rename models

jialuechen · Oct 6, 2024 · 1fe9c3e · 1fe9c3e
1 parent fb30b13
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Showing 7 changed files with 4 additions and 32 deletions.
diff --git a/examples/heston_volatility.py b/examples/heston_volatility.py
@@ -1,5 +1,5 @@
 import torch
-from torchquantlib.models.stochastic_volatility.heston_model import HestonModel
+from torchquantlib.models.stochastic_volatility.heston import HestonModel
 
 spot = torch.tensor(100.0)
 strike = torch.tensor(105.0)

diff --git a/tests/test_stochastic_volatility.py b/tests/test_stochastic_volatility.py
@@ -1,5 +1,5 @@
 import torch
-from torchquantlib.models.stochastic_volatility.heston_model import HestonModel
+from torchquantlib.models.stochastic_volatility.heston import HestonModel
 
 def test_heston_model():
     spot = torch.tensor(100.0)

diff --git a/torchquantlib/calibration/sabr_calibration.py b/torchquantlib/calibration/sabr_calibration.py
@@ -1,10 +1,11 @@
 import torch
 from torch import Tensor
+from torchquantlib.models.stochastic_volatility import sabr
 from scipy.optimize import minimize
 
 def sabr_loss(params, market_vols, strikes, expiries):
     alpha, beta, rho, nu = params
-    model = SABRModel(strikes, expiries, alpha, beta, rho, nu)
+    model = sabr(strikes, expiries, alpha, beta, rho, nu)
     model_vols = model.price_option('call')
     loss = torch.sum((market_vols - model_vols) ** 2)
     return loss

diff --git a/...dels/stochastic_volatility/garch_model.py → ...lib/models/stochastic_volatility/garch.py b/...dels/stochastic_volatility/garch_model.py → ...lib/models/stochastic_volatility/garch.py
diff --git a/...els/stochastic_volatility/heston_model.py → ...ib/models/stochastic_volatility/heston.py b/...els/stochastic_volatility/heston_model.py → ...ib/models/stochastic_volatility/heston.py
diff --git a/torchquantlib/utils/data_preprocessing.py b/torchquantlib/utils/data_preprocessing.py
diff --git a/torchquantlib/utils/interpolation.py b/torchquantlib/utils/interpolation.py