bug fix for #580 #581
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bug fix for #580 #581
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This was referenced May 17, 2022
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## develop #581 +/- ##
========================================
Coverage 97.15% 97.15%
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Files 56 56
Lines 2317 2318 +1
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+ Hits 2251 2252 +1
Misses 66 66
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imos
requested changes
Mar 7, 2023
Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com>
masanorihirano
added a commit
that referenced
this pull request
Apr 4, 2023
* Introduce Pysen (#595) * change pfhedge imports to relative import * Revert "change pfhedge imports to relative import" This reverts commit e36cd06. * introducing pysen * added .idea to .gitignore * bug fix * added isort third party * introduce black to pysen and disable skip-magic-trailing-comma * introduce mypy to pysen and fix mypy issues * introduce flake8 * added flake8 to github action * added pysen to make * fix typo * switch linter to pysen * fix typing issue * drop unnecessary import * fix lint command in makefile (forgotten modification) * fix typing issue * better typing * bug fix for #576 (#577) * fix cost tensor device * update black (cherry picked from commit 4797fa5) * reformat because of black update * bug fix * 2nd bug fix related to #576 (cherry picked from commit 757125d) * added note for cuda usage for bisect (cherry picked from commit 2db9192) * formatting * Update pfhedge/_utils/bisect.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * support also dtype * update comment * Update pfhedge/_utils/bisect.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * bug fix for #580 (#581) * fixed #580 * reformatting * change min.values to amin Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * use torch.logsumexp for entripci_risk_measure --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * fix Poetry issue 609 (#610) * added workaround * update comment * update comment * added python 3.10 and 3.11 (#605) * Introducing flex ci (#603) * added flexci * WIP * update flex ci for avoiding docker image push * update configs * update scripts * drop unnecessary line * drop covarage report on flex ci * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Added gpu tests (#604) * fix cost tensor device * update black * update black (cherry picked from commit 4797fa5) * reformat because of black update * bug fix * reformat because of black update (cherry picked from commit dfb7948) * update * 2nd bug fix related to #576 * added note for cuda usage for bisect * added test for gpu * bug fix * fixed #580 * support gpu test * reformatting * change min.values to amin Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * use torch.logsumexp for entripci_risk_measure * added marker * update threshold for passing calc error on cuda * bug fix in setting * added tests * update typing for test * drop unnecessary imports * drop unecessary import * drop unnecessary import --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Pytorch 2.0 support (#612) * WIP (cherry picked from commit 1ce74ca) * mypy update to get compatible to pytorch 2.0 (cherry picked from commit b870e9d) * fix pytorch 2.0 typing issues (cherry picked from commit 56cb6e1) * update cis (cherry picked from commit 9e25f24) * update flex ci job (cherry picked from commit 72568da) * added type avoidance for avoiding error in some older versions (cherry picked from commit 2565c78) * drop always for some command (cherry picked from commit 0150641) * added exclude version pattern (cherry picked from commit 96eb165) * avoid test error (cherry picked from commit 589dc6b) * added --no-cache-dir for flex ci job * Update tests/instruments/primary/test_local_volatility.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * drop python37 support (#613) * drop python37 support * update comment * remove assert_allclose and use assert_close (#614) * implement rBergomi (#448) (#583) * rbergomi generator * added document * rename * add doc * added init * added rbergomi stock * added test * rename tuple * added test * bug fix * WIP * added scipy and update python version * finalize tests * fix typing * Update pfhedge/instruments/primary/rough_bergomi.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/stochastic/rough_bergomi.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * added math import * Update pfhedge/stochastic/rough_bergomi.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/stochastic/rough_bergomi.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update tests/stochastic/test_rough_bergomi.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * fix typo and format * update test for pursuing more corresponding test to original implementation * Update pfhedge/stochastic/rough_bergomi.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/stochastic/rough_bergomi.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/stochastic/rough_bergomi.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/stochastic/rough_bergomi.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/stochastic/rough_bergomi.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/stochastic/rough_bergomi.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * bug fix in cuda test --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Autorelease by github action (#615) * added auto release * drop publish ci * test * update release comments * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * update tag getting and order of process https://github.blog/changelog/2022-10-11-github-actions-deprecating-save-state-and-set-output-commands/ * added build process * added comment and bug fix * comment out * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * enhance visibility and notes * delete notes * Update .github/workflows/release.yml Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com>
masanorihirano
added a commit
that referenced
this pull request
Apr 11, 2023
