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PFHedge documentation
PFHedge documentation

API

  • pfhedge.nn
    • Hedger
    • BlackScholes
    • BSAmericanBinaryOption
    • BSEuropeanOption
    • BSEuropeanBinaryOption
    • BSLookbackOption
    • WhalleyWilmott
    • Clamp
    • LeakyClamp
    • HedgeLoss
    • EntropicLoss
    • EntropicRiskMeasure
    • ExpectedShortfall
    • QuadraticCVaR
    • IsoelasticLoss
    • MultiLayerPerceptron
    • Naked
    • SVIVariance
  • pfhedge.nn.functional
    • pfhedge.nn.functional.european_payoff
    • pfhedge.nn.functional.lookback_payoff
    • pfhedge.nn.functional.american_binary_payoff
    • pfhedge.nn.functional.european_binary_payoff
    • pfhedge.nn.functional.european_forward_start_payoff
    • pfhedge.nn.functional.leaky_clamp
    • pfhedge.nn.functional.clamp
    • pfhedge.nn.functional.exp_utility
    • pfhedge.nn.functional.isoelastic_utility
    • pfhedge.nn.functional.entropic_risk_measure
    • pfhedge.nn.functional.expected_shortfall
    • pfhedge.nn.functional.value_at_risk
    • pfhedge.nn.functional.quadratic_cvar
    • pfhedge.nn.functional.bs_european_price
    • pfhedge.nn.functional.bs_european_delta
    • pfhedge.nn.functional.bs_european_gamma
    • pfhedge.nn.functional.bs_european_vega
    • pfhedge.nn.functional.bs_european_theta
    • pfhedge.nn.functional.bs_american_binary_price
    • pfhedge.nn.functional.bs_american_binary_delta
    • pfhedge.nn.functional.bs_american_binary_gamma
    • pfhedge.nn.functional.bs_american_binary_vega
    • pfhedge.nn.functional.bs_american_binary_theta
    • pfhedge.nn.functional.bs_european_binary_price
    • pfhedge.nn.functional.bs_european_binary_delta
    • pfhedge.nn.functional.bs_european_binary_gamma
    • pfhedge.nn.functional.bs_european_binary_vega
    • pfhedge.nn.functional.bs_european_binary_theta
    • pfhedge.nn.functional.bs_lookback_price
    • pfhedge.nn.functional.bs_lookback_delta
    • pfhedge.nn.functional.bs_lookback_gamma
    • pfhedge.nn.functional.bs_lookback_vega
    • pfhedge.nn.functional.bs_lookback_theta
    • pfhedge.nn.functional.bilerp
    • pfhedge.nn.functional.box_muller
    • pfhedge.nn.functional.d1
    • pfhedge.nn.functional.d2
    • pfhedge.nn.functional.ncdf
    • pfhedge.nn.functional.npdf
    • pfhedge.nn.functional.pl
    • pfhedge.nn.functional.realized_variance
    • pfhedge.nn.functional.realized_volatility
    • pfhedge.nn.functional.svi_variance
    • pfhedge.nn.functional.terminal_value
    • pfhedge.nn.functional.topp
  • pfhedge.instruments
    • BaseInstrument
    • BasePrimary
    • BaseDerivative
    • OptionMixin
    • BaseOption
    • BrownianStock
    • HestonStock
    • LocalVolatilityStock
    • MertonJumpStock
    • RoughBergomiStock
    • CIRRate
    • VasicekRate
    • AmericanBinaryOption
    • EuropeanBinaryOption
    • EuropeanForwardStartOption
    • EuropeanOption
    • LookbackOption
    • VarianceSwap
  • pfhedge.stochastic
    • pfhedge.stochastic.generate_brownian
    • pfhedge.stochastic.generate_cir
    • pfhedge.stochastic.generate_geometric_brownian
    • pfhedge.stochastic.generate_heston
    • pfhedge.stochastic.generate_local_volatility_process
    • pfhedge.stochastic.generate_vasicek
    • pfhedge.stochastic.generate_merton_jump
    • pfhedge.stochastic.generate_rough_bergomi
    • pfhedge.stochastic.randn_antithetic
    • pfhedge.stochastic.randn_sobol_boxmuller
  • pfhedge.autogreek
  • pfhedge.features
    • pfhedge.features.get_feature
    • pfhedge.features.list_feature_names
    • Moneyness
    • LogMoneyness
    • MaxMoneyness
    • MaxLogMoneyness
    • Barrier
    • PrevHedge
    • TimeToMaturity
    • UnderlierSpot
    • Variance
    • Volatility
    • Empty
    • Ones
    • Zeros
    • ModuleOutput
    • FeatureList

Examples

  • Getting Started
  • Example Codes

Notes

  • Adding clause to derivative
  • Instrument dtype and device

Development

  • GitHub

PFHedge DocumentationΒΆ

PFHedge is a PyTorch-based framework for Deep Hedging.


Install:

pip install pfhedge

API

  • pfhedge.nn
  • pfhedge.nn.functional
  • pfhedge.instruments
  • pfhedge.stochastic
  • pfhedge.autogreek
  • pfhedge.features

Notes

  • Adding clause to derivative
  • Instrument dtype and device
Next
pfhedge.nn
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