update models

jialuechen · Oct 6, 2024 · a712835 · a712835
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -1,5 +1,9 @@
 # Changelog
 
+## [1.3.0] - 2024-09-22
+### Added
+- Optimal Transport for Model Calibration
+
 ## [1.2.0] - 2024-09-22
 ### Added
 - Seq2Seq PDE solvers

diff --git a/examples/random_walk.py b/examples/random_walk.py
diff --git a/examples/vasicek.py b/examples/vasicek.py
@@ -1,5 +1,5 @@
 import torch
-from torchquantlib.models.interest_rate.vasicek_model import VasicekModel
+from torchquantlib.models.interest_rate.vasicek import VasicekModel
 
 spot_rate = torch.tensor(0.03)
 kappa = torch.tensor(0.5)

diff --git a/tests/test_interest_rate_models.py b/tests/test_interest_rate_models.py
@@ -1,7 +1,7 @@
 import torch
-from torchquantlib.models.interest_rate.vasicek_model import VasicekModel
+from torchquantlib.models.interest_rate.vasicek import VasicekModel
 
-def test_vasicek_model():
+def test_vasicek():
     spot_rate = torch.tensor(0.03)
     kappa = torch.tensor(0.5)
     theta = torch.tensor(0.04)

diff --git a/torchquantlib/calibration/heston_calibration.py b/torchquantlib/calibration/heston_calibration.py
@@ -1,10 +1,11 @@
 import torch
 from torch import Tensor
 from scipy.optimize import minimize
+from torchquantlib.models.stochastic_volatility.heston import Heston
 
 def heston_loss(params, market_prices, strikes, expiries, spot, rate):
     kappa, theta, sigma, rho, v0 = params
-    model = HestonModel(spot, strikes, expiries, rate, kappa, theta, sigma, rho, v0)
+    model = Heston(spot, strikes, expiries, rate, kappa, theta, sigma, rho, v0)
     model_prices = model.price_option('call')
     loss = torch.sum((market_prices - model_prices) ** 2)
     return loss

diff --git a/torchquantlib/calibration/optimal_transport.py b/torchquantlib/calibration/optimal_transport.py
diff --git a/torchquantlib/calibration/vasicek_calibration.py b/torchquantlib/calibration/vasicek_calibration.py
@@ -1,11 +1,11 @@
 import torch
 from torch import Tensor
 from scipy.optimize import minimize
-from models.interest_rate import vasicek_model as VasicekModel
+from models.interest_rate.vasicek import Vasicek
 
 def vasicek_loss(params, market_rates, times):
     kappa, theta, sigma = params
-    model = VasicekModel(market_rates[0], kappa, theta, sigma, times)
+    model = Vasicek(market_rates[0], kappa, theta, sigma, times)
     model_rates = model.simulate()
     loss = torch.sum((market_rates - model_rates) ** 2)
     return loss

diff --git a/...s/interest_rate/black_karasinski_model.py → .../models/interest_rate/black_karasinski.py b/...s/interest_rate/black_karasinski_model.py → .../models/interest_rate/black_karasinski.py
diff --git a/...uantlib/models/interest_rate/cir_model.py → torchquantlib/models/interest_rate/cir.py b/...uantlib/models/interest_rate/cir_model.py → torchquantlib/models/interest_rate/cir.py
diff --git a/...ntlib/models/interest_rate/cirpp_model.py → torchquantlib/models/interest_rate/cirpp.py b/...ntlib/models/interest_rate/cirpp_model.py → torchquantlib/models/interest_rate/cirpp.py
diff --git a/.../models/interest_rate/hull_white_model.py → ...antlib/models/interest_rate/hull_white.py b/.../models/interest_rate/hull_white_model.py → ...antlib/models/interest_rate/hull_white.py
diff --git a/...uantlib/models/interest_rate/lmm_model.py → torchquantlib/models/interest_rate/lmm.py b/...uantlib/models/interest_rate/lmm_model.py → torchquantlib/models/interest_rate/lmm.py
@@ -1,7 +1,7 @@
 import torch
 from torch import Tensor
 
-class LMMModel:
+class LMM:
     def __init__(self, forward_rates: Tensor, volatilities: Tensor, times: Tensor):
         self.forward_rates = forward_rates
         self.volatilities = volatilities

diff --git a/...lib/models/interest_rate/vasicek_model.py → ...hquantlib/models/interest_rate/vasicek.py b/...lib/models/interest_rate/vasicek_model.py → ...hquantlib/models/interest_rate/vasicek.py
@@ -1,7 +1,7 @@
 import torch
 from torch import Tensor
 
-class VasicekModel:
+class Vasicek:
     def __init__(self, spot_rate: Tensor, kappa: Tensor, theta: Tensor, sigma: Tensor, time: Tensor):
         self.spot_rate = spot_rate
         self.kappa = kappa