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 <notifications@github.com>:
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 <notifications@github.com>:
Joerg, could you please follow one of the links above and sign the Contributor License Agreement (CLA)?
—You are receiving this because you authored the thread.Reply to this email directly, view it on GitHub, or unsubscribe.
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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 |
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Since we are using Python3 only, these are not needed. Please remove
| normal = tfp.distributions.Normal( | ||
| loc=tf.zeros([], dtype=forwards.dtype), scale=1) |
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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, |
| dtype = None, | ||
| 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