Implementing Baron-Adesi Whaley approximation of black scholes formula #28
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esztermarton
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tf_quant_finance/black_scholes/approximations/american_option.py
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| _allowed_symbols = [ | ||
| 'adesi_whaley', | ||
| 'american_option', |
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If you want expose american_option you need
from tf_quant_finance.black_scholes.approximations import american_option
and have a separate init file for american_option
This is probably a better thing to do
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Make a new directory for american_option? Super happy to make that change at some point - maybe worth waiting until we have more things in the approximation bucket so it isn't unnecessarily nested? will be a good practice to see how well i've understood these build configs now :D
tf_quant_finance/black_scholes/approximations/american_option.py
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| # tensorflow dep, | ||
| # numpy dep, |
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You don't have all the deps:
"//tf_quant_finance/black_scholes:vaniall_prices",
"//tf_quant_finance/black_scholes:implied_vol_newton_root",
"//tf_quant_finance/math"
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yes! I think this notation of having the specific function was what I was missing!! thanks
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| """ Calculates variables q, a and the critical spot price as per reference [1] | ||
| for the american option price formula. | ||
| These are values needed to calculate the approximate american option price. | ||
| For spot prices above and below the critical spot price, the american option | ||
| price formula behaves differently. |
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i think this is done - let me know is this is what you were thinking (i thought this one in specific could use a bit of explanation so i've saved the old doc string in case you want some of if back :) )
| # The naming convention will align variables with the variables named in | ||
| # reference [1], but made lower case, and differentiating between put and | ||
| # call option values with the suffix _put and _call. | ||
| # [1] https://deriscope.com/docs/Barone_Adesi_Whaley_1987.pdf |
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I guess it's failing because of extra spaces here?
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took those away. What was failing? Is there some kind of linter I could run to make the code consistent style? (at work we use black and it makes this a lot easier :) ) (but I do note that the style of tfqf is not the same as black so I can't user that) Do you maybe have a pylint file that could at least highlight my mistakes?
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| volatilities, | ||
| strikes, | ||
| expiries, | ||
| discount_rates, |
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discount_rates can be None
Also, discount_factors dissapeared. Please put them back
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it hasn't disappeared... i never put it in! Seemed a little too high level for a fairly approximate formula and I didn't want to accommodate for it at the cost of making it more complicated. but i can do it now... :) Can I just accept it and calculate discount rate from it? (discount_rate = -tf.math.log(discount_factor) / expiries)
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esztermarton
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Implementation and reference values for tests taken from paper:
https://deriscope.com/docs/Barone_Adesi_Whaley_1987.pdf