Merge pull request #155 from PyFE/garch

Refactoring model names

Author: jaehyukchoi

pyfeng/__init__.py

@@ -1,27 +1,27 @@
-from .norm import (
-    Norm,
-)  # the order is sensitive because of `price_barrier` method. Put it before .bsm
+# the order is sensitive because of `price_barrier` method. Put it before .bsm
+from .norm import Norm
+
 from .bsm import Bsm, BsmDisp
 from .cev import Cev, CevMc
 from .gamma import InvGam, InvGauss
+
+# FFT related models
 from .sv_fft import HestonFft, BsmFft, OusvFft, VarGammaFft, ExpNigFft, Sv32Fft
-from .sabr import (
-    SabrHagan2002,
-    SabrNormVolApprox,
-    SabrLorig2017,
-    SabrChoiWu2021H,
-    SabrChoiWu2021P,
-)
-from .garch import GarchMcTimeStep, GarchUncorrBaroneAdesi2004
+
+# SABR/NSVh related models
+from .sabr import SabrHagan2002, SabrNormVolApprox, SabrLorig2017, SabrChoiWu2021H, SabrChoiWu2021P
+from .sabr_int import SabrUncorrChoiWu2021
+from .sabr_mc import SabrMcTimeDisc
+from .nsvh import Nsvh1, NsvhMc, NsvhGaussQuad
+
+# Other SV models
+from .garch import GarchMcTimeDisc, GarchUncorrBaroneAdesi2004
 from .heston import HestonUncorrBallRoma1994
 from .heston_mc import (
     HestonMcAndersen2008, HestonMcGlassermanKim2011, HestonMcTseWan2013,
     HestonMcChoiKwok2023PoisGe, HestonMcChoiKwok2023PoisTd
 )
-from .ousv import OusvUncorrBallRoma1994
-from .sabr_int import SabrUncorrChoiWu2021
-from .sabr_mc import SabrMcTimeDisc
-from .nsvh import Nsvh1, NsvhMc, NsvhGaussQuad
+from .ousv import OusvUncorrBallRoma1994, OusvMcTimeDisc, OusvMcChoi2023KL
 from .svi import Svi
 
 from .multiasset import (

pyfeng/ex.py

@@ -8,7 +8,6 @@
 # SABR / OUSV models for research
 from .sabr_int import SabrMixture
 from .sabr_mc import SabrMcCai2017Exact
-from .ousv import OusvSchobelZhu1998, OusvMcTimeStep, OusvMcChoi2023KL
 
 # Basket-Asian from ASP 2021
 from .multiasset_Ju2002 import BsmBasketAsianJu2002, BsmContinuousAsianJu2002

pyfeng/garch.py

@@ -7,7 +7,7 @@
 
 class GarchUncorrBaroneAdesi2004(sv.SvABC):
     """
-    Barone-Adesi et al (2004)'s approximation pricing formula for European options under uncorrelated (rho=0) GARCH diffusion model.
+    Barone-Adesi et al. (2004)'s approximation pricing formula for European options under uncorrelated (rho=0) GARCH diffusion model.
     Up to 2nd order is implemented.
 
     References:
@@ -26,8 +26,8 @@ def avgvar_mv(self, texp, var0):
         Eqs. (12)-(13) in Barone-Adesi et al. (2005)
 
         Args:
-            var0: initial variance
             texp: time step
+            var0: initial variance
 
         Returns:
             mean, variance
@@ -53,8 +53,7 @@ def avgvar_mv(self, texp, var0):
         M2c_3 = -vov2*(theta2*(4*mr*(3 - mr_t) + (2*mr_t - 5)*vov2) + term2*var0*(2*theta + var0))
 
         M2c_4 = 2*e_mr*vov2
-        M2c_4 *= 2*theta2*(mr_t*mr - (1 + mr_t)*vov2) \
-                 + var0*(2*mr*theta*(1 + texp*term1) + term1*var0)
+        M2c_4 *= 2*theta2*(mr_t*mr - (1 + mr_t)*vov2) + var0*(2*mr*theta*(1 + texp*term1) + term1*var0)
 
