Adheston vol

Author: lsbardel

app/gaussian_sampling.py

@@ -1,4 +1,4 @@
-import marimo
+    import marimo
 
 __generated_with = "0.19.7"
 app = marimo.App(width="medium")

app/heston_vol_surface.py

@@ -0,0 +1,119 @@
+import marimo
+
+__generated_with = "0.22.0"
+app = marimo.App(width="medium")
+
+
+@app.cell
+def _():
+    import marimo as mo
+    from app.utils import nav_menu
+    nav_menu()
+    return (mo,)
+
+
+@app.cell(hide_code=True)
+def _(mo):
+    mo.md(r"""
+    ## Jump Diffusion
+    """)
+    return
+
+
+@app.cell
+def _(mo):
+    from quantflow.sp.jump_diffusion import JumpDiffusion
+    from quantflow.utils.distributions import DoubleExponential
+
+    jump_fraction = mo.ui.slider(start=0.1, stop=0.9, step=0.05, value=0.5, debounce=True, label="Jump Fraction")
+    jump_intensity = mo.ui.slider(start=10, stop=100, step=5, debounce=True, label="Jump Intensity")
+    jump_asymmetry = mo.ui.slider(start=-2, stop=2, step=0.1, value=0, debounce=True, label="Jump Asymmetry")
+    jump_controls = mo.vstack([
+        jump_fraction, jump_intensity, jump_asymmetry
+    ])
+    jump_controls
+    return (
+        DoubleExponential,
+        JumpDiffusion,
+        jump_asymmetry,
+        jump_fraction,
+        jump_intensity,
+    )
+
+
+@app.cell
+def _(
+    DoubleExponential,
+    JumpDiffusion,
+    OptionPricer,
+    jump_asymmetry,
+    jump_fraction,
+    jump_intensity,
+):
+    jd = JumpDiffusion.create(
+        DoubleExponential,
+        jump_fraction=jump_fraction.value,
+        jump_intensity=jump_intensity.value,
+        jump_asymmetry=jump_asymmetry.value,
+    )
+    OptionPricer(model=jd).maturity(0.01).plot()
+    return (jd,)
+
+
+@app.cell
+def _(jd):
+    jd.model_dump()
+    return
+
+
+@app.cell
+def _():
+    return
+
+
+@app.cell(hide_code=True)
+def _(mo):
+    mo.md(r"""
+    ## Heston Volatility Surface
+    """)
+    return
+
+
+@app.cell
+def _(mo):
+    from quantflow.options.pricer import OptionPricer
+    from quantflow.sp.heston import HestonJ
+
+    sigma = mo.ui.slider(start=0.1, stop=2, step=0.1, debounce=True, label="vol of vol")
+    sigma
+    return HestonJ, OptionPricer, sigma
+
+
+@app.cell
+def _(DoubleExponential, HestonJ, jump_asymmetry, jump_fraction, sigma):
+    hj = HestonJ.create(
+        DoubleExponential,
+        vol=0.5,
+        sigma=sigma.value,
+        kappa=1.0,
+        rho=0.0,
+        jump_fraction=jump_fraction.value,
+        jump_asymmetry=jump_asymmetry.value,
+    )
+    return (hj,)
+
+
+@app.cell
+def _(OptionPricer, hj):
+    hjp = OptionPricer(model=hj)
+    hjp.maturity(0.5).plot()
+    return
+
+
+@app.cell
+def _():
+    return
+
+
+if __name__ == "__main__":
+    app.run()