def generate_sobol_data(no_sobol : int):
model_input = generate_sobol_input(no_sobol)
option_input = dg.option_input_generator() # different option combinations
some_option_list = np.array([])
for option in option_input:
some_option_list = np.append(some_option_list, vo.EUCall(option[0], option[1]))
# generating data for neural net with model as input and grid as output
gridInput = model_input
# going parallel
cpu_cores = cpu_count()
parallel_set = np.array_split(model_input, cpu_cores, axis=0)
parallel_list = []
# generating list of datasets for parallel
for i in range(cpu_cores):
parallel_list.append((parallel_set[i], some_option_list))
# parallel
pool = Pool(cpu_cores)
res = pool.starmap(dg.imp_vol_generator, parallel_list)
res = np.concatenate(res, axis = 1)
price_output = res[0]
imp_vol_output = res[1]
# saving grid datasets
np.savetxt("Data/sobol_final_input"+str(no_sobol)+".csv", gridInput, delimiter=",")
np.savetxt("Data/sobol_final_price"+str(no_sobol)+".csv", price_output, delimiter=",")
np.savetxt("Data/sobol_final_imp"+str(no_sobol)+".csv", imp_vol_output, delimiter=",")
return 0
def calc_prices(spot : float, epsilon : float):
vol1 = 0.04
vol2 = 0.01
kappa1 = 2
kappa2 = 0.1
theta1 = 0.04
theta2 = 0.01
epsilon1 = 0.5
epsilon2 = 2
rho1 = -0.7
rho2 = 0.8
rate = 0.05
tau = 1.005 #set to match option data
strike = 100
some_option = vo.EUCall(tau, strike)
some_model = hm.HestonClass(spot, vol1, kappa1, theta1, epsilon, rho1, rate) # case 1
some_model2 = hm.HestonClass(spot, vol2, kappa2, theta2, epsilon, rho2, rate)
al1 = al.Andersen_Lake(some_model, some_option)
mc1 = mc.Heston_monte_carlo(some_model, some_option, 10000)
al2 = al.Andersen_Lake(some_model2, some_option)
mc2 = mc.Heston_monte_carlo(some_model2, some_option, 10000)
return al1, mc1, al2, mc2
def monte_carlo_generator(input_array: np.ndarray, paths: int):
option_input = option_input_generator()
some_option_list = np.array([])
for option in option_input:
some_option_list = np.append(some_option_list,
vo.EUCall(option[0], option[1]))
output_price_matrix = np.empty([np.shape(input_array)[0], 25])
output_imp_vol_matrix = np.empty([np.shape(input_array)[0], 25])
i = 0
for someInput in input_array:
output_price_matrix[i, :], output_imp_vol_matrix[i, :] = calc_mc_data(
someInput, paths)
i += 1
return output_price_matrix, output_imp_vol_matrix
def Heston_monte_carlo(some_model: hm.HestonClass,
some_option: vo.VanillaOption,
paths: int,
use_parity: bool = False):
dt = 252
time_steps = int(some_option.tau * dt)
forward_log = np.log(some_model.forward)
vol = some_model.vol
delta_t = some_option.tau / time_steps
exp_part = np.exp(-some_model.kappa * delta_t)
x_part = some_model.theta * (1 - exp_part)
var_part1 = some_model.epsilon * some_model.epsilon / some_model.kappa * (
exp_part - np.exp(-2 * some_model.kappa * delta_t))
var_part2 = some_model.theta * some_model.epsilon * some_model.epsilon / (
2 * some_model.kappa) * (1 - exp_part)**2
corr_part = np.sqrt(1 - some_model.rho * some_model.rho)
for i in range(time_steps):
N_F = np.random.standard_normal(paths)
N_v = some_model.rho * N_F + corr_part * np.random.standard_normal(
paths)
forward_log += -0.5 * vol * delta_t + np.sqrt(vol) * np.sqrt(
delta_t) * N_F
x = vol * exp_part + x_part
var = vol * var_part1 + var_part2
y = np.sqrt(np.log(var / (x * x) + 1))
vol = x * np.exp(-(y * y) / 2 + y * N_v)
forward = np.exp(forward_log)
if (np.average(forward) < some_option.strike and use_parity):
some_put = vo.EUPut(some_option.tau, some_option.strike)
put_price = np.exp(-some_model.rate * some_option.tau) * (np.average(
some_put(forward)))
print(put_price)
call_price = put_price - np.exp(-some_model.rate * some_option.tau) * (
some_option.strike - some_model.forward)
