def test_error_percentile(self):
# 1 is allowed
_ = ExpectedShortfall(1)
with pytest.raises(ValueError):
_ = ExpectedShortfall(0)
with pytest.raises(ValueError):
_ = ExpectedShortfall(-1)
with pytest.raises(ValueError):
_ = ExpectedShortfall(1.1)
def test_value(self, percentile):
n_paths = 100
k = int(n_paths * percentile)
loss = ExpectedShortfall(percentile)
x = torch.randn(n_paths)
result = loss(x)
expect = -torch.mean(torch.tensor(sorted(x)[:k]))
assert torch.isclose(result, expect)
def test_shape(self):
loss = ExpectedShortfall()
self.assert_shape(loss)
def test_repr(self):
loss = ExpectedShortfall(0.1)
assert repr(loss) == "ExpectedShortfall(0.1)"
loss = ExpectedShortfall(0.5)
assert repr(loss) == "ExpectedShortfall(0.5)"
def test_cash_equivalent(self, n_paths, p, eta):
loss = ExpectedShortfall(p)
self.assert_cash_equivalent(loss, torch.randn(n_paths), eta)
def test_cash(self, n_paths, p):
loss = ExpectedShortfall(p)
x = torch.randn(n_paths)
self.assert_cash(loss, x)
def test_convex(self, n_paths, p, a):
loss = ExpectedShortfall(p)
x1 = torch.randn(n_paths)
x2 = torch.randn(n_paths)
self.assert_convex(loss, x1, x2, a)
def test_nonincreasing(self, n_paths, p, a):
loss = ExpectedShortfall(p)
x = torch.randn(n_paths)
self.assert_nonincreasing(loss, x, a)
sys.path.append("..")
from pfhedge import Hedger # noqa: E402
from pfhedge.instruments import BrownianStock # noqa: E402
from pfhedge.instruments import EuropeanOption # noqa: E402
from pfhedge.nn import ExpectedShortfall
from pfhedge.nn import MultiLayerPerceptron # noqa: E402
if __name__ == "__main__":
torch.manual_seed(42)
# Prepare a derivative to hedge
deriv = EuropeanOption(BrownianStock(cost=1e-4))
# Expected shortfall with the quantile level of 10%
expected_shortfall = ExpectedShortfall(0.1)
# Create your hedger
model = MultiLayerPerceptron()
hedger = Hedger(
model,
["log_moneyness", "expiry_time", "volatility", "prev_hedge"],
criterion=expected_shortfall,
)
# Fit and price
hedger.fit(deriv, n_paths=10000, n_epochs=200)
price = hedger.price(deriv, n_paths=10000)
print(f"Price={price:.5e}")