         M2c = M2c_1/mr2 + M2c_2/(term1*term2)**2 + M2c_3/mr2/term2**2 + M2c_4/mr2/term1**2
         M2c /= texp**2
@@ -79,7 +78,7 @@ def price(self, strike, spot, texp, cp=1):
         return price
 
 
-class GarchMcTimeStep(sv.SvABC, sv.CondMcBsmABC):
+class GarchMcTimeDisc(sv.SvABC, sv.CondMcBsmABC):
     """
     Garch model with conditional Monte-Carlo simulation
     The SDE of SV is: dv_t = mr * (theta - v_t) dt + vov * v_t dB_T

pyfeng/ousv.py

@@ -438,7 +438,7 @@ def return_var_realized(self, texp, cond=False):
         return var_r / texp  # annualized
 
 
-class OusvMcTimeStep(OusvMcABC):
+class OusvMcTimeDisc(OusvMcABC):
     """
     OUSV model with conditional Monte-Carlo simulation
     The SDE of SV is: d sigma_t = mr (theta - sigma_t) dt + vov dB_T

pyfeng/sv_fft.py

@@ -11,6 +11,7 @@
 from . import ousv
 from . import heston
 
+
 class FftABC(opt.OptABC, abc.ABC):
     n_x = 2**12  # number of grid. power of 2 for FFT
     x_lim = 200  # integratin limit
@@ -267,9 +268,7 @@ def mgf_logprice_schobelzhu1998(self, uu, texp):
         s2g3 = vov**2*gamma1**3
 
         D = (mr - gamma1*sincos/cossin)/vov**2
-        B = ((ktg3 + gamma3*sincos)/cossin - mr*theta*gamma1)/(
-                vov**2*gamma1
-        )
+        B = ((ktg3 + gamma3*sincos)/cossin - mr*theta*gamma1)/(vov**2*gamma1)
         C = (
                 -0.5*np.log(cossin)
                 + 0.5*mr*texp

tests/test_ousv.py

@@ -6,7 +6,6 @@
 
 sys.path.insert(0, os.getcwd())
 import pyfeng as pf
-import pyfeng.ex as pfex
 
 
 class TestOusvKL(unittest.TestCase):
@@ -29,7 +28,7 @@ def test_infinite_sum(self):
             An2n2 = An2 / n_pi_2
             An6n2 = n_pi_2 * An6
 
-            m = pfex.OusvMcChoi2023KL(1, 1, 0, 1, theta=mrt)
+            m = pf.OusvMcChoi2023KL(1, 1, 0, 1, theta=mrt)
 
             assert np.isclose(1, sum(An2[ns:])/m._a2sum(mrt, ns=ns), atol=1e-4)
             assert np.isclose(1, sum(An2[ns::2])/m._a2sum(mrt, ns=ns, odd=1), atol=1e-4)
@@ -60,7 +59,7 @@ def test_integarl_sin_path(self):
 
         """
         sheet_no = 1
-        m, p, rv = pfex.OusvMcChoi2023KL.init_benchmark(sheet_no)
+        m, p, rv = pf.OusvMcChoi2023KL.init_benchmark(sheet_no)
         n_sin = 6
         n_path = 50
         m.set_num_params(n_path=n_path, rn_seed=123456, n_sin=4, dt=None)
@@ -83,7 +82,7 @@ def test_MomentsIntVariance(self):
         """
         Unconditional mean/var == E(conditional)
         """
-        m = pfex.OusvMcChoi2023KL(sigma=1, vov=0.75, mr=2.5)
+        m = pf.OusvMcChoi2023KL(sigma=1, vov=0.75, mr=2.5)
         zz, ww = spsp.roots_hermitenorm(31)
         ww /= np.sqrt(2 * np.pi)