else:
call_price = np.exp(-some_model.rate * some_option.tau) * (np.average(
some_option(forward)))
return call_price
def calc_mc_data(input_array: np.array, paths: int) -> (np.array, np.array):
option_array = option_input_generator()
some_option_list = np.array([])
for option in option_array:
some_option_list = np.append(some_option_list,
vo.EUCall(option[0], option[1]))
some_model = hm.HestonClass(input_array[0], input_array[1], input_array[2],
input_array[3], input_array[4], input_array[5],
input_array[6])
output_lenght = np.shape(some_option_list)[0]
output_price = np.empty(output_lenght, dtype=np.float64)
output_imp_vol = np.empty(output_lenght, dtype=np.float64)
for i in range(output_lenght):
output_price[i] = mc.Heston_monte_carlo(some_model,
some_option_list[i], paths)
output_imp_vol[i] = some_model.impVol(output_price[i],
some_option_list[i])
return output_price, output_imp_vol
kappa1 = 2
kappa2 = 0.1
theta1 = 0.04
theta2 = 0.01
epsilon1 = 0.5
epsilon2 = 2
epsilon = np.linspace(start=0.5, stop=2, num=10)
rho1 = -0.7
rho2 = 0.8
rate = 0.05
input_array = np.array(list(itertools.product(spot, epsilon)))
tau = 1.005 #set to match option data
strike = 100
some_option = vo.EUCall(tau, strike)
spot = np.reshape(spot, (-1, 1))
spot_plot = np.linspace(start=75, stop=125, num=200)
spot_plot = np.reshape(spot_plot, (-1, 1))
eps1_plot = np.reshape(np.repeat(epsilon1, len(spot_plot)), (-1, 1))
eps2_plot = np.reshape(np.repeat(epsilon2, len(spot_plot)), (-1, 1))
input_multi_easy = np.concatenate([spot_plot, eps1_plot], axis=1)
input_multi_hard = np.concatenate([spot_plot, eps2_plot], axis=1)
h = 0.1
input_good_easy = np.concatenate([
spot_plot,
np.reshape(np.repeat(vol1, len(spot_plot)), (-1, 1)),
np.reshape(np.repeat(kappa1, len(spot_plot)), (-1, 1)),
np.reshape(np.repeat(theta1, len(spot_plot)), (-1, 1)),
output_price_matrix[i, :], output_imp_vol_matrix[i, :] = calc_imp_vol(
someInput, option_list)
i += 1
return output_price_matrix, output_imp_vol_matrix
if __name__ == "__main__":
#model_input = model_input_generator()
model_input = model_input_random_generator(200000)
option_input = option_input_generator() # different option combinations
some_option_list = np.array([])
for option in option_input:
some_option_list = np.append(some_option_list,
vo.EUCall(option[0], option[1]))
# going parallel
if cpu_count() == 4:
cpu_cores = 4
else:
cpu_cores = int(min(cpu_count() / 4, 16))
parallel_set = np.array_split(model_input, cpu_cores, axis=0)
parallel_list = []
# generating list of datasets for parallel
for i in range(cpu_cores):
parallel_list.append((parallel_set[i], some_option_list))
# parallel
pool = Pool(cpu_cores)
# rate
rate = 0.05
# Which options to test
# Maturity
no_mats = 10
maturity = np.linspace(start = 0.01, stop = 2, num = no_mats)
# strike
no_strikes = 10
strike = np.linspace(start = 75, stop = 125, num = no_strikes)
option_input = np.array(list(itertools.product(maturity, strike))) # different option combinations
someOptionList = np.array([])
for option in option_input:
someOptionList = np.append(someOptionList, vo.EUCall(option[0], option[1]))
# Dataframe for NN with multiple outputs
test1Data = np.array((forward, vol, kappa, theta, epsilon, rho, rate))
test1Data = np.reshape(test1Data, (1, 7))
# Model test for multiple outputs
predictions_grid_1 = norm_labels_grid_1.inverse_transform(model_grid_1.predict(norm_feature_grid_1.transform(test1Data)))
predictions_grid_2 = norm_labels_grid_2.inverse_transform(model_grid_2.predict(norm_feature_grid_2.transform(test1Data)))
# Model test for single outputs
testLength = np.shape(option_input)[0]
predictions_single = np.empty(testLength)
start_predict = time.time()
for i in range(testLength):
