pfhedge.features¶

pfhedge.features provides features for pfhedge.nn.Hedger.

Creation¶

`get_feature`	Get feature from name.
`list_feature_names`	Returns the list of the names of available features.

Derivatives Features¶

`Moneyness`	Moneyness of the derivative.
`LogMoneyness`	Log-moneyness of the derivative.
`MaxMoneyness`	Cumulative maximum of moneyness.
`MaxLogMoneyness`	Cumulative maximum of log Moneyness.
`Barrier`	A feature which signifies whether the price of the underlier have reached the barrier.
`PrevHedge`	Previous holding of underlier.
`TimeToMaturity`	Remaining time to the maturity of the derivative.
`UnderlierSpot`	Spot price of the underlier of the derivative.
`Variance`	Variance of the underlier of the derivative.
`Volatility`	Volatility of the underlier of the derivative.

Tensor Creation Ops¶

`Empty`	A feature filled with uninitialized data.
`Ones`	A feature filled with the scalar value 1.
`Zeros`	A feature filled with the scalar value 0.

Containers¶

`ModuleOutput`	The feature computed as an output of a `torch.nn.Module`.
`FeatureList`	Holds features in a list.