Heston analytics

tf_quant_finance/BUILD

@@ -28,6 +28,7 @@ py_library(
         "//tf_quant_finance/math",
         "//tf_quant_finance/models",
         "//tf_quant_finance/rates",
+        "//tf_quant_finance/volatility",
     ],
 )
 

tf_quant_finance/__init__.py

@@ -75,6 +75,7 @@ def _ensure_tf_install():  # pylint: disable=g-statement-before-imports
 from tf_quant_finance import math
 from tf_quant_finance import models
 from tf_quant_finance import rates
+from tf_quant_finance import volatility
 from tensorflow.python.util.all_util import remove_undocumented  # pylint: disable=g-direct-tensorflow-import
 
 _allowed_symbols = [
@@ -83,6 +84,7 @@ def _ensure_tf_install():  # pylint: disable=g-statement-before-imports
     "experimental",
     "math",
     "models",
+    "volatility",
     "rates",
 ]
 

tf_quant_finance/models/__init__.py

@@ -15,6 +15,8 @@
 """TensorFlow Quantitative Finance tools to build Diffusion Models."""
 
 from tf_quant_finance.models import euler_sampling
+from tf_quant_finance.models import heston
+from tf_quant_finance.models import heston_model
 from tf_quant_finance.models import hull_white
 from tf_quant_finance.models.generic_ito_process import GenericItoProcess
 from tf_quant_finance.models.geometric_brownian_motion.multivariate_geometric_brownian_motion import MultivariateGeometricBrownianMotion
@@ -27,6 +29,8 @@
 
 _allowed_symbols = [
     'euler_sampling',
+    'heston',
+    'heston_model',
     'HestonModel',
     'hull_white',
     'GenericItoProcess',

tf_quant_finance/models/heston/__init__.py

@@ -0,0 +1,25 @@
+# Lint as: python3
+# Copyright 2020 Google LLC
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     https://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+"""TensorFlow Quantitative Finance tools to build Hull White type models."""
+
+from tf_quant_finance.models.heston import approximations
+
+from tensorflow.python.util.all_util import remove_undocumented  # pylint: disable=g-direct-tensorflow-import
+
+_allowed_symbols = [
+    'approximations',
+]
+
+remove_undocumented(__name__, _allowed_symbols)

tf_quant_finance/models/heston/approximations/__init__.py

@@ -0,0 +1,24 @@
+# Lint as: python3
+# Copyright 2020 Google LLC
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     https://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+"""Approximations to the Heston European option price."""
+
+from tf_quant_finance.models.heston.approximations.heston import eu_option_price
+from tensorflow.python.util.all_util import remove_undocumented  # pylint: disable=g-direct-tensorflow-import
+
+_allowed_symbols = [
+    'eu_option_price',
+]
+
+remove_undocumented(__name__, _allowed_symbols)