testData = np.concatenate((test1Data, option_input[i]), axis=None)
kappa1 = 2
kappa2 = 0.1
theta1 = 0.04
theta2 = 0.01
epsilon1 = 0.5
epsilon2 = 2
epsilon = np.linspace(start = 0.5, stop = 2, num = 10)
rho1 = -0.7
rho2 = 0.8
rate = 0.05
input_array = np.array(list(itertools.product(spot, epsilon)))
tau = 1.05 #set to match option data
strike = 100
some_option = vo.EUCall(tau, strike)
spot = np.reshape(spot, (-1, 1))
### Single data
al_output1 = np.loadtxt("Data/al_output1.csv", delimiter=",")
mc_output1 = np.loadtxt("Data/mc_output1.csv", delimiter=",")
al_output2 = np.loadtxt("Data/al_output2.csv", delimiter=",")
mc_output2 = np.loadtxt("Data/mc_output2.csv", delimiter=",")
al_output1 = np.reshape(al_output1, (-1, 1))
mc_output1 = np.reshape(mc_output1, (-1, 1))
al_output2 = np.reshape(al_output2, (-1, 1))
mc_output2 = np.reshape(mc_output2, (-1, 1))
### Multi data
some_put = vo.EUPut(some_option.tau, some_option.strike)
put_price = np.exp(-some_model.rate * some_option.tau) * (np.average(
some_put(forward)))
print(put_price)
call_price = put_price - np.exp(-some_model.rate * some_option.tau) * (
some_option.strike - some_model.forward)
else:
call_price = np.exp(-some_model.rate * some_option.tau) * (np.average(
some_option(forward)))
return call_price
if __name__ == '__main__':
test_model = hm.HestonClass(50, 0.01, 0.1, 0.01, 2, 0.8, 0.05)
test_option = vo.EUCall(0.01, 100)
print(Heston_monte_carlo(test_model, test_option, 5000))
print(Heston_monte_carlo(test_model, test_option, 5000, True))
print(al.Andersen_Lake(test_model, test_option))
"""
model_input = np.loadtxt("Data/MC/HestonMC_input.csv", delimiter=",")
mc_imp_vol_1 = np.loadtxt("Data/MC/Heston_mc_imp_vol_1.csv", delimiter=",")
mc_price_1 = np.loadtxt("Data/MC/HestonMC_price_1.csv", delimiter=",")
mc_imp_vol_10 = np.loadtxt("Data/MC/Heston_mc_imp_vol_10.csv", delimiter=",")
mc_price_10 = np.loadtxt("Data/MC/HestonMC_price_10.csv", delimiter=",")
mc_imp_vol_100 = np.loadtxt("Data/MC/Heston_mc_imp_vol_100.csv", delimiter=",")
mc_price_100 = np.loadtxt("Data/MC/HestonMC_price_100.csv", delimiter=",")
mc_imp_vol_1000 = np.loadtxt("Data/MC/Heston_mc_imp_vol_1000.csv", delimiter=",")
mc_price_1000 = np.loadtxt("Data/MC/HestonMC_price_1000.csv", delimiter=",")
mc_imp_vol_10000 = np.loadtxt("Data/MC/Heston_mc_imp_vol_10000.csv", delimiter=",")
import numpy as np import itertools import matplotlib.pyplot as plt from matplotlib import cm import joblib from keras.models import load_model import glob from sklearn.metrics import mean_squared_error as mse from sklearn.preprocessing import MinMaxScaler, StandardScaler from keras.optimizers import Adam import os import itertools import pickle from Thesis.Heston import AndersenLake as al, HestonModel as hm, DataGeneration as dg, ModelGenerator as mg, MC_al, ModelTesting as mt from Thesis.misc import VanillaOptions as vo from Thesis.BlackScholes import BlackScholes as bs some_easy_case = mt.easy_case() some_heston_model = hm.HestonClass(*some_easy_case[0]) some_option = vo.EUCall(2, 75) al.Andersen_Lake(some_heston_model, some_option)
import numpy as np
import time
import matplotlib.pyplot as plt
from Thesis.Heston import AndersenLake as al, MonteCarlo as mc, HestonModel as hm
from Thesis.misc import VanillaOptions as vo
model_input = np.loadtxt("Data/benchmark_input.csv", delimiter=",")
#imp_vol = np.loadtxt("Data/benchmark_input.csv", delimiter = ",")
some_model = hm.HestonClass(*model_input[0])
some_option = vo.EUCall(0.1, 87.5)
price = al.Andersen_Lake(some_model, some_option)
print(price)
imp_vol = some_model.impVol(price, some_option)
print(imp_vol)
def model_testing2(model_list: list, plot_title: str) -> list:
some_easy_case = easy_case()
some_hard_case = hard_case()
option = option_input()
