.full_like(s, volatility) | ||
| y = m.delta(s, t, v) | ||
| plt.plot(s, y, label=f"Volatility={volatility:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Delta") | ||
| plt.legend() | ||
| plt.savefig("./output/european-delta-volatility.png") | ||
|
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||
| plt.figure() | ||
| for time_to_maturity in TIME_TO_MATURITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, time_to_maturity) | ||
| v = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| y = m.delta(s, t, v) | ||
| plt.plot(s, y, label=f"Time to maturity={time_to_maturity:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Delta") | ||
| plt.legend() | ||
| plt.savefig("./output/european-delta-time.png") | ||
|
|
||
|
|
||
| def plot_gamma() -> None: | ||
| m = BSEuropeanOption() | ||
|
|
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| plt.figure() | ||
| for volatility in VOLATILITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| v = torch.full_like(s, volatility) | ||
| y = m.gamma(s, t, v) | ||
| plt.plot(s, y, label=f"Volatility={volatility:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Gamma") | ||
| plt.legend() | ||
| plt.savefig("./output/european-gamma-volatility.png") | ||
|
|
||
| plt.figure() | ||
| for time_to_maturity in TIME_TO_MATURITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, time_to_maturity) | ||
| v = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| y = m.gamma(s, t, v) | ||
| plt.plot(s, y, label=f"Time to maturity={time_to_maturity:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Gamma") | ||
| plt.legend() | ||
| plt.savefig("./output/european-gamma-time.png") | ||
|
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|
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| def plot_price() -> None: | ||
| m = BSEuropeanOption() | ||
|
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| plt.figure() | ||
| for volatility in VOLATILITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| v = torch.full_like(s, volatility) | ||
| y = m.price(s, t, v) | ||
| plt.plot(s, y, label=f"Volatility={volatility:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Price") | ||
| plt.legend() | ||
| plt.savefig("./output/european-price-volatility.png") | ||
|
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| plt.figure() | ||
| for time_to_maturity in TIME_TO_MATURITY_RANGE: | ||
| s = S | ||
| t = torch.full_like(s, time_to_maturity) | ||
| v = torch.full_like(s, TIME_TO_MATURITY_DEFAULT) | ||
| y = m.price(s, t, v) | ||
| plt.plot(s, y, label=f"Time to maturity={time_to_maturity:.1f}") | ||
| plt.xlabel("Log moneyness") | ||
| plt.ylabel("Price") | ||
| plt.legend() | ||
| plt.savefig("./output/european-price-time.png") | ||
|
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| def main(): | ||
| plot_delta() | ||
| plot_gamma() | ||
| plot_price() | ||
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|
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| if __name__ == "__main__": | ||
| main() |
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