DOC: Add example_heston_iv.py (#403)

examples/example_heston_iv.py

@@ -0,0 +1,43 @@
+import sys
+from math import exp
+
+import matplotlib.pyplot as plt
+import torch
+
+sys.path.append("..")
+from pfhedge.instruments import EuropeanOption
+from pfhedge.instruments import HestonStock
+from pfhedge.nn import BlackScholes
+
+LOG_MONEYNESS_MIN = -0.1
+LOG_MONEYNESS_MAX = 0.1
+LOG_MONEYNESS_STEPS = 20
+LOG_MONEYNESS_RANGE = torch.linspace(
+    LOG_MONEYNESS_MIN, LOG_MONEYNESS_MAX, LOG_MONEYNESS_STEPS
+)
+
+
+def compute_iv(log_moneyness: float, rho: float) -> float:
+    torch.manual_seed(42)
+
+    d = EuropeanOption(HestonStock(rho=rho))
+    spot = exp(log_moneyness) * d.strike
+    d.simulate(n_paths=int(1e5), init_state=(spot, d.ul().theta))
+    p = d.payoff().mean(0)
+
+    return BlackScholes(d).implied_volatility(log_moneyness, d.maturity, p).item()
+
+
+def main():
+    plt.figure()
+    for rho in [-0.7, 0.0, 0.7]:
+        y = [compute_iv(s, rho) for s in LOG_MONEYNESS_RANGE]
+        plt.plot(LOG_MONEYNESS_RANGE, y, label=f"rho={rho}")
+    plt.xlabel("Log moneyness")
+    plt.ylabel("Implied volatility")
+    plt.legend()
+    plt.savefig("output/heston-iv.png")
+
+
+if __name__ == "__main__":
+    main()

examples/requirements.txt

@@ -0,0 +1,2 @@
+matplotlib
+tqdm

tests/nn/bs/test_european_binary.py

@@ -148,7 +148,6 @@ def test_check_price_monte_carlo(self):
         input = torch.tensor([[0.0, d.maturity, d.ul().sigma]])
         result = compute_price(m, input)
         expect = d.payoff().mean(0, keepdim=True)
-        print(result, expect)
         assert_close(result, expect, rtol=1e-2, atol=0.0)
 
     def test_forward(self):