initial commit #22
initial commit #22
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Joerg, could you please follow one of the links above and sign the Contributor License Agreement (CLA)? |
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I signed it!-- Diese Nachricht wurde von meinem Android Mobiltelefon mit GMX Mail gesendet.Am 24.02.20, 11:02 schrieb googlebot <[email protected]>:
Thanks for your pull request. It looks like this may be your first contribution to a Google open source project (if not, look below for help). Before we can look at your pull request, you'll need to sign a Contributor License Agreement (CLA).
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CLAs look good, thanks! ℹ️ Googlers: Go here for more info. |
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Hi Cyril, I have done it already. But forgot to reply to the bot. Best regards, Jörg -- Diese Nachricht wurde von meinem Android Mobiltelefon mit GMX Mail gesendet.
Am 24.02.20, 14:07 schrieb cyrilchim <[email protected]>:
Joerg, could you please follow one of the links above and sign the Contributor License Agreement (CLA)?
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| Created on Fri Nov 22 15:22:13 2019 | ||
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| 'Copyright 2020 Joerg Kienitz | ||
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| 'Redistribution and use in source and binary forms, with or without modification, | ||
| 'are permitted provided that the following conditions are met: | ||
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| '1. Redistributions of source code must retain the above copyright notice, | ||
| 'this list of conditions and the following disclaimer. | ||
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| '2. Redistributions in binary form must reproduce the above copyright notice, | ||
| 'this list of conditions and the following disclaimer in the documentation | ||
| 'and/or other materials provided with the distribution. | ||
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| '3. Neither the name of the copyright holder nor the names of its contributors | ||
| 'may be used to endorse or promote products derived from this software without | ||
| 'specific prior written permission. | ||
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| 'THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS | ||
| '"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, | ||
| 'THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE | ||
| 'ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE | ||
| 'FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES | ||
| '(INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; | ||
| 'LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON | ||
| 'ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, | ||
| 'OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF | ||
| 'THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. | ||
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| @author: Joerg Kienitz |
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Hi Joerg,
Could you please use the Apache 2.0 license instead?
See, e.g., here
This change will be attributed to you.
| from __future__ import absolute_import | ||
| from __future__ import division | ||
| from __future__ import print_function |
There was a problem hiding this comment.
Since we are using Python3 only, these are not needed. Please remove
| normal = tfp.distributions.Normal( | ||
| loc=tf.zeros([], dtype=forwards.dtype), scale=1) |
There was a problem hiding this comment.
Please use tensorflow error function. See, e.g., here
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| ## References: | ||
| [1] Kienitz, J. "Interest Rate Derivatives Explained I", Plagrave McMillan (2014) p.119 | ||
| [2] https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3428994 |
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Could you please wright a full reference and add a link. See, e.g., here
| Default value: None which is mapped to the default name `option_price`. | ||
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| Returns | ||
| ------- |
| is_call_options=None, | ||
| dtype = None, | ||
| name = None): | ||
| """ Compute the Bachelier price for a batch of European options. |
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Please add a short note explaining that Bachelier formula comes if one assumes Brownian motion behavior instead of geometric bromwnian motion
| strikes, | ||
| volatilities, | ||
| expiries, | ||
| rates, |
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we are adding rates to black-scholes option price formula. Let's keep the names consistent.
Please call it discount_rates and also add discount_factors. Please raise an error if both supplied at the same time.
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| def option_price_dawson_tf(forwards, |
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| name = None): | ||
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| """Computes the Black Scholes price for a batch of European options. |
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Could you please clarify what assumptions does this option price entails?
| strikes, | ||
| volatilities, | ||
| expiries, | ||
| discount_factors = None, |
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also, add discount_rates
This is the first draft for the SABR model we discussed