Getting Started

Here is a minimal example to try out Deep Hedging.

import torch
from pfhedge.instruments import BrownianStock
from pfhedge.instruments import EuropeanOption
from pfhedge.nn import Hedger
from pfhedge.nn import MultiLayerPerceptron

torch.manual_seed(42)

# Prepare a derivative to hedge
deriv = EuropeanOption(BrownianStock(cost=1e-4))

# Create your hedger
model = MultiLayerPerceptron()
hedger = Hedger(
    model, inputs=["log_moneyness", "time_to_maturity", "volatility", "prev_hedge"]
)

# Fit and price
hedger.fit(deriv)
price = hedger.price(deriv)

print("Price:", price.item())