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Squashed commit of the following (removing messed up git history):
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serialize obj type if obj class has str method implementation
AnilSorathiya Nov 28, 2024
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AnilSorathiya Nov 29, 2024
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AnilSorathiya Nov 29, 2024
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Merge branch 'main' into anilsorathiya/sc-7521/move-capital-markets-n…
AnilSorathiya Dec 2, 2024
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AnilSorathiya Dec 2, 2024
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Original file line number Diff line number Diff line change
Expand Up @@ -33,7 +33,6 @@
"- [Initialize the ValidMind Library](#toc3_) \n",
"- [Initialize the Python environment](#toc4_) \n",
" - [Preview the documentation template](#toc4_1_) \n",
"- [Data preparation](#toc5_) \n",
"- [Model development](#toc6_) \n",
" - [Synthetic data generation](#toc6_1_)\n",
" - [Model Calibration](#toc6_2_) \n",
Expand Down Expand Up @@ -189,7 +188,7 @@
" # api_key=\"...\",\n",
" # api_secret=\"...\",\n",
" # model=\"...\",\n",
")"
")\n"
]
},
{
Expand All @@ -206,7 +205,7 @@
},
{
"cell_type": "code",
"execution_count": 4,
"execution_count": 3,
"id": "29d2c1a0",
"metadata": {},
"outputs": [],
Expand Down Expand Up @@ -244,31 +243,6 @@
"vm.preview_template()"
]
},
{
"cell_type": "markdown",
"id": "0d22f562",
"metadata": {},
"source": [
"<a id='toc5_'></a>\n",
"## Data Preparation"
]
},
{
"cell_type": "markdown",
"id": "b0267993",
"metadata": {},
"source": [
"### Market Data Sources"
]
},
{
"cell_type": "markdown",
"id": "7f0cd4bc",
"metadata": {},
"source": [
"### Market Data Quality and Availability"
]
},
{
"cell_type": "markdown",
"id": "6d6a8447",
Expand All @@ -280,7 +254,7 @@
},
{
"cell_type": "code",
"execution_count": 6,
"execution_count": 5,
"id": "c3f5b0b9",
"metadata": {},
"outputs": [],
Expand All @@ -301,7 +275,7 @@
},
{
"cell_type": "code",
"execution_count": 7,
"execution_count": 6,
"id": "d3748656",
"metadata": {},
"outputs": [],
Expand Down Expand Up @@ -432,7 +406,7 @@
},
{
"cell_type": "code",
"execution_count": 8,
"execution_count": 7,
"id": "42cb9070",
"metadata": {},
"outputs": [],
Expand All @@ -448,13 +422,12 @@
},
{
"cell_type": "code",
"execution_count": 9,
"execution_count": 8,
"id": "c81282bd",
"metadata": {},
"outputs": [],
"source": [
"# Parameters for synthetic data\n",
"# Common\n",
"S0 = 100\n",
"K = 100\n",
"T = 1\n",
Expand Down Expand Up @@ -495,7 +468,7 @@
},
{
"cell_type": "code",
"execution_count": 10,
"execution_count": 9,
"id": "5e709e0e",
"metadata": {},
"outputs": [],
Expand Down Expand Up @@ -593,15 +566,15 @@
},
{
"cell_type": "code",
"execution_count": 12,
"execution_count": 11,
"id": "ac733262",
"metadata": {},
"outputs": [],
"source": [
"@vm.test(\"my_custom_tests.BenchmarkTest\")\n",
"def benchmark_test(bs_model, sv_model, strikes, maturities):\n",
" \"\"\"\n",
" Compaparison between blacksholes and stoachastic volatility model\n",
" Comparison between Black Scholes and stochastic volatility model\n",
"\n",
" \"\"\"\n",
" bs_model_type = type(bs_model).__name__\n",
Expand Down Expand Up @@ -674,7 +647,7 @@
},
{
"cell_type": "code",
"execution_count": 14,
"execution_count": 13,
"id": "80492c82",
"metadata": {},
"outputs": [],
Expand Down Expand Up @@ -705,12 +678,11 @@
},
{
"cell_type": "code",
"execution_count": 15,
"execution_count": 14,
"id": "b2115371",
"metadata": {},
"outputs": [],
"source": [
"# Example usage:\n",
"S0 = 100\n",
"T = 1\n",
"r = 0.05\n",
Expand All @@ -730,7 +702,7 @@
},
{
"cell_type": "code",
"execution_count": 16,
"execution_count": 15,
"id": "f6c98fbe",
"metadata": {},
"outputs": [],
Expand All @@ -743,7 +715,7 @@
" plt.title(params[\"title\"])\n",
" plt.legend()\n",
" plt.grid(True)\n",
" plt.show() # close the plot to avoid displaying it"
" plt.show() "
]
},
{
Expand Down Expand Up @@ -783,7 +755,7 @@
")\n",
"result.log()\n",
"plot_results(\n",
" pd.DataFrame(result.metric.summary.results[0].data),\n",
" pd.DataFrame(result.tables[0].data),\n",
" params={\n",
" \"x\": \"strike\",\n",
" \"y\":\"Option price\",\n",
Expand All @@ -795,6 +767,16 @@
")"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "b30e1b5a",
"metadata": {},
"outputs": [],
"source": [
"\n"
]
},
{
"cell_type": "markdown",
"id": "fe2c8f65",
Expand Down Expand Up @@ -831,7 +813,7 @@
")\n",
"result.log()\n",
"plot_results(\n",
" pd.DataFrame(result.metric.summary.results[0].data),\n",
" pd.DataFrame(result.tables[0].data),\n",
" params={\n",
" \"x\": \"barrier\",\n",
" \"y\":\"Option price\",\n",
Expand All @@ -854,7 +836,7 @@
},
{
"cell_type": "code",
"execution_count": 20,
"execution_count": 18,
"id": "7bdd02ed",
"metadata": {},
"outputs": [],
Expand Down Expand Up @@ -1035,7 +1017,7 @@
")\n",
"result.log()\n",
"plot_results(\n",
" pd.DataFrame(result.metric.summary.results[0].data),\n",
" pd.DataFrame(result.tables[0].data),\n",
" params={\n",
" \"x\": \"kappa\",\n",
" \"y\":\"Option price\",\n",
Expand Down Expand Up @@ -1083,7 +1065,7 @@
")\n",
"result.log()\n",
"plot_results(\n",
" pd.DataFrame(result.metric.summary.results[0].data),\n",
" pd.DataFrame(result.tables[0].data),\n",
" params={\n",
" \"x\": \"theta\",\n",
" \"y\":\"Option price\",\n",
Expand Down Expand Up @@ -1131,7 +1113,7 @@
")\n",
"result.log()\n",
"plot_results(\n",
" pd.DataFrame(result.metric.summary.results[0].data),\n",
" pd.DataFrame(result.tables[0].data),\n",
" params={\n",
" \"x\": \"xi\",\n",
" \"y\":\"Option price\",\n",
Expand Down Expand Up @@ -1179,7 +1161,7 @@
")\n",
"result.log()\n",
"plot_results(\n",
" pd.DataFrame(result.metric.summary.results[0].data),\n",
" pd.DataFrame(result.tables[0].data),\n",
" params={\n",
" \"x\": \"rho\",\n",
" \"y\":\"Option price\",\n",
Expand Down
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