# Copyright 2019 The TensorTrade Authors.
#
# 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
#
# http://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
from random import uniform
[docs]class ModelParameters:
"""
Encapsulates model parameters
"""
def __init__(self,
all_s0, all_time, all_delta, all_sigma, gbm_mu,
jumps_lamda=0.0, jumps_sigma=0.0, jumps_mu=0.0,
cir_a=0.0, cir_mu=0.0, all_r0=0.0, cir_rho=0.0,
ou_a=0.0, ou_mu=0.0,
heston_a=0.0, heston_mu=0.0, heston_vol0=0.0):
# This is the starting asset value
self.all_s0 = all_s0
# This is the amount of time to simulate for
self.all_time = all_time
# This is the delta, the rate of time e.g. 1/252 = daily, 1/12 = monthly
self.all_delta = all_delta
# This is the volatility of the stochastic processes
self.all_sigma = all_sigma
# This is the annual drift factor for geometric brownian motion
self.gbm_mu = gbm_mu
# This is the probability of a jump happening at each point in time
self.lamda = jumps_lamda
# This is the volatility of the jump size
self.jumps_sigma = jumps_sigma
# This is the average jump size
self.jumps_mu = jumps_mu
# This is the rate of mean reversion for Cox Ingersoll Ross
self.cir_a = cir_a
# This is the long run average interest rate for Cox Ingersoll Ross
self.cir_mu = cir_mu
# This is the starting interest rate value
self.all_r0 = all_r0
# This is the correlation between the wiener processes of the Heston model
self.cir_rho = cir_rho
# This is the rate of mean reversion for Ornstein Uhlenbeck
self.ou_a = ou_a
# This is the long run average interest rate for Ornstein Uhlenbeck
self.ou_mu = ou_mu
# This is the rate of mean reversion for volatility in the Heston model
self.heston_a = heston_a
# This is the long run average volatility for the Heston model
self.heston_mu = heston_mu
# This is the starting volatility value for the Heston model
self.heston_vol0 = heston_vol0
[docs]def default(base_price, t_gen, delta):
return ModelParameters(
all_s0=base_price,
all_r0=0.5,
all_time=t_gen,
all_delta=delta,
all_sigma=0.125,
gbm_mu=0.058,
jumps_lamda=0.00125,
jumps_sigma=0.001,
jumps_mu=-0.2,
cir_a=3.0,
cir_mu=0.5,
cir_rho=0.5,
ou_a=3.0,
ou_mu=0.5,
heston_a=0.25,
heston_mu=0.35,
heston_vol0=0.06125
)
[docs]def random(base_price, t_gen, delta):
return ModelParameters(
all_s0=base_price,
all_r0=0.5,
all_time=t_gen,
all_delta=delta,
all_sigma=uniform(0.1, 0.8),
gbm_mu=uniform(-0.3, 0.6),
jumps_lamda=uniform(0.0071, 0.6),
jumps_sigma=uniform(-0.03, 0.04),
jumps_mu=uniform(-0.2, 0.2),
cir_a=3.0,
cir_mu=0.5,
cir_rho=0.5,
ou_a=3.0,
ou_mu=0.5,
heston_a=uniform(1, 5),
heston_mu=uniform(0.156, 0.693),
heston_vol0=0.06125
)