model_class_easy = hm.HestonClass(some_easy_case[0, 0],
some_easy_case[0, 1], some_easy_case[0,
2],
some_easy_case[0, 3], some_easy_case[0,
4],
some_easy_case[0, 5], some_easy_case[0,
6])
model_class_hard = hm.HestonClass(some_hard_case[0, 0],
some_hard_case[0, 1], some_hard_case[0,
2],
some_hard_case[0, 3], some_hard_case[0,
4],
some_hard_case[0, 5], some_hard_case[0,
6])
some_option_list = np.array([])
for some_option in option:
some_option_list = np.append(some_option_list,
vo.EUCall(some_option[0], some_option[1]))
benchmark_price_easy, benchmark_easy = dg.calc_imp_vol(
some_easy_case[0], some_option_list)
benchmark_price_hard, benchmark_hard = dg.calc_imp_vol(
some_hard_case[0], some_option_list)
fig = plt.figure(figsize=(30, 20), dpi=200)
imp_ax_easy = fig.add_subplot(221, projection='3d')
error_ax_easy = fig.add_subplot(222, projection='3d')
imp_ax_hard = fig.add_subplot(223, projection='3d')
error_ax_hard = fig.add_subplot(224, projection='3d')
no_models = len(model_list)
color = iter(plt.cm.gist_rainbow(np.linspace(0, 1, no_models)))
x = option[:, 0]
y = option[:, 1]
mse_list = []
for model_string in model_list:
some_easy_case = easy_case()
some_hard_case = hard_case()
model_string = ' '.join(glob.glob("Models5/*/" + model_string))
model = load_model(model_string)
model_folder = model_string[:model_string.rfind("/") + 1]
if os.path.exists(model_folder + "/norm_feature.pkl"):
norm_feature = joblib.load(model_folder + "norm_feature.pkl")
normal_in = True
else:
normal_in = False
if os.path.exists(model_folder + "/norm_labels.pkl"):
norm_labels = joblib.load(model_folder + "norm_labels.pkl")
normal_out = True
else:
normal_out = False
if (model_string.find("Single") != -1
or model_string.find("single") != -1): # single output
predictions_easy = np.zeros(np.shape(option)[0])
predictions_hard = np.zeros(np.shape(option)[0])
for i in range(np.shape(option)[0]):
test_single_input_easy = np.concatenate(
(some_easy_case, option[i]), axis=None)
test_single_input_easy = np.reshape(test_single_input_easy,
(1, -1))
test_single_input_hard = np.concatenate(
(some_hard_case, option[i]), axis=None)
test_single_input_hard = np.reshape(test_single_input_hard,
(1, -1))
if normal_in:
test_single_input_easy = norm_feature.transform(
test_single_input_easy)
test_single_input_hard = norm_feature.transform(
test_single_input_hard)
if normal_out:
predictions_easy[i] = norm_labels.inverse_transform(
model.predict(test_single_input_easy))
predictions_hard[i] = norm_labels.inverse_transform(
model.predict(test_single_input_hard))
else:
predictions_easy[i] = model.predict(test_single_input_easy)
predictions_hard[i] = model.predict(test_single_input_hard)
else: # we have a grid
if normal_in:
some_easy_case = norm_feature.transform(some_easy_case)
some_hard_case = norm_feature.transform(some_hard_case)
if normal_out:
predictions_easy = norm_labels.inverse_transform(
model.predict(some_easy_case))[0]
predictions_hard = norm_labels.inverse_transform(
model.predict(some_hard_case))[0]
else:
predictions_easy = model.predict(some_easy_case)[0]
predictions_hard = model.predict(some_hard_case)[0]
# if prices, calc imp vol
if (model_string.find("Price") != -1
or model_string.find("price") != -1):
imp_vol_predictions_easy = np.zeros(np.shape(predictions_easy))
imp_vol_predictions_hard = np.zeros(np.shape(predictions_hard))
for i in range(np.shape(predictions_easy)[0]):
imp_vol_predictions_easy[i] = model_class_easy.impVol(
predictions_easy[i], some_option_list[i])
imp_vol_predictions_hard[i] = model_class_hard.impVol(
predictions_hard[i], some_option_list[i])
predictions_easy = imp_vol_predictions_easy
predictions_hard = imp_vol_predictions_hard
c = next(color)
z_easy = predictions_easy
z_hard = predictions_hard