* Introduce Pysen (#595) * change pfhedge imports to relative import * Revert "change pfhedge imports to relative import" This reverts commit e36cd06. * introducing pysen * added .idea to .gitignore * bug fix * added isort third party * introduce black to pysen and disable skip-magic-trailing-comma * introduce mypy to pysen and fix mypy issues * introduce flake8 * added flake8 to github action * added pysen to make * fix typo * switch linter to pysen * fix typing issue * drop unnecessary import * fix lint command in makefile (forgotten modification) * fix typing issue * better typing * bug fix for #576 (#577) * fix cost tensor device * update black (cherry picked from commit 4797fa5) * reformat because of black update * bug fix * 2nd bug fix related to #576 (cherry picked from commit 757125d) * added note for cuda usage for bisect (cherry picked from commit 2db9192) * formatting * Update pfhedge/_utils/bisect.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * support also dtype * update comment * Update pfhedge/_utils/bisect.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * bug fix for #580 (#581) * fixed #580 * reformatting * change min.values to amin Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * use torch.logsumexp for entripci_risk_measure --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * fix Poetry issue 609 (#610) * added workaround * update comment * update comment * added python 3.10 and 3.11 (#605) * Introducing flex ci (#603) * added flexci * WIP * update flex ci for avoiding docker image push * update configs * update scripts * drop unnecessary line * drop covarage report on flex ci * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Added gpu tests (#604) * fix cost tensor device * update black * update black (cherry picked from commit 4797fa5) * reformat because of black update * bug fix * reformat because of black update (cherry picked from commit dfb7948) * update * 2nd bug fix related to #576 * added note for cuda usage for bisect * added test for gpu * bug fix * fixed #580 * support gpu test * reformatting * change min.values to amin Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * use torch.logsumexp for entripci_risk_measure * added marker * update threshold for passing calc error on cuda * bug fix in setting * added tests * update typing for test * drop unnecessary imports * drop unecessary import * drop unnecessary import --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Pytorch 2.0 support (#612) * WIP (cherry picked from commit 1ce74ca) * mypy update to get compatible to pytorch 2.0 (cherry picked from commit b870e9d) * fix pytorch 2.0 typing issues (cherry picked from commit 56cb6e1) * update cis (cherry picked from commit 9e25f24) * update flex ci job (cherry picked from commit 72568da) * added type avoidance for avoiding error in some older versions (cherry picked from commit 2565c78) * drop always for some command (cherry picked from commit 0150641) * added exclude version pattern (cherry picked from commit 96eb165) * avoid test error (cherry picked from commit 589dc6b) * added --no-cache-dir for flex ci job * Update tests/instruments/primary/test_local_volatility.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * drop python37 support (#613) * drop python37 support * update comment * WIP * added credits * update description * added badge * added dev branch notation * bug fix * fix merge mistake * fix dev -> dev/develop * Update .github/CONTRIBUTING.md Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .github/CONTRIBUTING.md Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * update document * Update .github/CONTRIBUTING.md Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com>
Merged
masanorihirano
added a commit
that referenced
this pull request
Apr 18, 2023
* added functional * added Class * added tests * added document list * change default value * fix precision (cherry picked from commit 5c9a424) * Introduce Pysen (#595) * change pfhedge imports to relative import * Revert "change pfhedge imports to relative import" This reverts commit e36cd06. * introducing pysen * added .idea to .gitignore * bug fix * added isort third party * introduce black to pysen and disable skip-magic-trailing-comma * introduce mypy to pysen and fix mypy issues * introduce flake8 * added flake8 to github action * added pysen to make * fix typo * switch linter to pysen * fix typing issue * drop unnecessary import * fix lint command in makefile (forgotten modification) * fix typing issue * better typing * bug fix for #576 (#577) * fix cost tensor device * update black (cherry picked from commit 4797fa5) * reformat because of black update * bug fix * 2nd bug fix related to #576 (cherry picked from commit 757125d) * added note for cuda usage for bisect (cherry picked from commit 2db9192) * formatting * Update pfhedge/_utils/bisect.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * support also dtype * update comment * Update pfhedge/_utils/bisect.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * bug fix for #580 (#581) * fixed #580 * reformatting * change min.values to amin Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * use torch.logsumexp for entripci_risk_measure --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * fix Poetry issue 609 (#610) * added workaround * update comment * update comment * added python 3.10 and 3.11 (#605) * Introducing flex ci (#603) * added flexci * WIP * update flex ci for avoiding docker image push * update configs * update scripts * drop unnecessary line * drop covarage report on flex ci * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Added gpu tests (#604) * fix cost tensor device * update black * update black (cherry picked from commit 4797fa5) * reformat because of black update * bug fix * reformat because of black update (cherry picked from commit dfb7948) * update * 2nd bug fix related to #576 * added note for cuda usage for bisect * added test for gpu * bug fix * fixed #580 * support gpu test * reformatting * change min.values to amin Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * use torch.logsumexp for entripci_risk_measure * added marker * update threshold for passing calc error on cuda * bug fix in setting * added tests * update typing for test * drop unnecessary imports * drop unecessary import * drop unnecessary import --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Pytorch 2.0 support (#612) * WIP (cherry picked from commit 1ce74ca) * mypy update to get compatible to pytorch 2.0 (cherry picked from commit b870e9d) * fix pytorch 2.0 typing issues (cherry picked from commit 56cb6e1) * update cis (cherry picked from commit 9e25f24) * update flex ci job (cherry picked from commit 72568da) * added type avoidance for avoiding error in some older versions (cherry picked from commit 2565c78) * drop always for some command (cherry picked from commit 0150641) * added exclude version pattern (cherry picked from commit 96eb165) * avoid test error (cherry picked from commit 589dc6b) * added --no-cache-dir for flex ci job * Update tests/instruments/primary/test_local_volatility.