name = model_string[model_string.find("/") + 1:]
imp_ax_easy.plot_trisurf(x, y, z_easy, alpha=0.5, label=name, color=c)
imp_ax_hard.plot_trisurf(x, y, z_hard, alpha=0.5, label=name, color=c)
predictions = np.concatenate((predictions_easy, predictions_hard))
benchmark = np.concatenate((benchmark_easy, benchmark_hard))
mse_list.append((name, mse(predictions, benchmark)))
error_ax_easy.plot_trisurf(x,
y,
z_easy - benchmark_easy,
alpha=0.5,
label=name,
color=c)
error_ax_hard.plot_trisurf(x,
y,
z_hard - benchmark_hard,
alpha=0.5,
label=name,
color=c)
imp_ax_easy.plot_trisurf(x,
y,
benchmark_easy,
color="black",
alpha=0.5,
label="benchmark")
imp_ax_easy.set_ylabel("Strike")
imp_ax_easy.set_xlabel("Time to maturity")
imp_ax_easy.set_title("Implied volatility, easy case")
error_ax_easy.set_ylabel("Strike")
error_ax_easy.set_xlabel("Time to maturity")
error_ax_easy.set_title("Error")
imp_ax_hard.plot_trisurf(x,
y,
benchmark_hard,
color="black",
alpha=0.5,
label="benchmark")
imp_ax_hard.set_ylabel("Strike")
imp_ax_hard.set_xlabel("Time to maturity")
imp_ax_hard.set_title("Implied volatility, hard case")
error_ax_hard.set_ylabel("Strike")
error_ax_hard.set_xlabel("Time to maturity")
error_ax_hard.set_title("Error")
handles, labels = imp_ax_easy.get_legend_handles_labels()
for i in range(len(handles)):
handles[i]._facecolors2d = handles[i]._facecolors3d
handles[i]._edgecolors2d = handles[i]._edgecolors3d
fig.subplots_adjust(top=0.95, left=0.1, right=0.95, bottom=0.2)
fig.legend(handles, labels, loc="lower center", ncol=4, fontsize=15)
fig.suptitle(plot_title, fontsize=20)
plt.savefig("Final_plots/" + plot_title.replace(" ", "_") + ".png")
plt.close()
return mse_list
def timing(model_string: str) -> float:
some_model = hm.HestonClass(100, 0.04, 2, 0.04, 0.5, -0.7, 0.05)
some_model_array = np.array((100, 0.04, 2, 0.04, 0.5, -0.7, 0.05))
option = mt.option_input()
some_option_list = np.array([])
for some_option in option:
some_option_list = np.append(some_option_list,
vo.EUCall(some_option[0], some_option[1]))
model_string = "standardize_single_5_1000.h5"
model_string = ' '.join(glob.glob("Models5/*/" + model_string))
model = load_model(model_string)
model_folder = model_string[:model_string.rfind("/") + 1]
if os.path.exists(model_folder + "/norm_feature.pkl"):
norm_feature = joblib.load(model_folder + "norm_feature.pkl")
normal_in = True
else:
normal_in = False
if os.path.exists(model_folder + "/norm_labels.pkl"):
norm_labels = joblib.load(model_folder + "norm_labels.pkl")
normal_out = True
else:
normal_out = False
if (model_string.find("single") != -1): # single output
predictions = np.zeros(np.shape(option)[0])
test_grid = np.zeros((25, 9))
for i in range(np.shape(option)[0]):
test_single_input = np.concatenate((some_model_array, option[i]),
axis=None)
test_single_input = np.reshape(test_single_input, (1, -1))
if normal_in:
test_single_input = norm_feature.transform(test_single_input)
test_grid[i] = test_single_input
elif (model_string.find("mat") != -1): # single output
predictions = np.zeros(np.shape(option)[0])
test_grid = np.zeros((5, 8))
for i in range(5):
test_mat_input = np.concatenate(
(some_model_array, option[i * 5][0]), axis=None)
test_mat_input = np.reshape(test_mat_input, (1, -1))
if normal_in:
test_mat_input = norm_feature.transform(test_mat_input)
test_grid[i] = test_mat_input
else: # we have a grid
if normal_in:
some_model_array = norm_feature.transform(some_model_array)
test_grid = some_model_array
inp_tensor = tf.convert_to_tensor(test_grid)
start_time = time.time()
for i in range(100):
if normal_out:
predictions = norm_labels.inverse_transform(model(test_grid))
else:
predictions = model(test_grid)
stop_time = time.time()
return (stop_time - start_time) / 100