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * drop python37 support (#613) * drop python37 support * update comment * update * lint (cherry picked from commit 7196afd) * lint * bug fix (cherry picked from commit 62b348b) * drop unnecessary imports * undo missing tests * support gpu test * bugfix * update documents * Update pfhedge/nn/functional.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/nn/functional.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/nn/functional.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/nn/functional.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/nn/functional.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * fix dimensional issue * Update pfhedge/nn/functional.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/nn/functional.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/nn/functional.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com>
masanorihirano
added a commit
that referenced
this pull request
Apr 18, 2023
* fix cost tensor device * update black * update black (cherry picked from commit 4797fa5) * reformat because of black update * bug fix * reformat because of black update (cherry picked from commit dfb7948) * update * 2nd bug fix related to #576 * 2nd bug fix related to #576 (cherry picked from commit 757125d) * added note for cuda usage for bisect * added test for gpu * added note for cuda usage for bisect (cherry picked from commit 2db9192) * bug fix * fixed #580 * support gpu test * rbergomi generator * added document * rename * add doc * added init * added rbergomi stock * added test * rename tuple * added test * bug fix * Update ci.yml * Update doc.yml * v1 * v1 * v2 * finalize function * added MertonJumpStock * fix test parameter * added import * fix type * fix usage * fix lint and formatting error * bug fix in docs * Introduce Pysen (#595) * change pfhedge imports to relative import * Revert "change pfhedge imports to relative import" This reverts commit e36cd06. * introducing pysen * added .idea to .gitignore * bug fix * added isort third party * introduce black to pysen and disable skip-magic-trailing-comma * introduce mypy to pysen and fix mypy issues * introduce flake8 * added flake8 to github action * added pysen to make * fix typo * switch linter to pysen * fix typing issue * drop unnecessary import * fix lint command in makefile (forgotten modification) * fix typing issue * better typing * bug fix for #576 (#577) * fix cost tensor device * update black (cherry picked from commit 4797fa5) * reformat because of black update * bug fix * 2nd bug fix related to #576 (cherry picked from commit 757125d) * added note for cuda usage for bisect (cherry picked from commit 2db9192) * formatting * Update pfhedge/_utils/bisect.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * support also dtype * update comment * Update pfhedge/_utils/bisect.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * bug fix for #580 (#581) * fixed #580 * reformatting * change min.values to amin Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * use torch.logsumexp for entripci_risk_measure --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * fix Poetry issue 609 (#610) * added workaround * update comment * update comment * added python 3.10 and 3.11 (#605) * Introducing flex ci (#603) * added flexci * WIP * update flex ci for avoiding docker image push * update configs * update scripts * drop unnecessary line * drop covarage report on flex ci * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update .flexci/linux/test.sh Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Added gpu tests (#604) * fix cost tensor device * update black * update black (cherry picked from commit 4797fa5) * reformat because of black update * bug fix * reformat because of black update (cherry picked from commit dfb7948) * update * 2nd bug fix related to #576 * added note for cuda usage for bisect * added test for gpu * bug fix * fixed #580 * support gpu test * reformatting * change min.values to amin Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * use torch.logsumexp for entripci_risk_measure * added marker * update threshold for passing calc error on cuda * bug fix in setting * added tests * update typing for test * drop unnecessary imports * drop unecessary import * drop unnecessary import --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Pytorch 2.0 support (#612) * WIP (cherry picked from commit 1ce74ca) * mypy update to get compatible to pytorch 2.0 (cherry picked from commit b870e9d) * fix pytorch 2.0 typing issues (cherry picked from commit 56cb6e1) * update cis (cherry picked from commit 9e25f24) * update flex ci job (cherry picked from commit 72568da) * added type avoidance for avoiding error in some older versions (cherry picked from commit 2565c78) * drop always for some command (cherry picked from commit 0150641) * added exclude version pattern (cherry picked from commit 96eb165) * avoid test error (cherry picked from commit 589dc6b) * added --no-cache-dir for flex ci job * Update tests/instruments/primary/test_local_volatility.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * drop python37 support (#613) * drop python37 support * update comment * fix * bug fix * added gpu tests * Update pfhedge/stochastic/merton_jump.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * added import math * bug fix for jump std * merge bug fix * Update pfhedge/instruments/primary/merton_jump.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/instruments/primary/merton_jump.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/stochastic/merton_jump.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> * Update pfhedge/stochastic/merton_jump.py Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com> --------- Co-authored-by: Kentaro IMAJO <173752+imos@users.noreply.github.com>
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