Ecosyste.ms: Issues
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GitHub / pfnet-research/pfhedge issues and pull requests
#443 - ENH: Cliquet
Issue -
State: closed - Opened by ghost over 2 years ago
- 1 comment
Labels: enhancement
#437 - ENH: Analytically calculate greeks in BS modules
Issue -
State: open - Opened by simaki almost 3 years ago
- 3 comments
Labels: enhancement, black-scholes, arithmetic
#433 - ENH: Inplace operations
Issue -
State: closed - Opened by simaki almost 3 years ago
Labels: enhancement
#402 - DOC: example_readme.ipynb gets TypeError
Issue -
State: closed - Opened by simaki almost 3 years ago
- 3 comments
Labels: help wanted
#397 - ENH: Add gamma_from_delta to autogreek
Issue -
State: closed - Opened by simaki almost 3 years ago
Labels: enhancement, autogreek
#384 - MAINT: Rename base classes to "Base*"
Issue -
State: closed - Opened by ghost almost 3 years ago
#376 - CHORE: Support PyTorch 1.10
Issue -
State: closed - Opened by ghost almost 3 years ago
- 1 comment
#374 - ENH: Make expected_shortfall smooth wrt p
Issue -
State: closed - Opened by simaki almost 3 years ago
- 1 comment
Labels: enhancement
#370 - ENH: Add value_at_risk
Issue -
State: closed - Opened by ghost almost 3 years ago
- 1 comment
Labels: enhancement
#368 - MAINT: Support Python 3.10
Issue -
State: closed - Opened by simaki about 3 years ago
#356 - MAINT: Drop Python 3.6
Issue -
State: closed - Opened by ghost about 3 years ago
#352 - ENH: Add `entropic_risk_measure` to nn.functional
Issue -
State: closed - Opened by ghost about 3 years ago
Labels: enhancement, good first issue
#351 - DOC: Example to plot time evolution of the distribution of delta through hedging
Issue -
State: closed - Opened by simaki about 3 years ago
- 1 comment
Labels: documentation
#328 - ENH: Add knock-in and knock-out clauses
Issue -
State: closed - Opened by ghost about 3 years ago
Labels: enhancement
#283 - DOC: Add explanation of features
Issue -
State: closed - Opened by simaki about 3 years ago
- 1 comment
Labels: documentation, note
#280 - CHORE: Add gh repo sync to publish action
Issue -
State: closed - Opened by ghost about 3 years ago
- 1 comment
#279 - ENH: Instrument.to(instrument)
Issue -
State: closed - Opened by ghost about 3 years ago
Labels: enhancement
#278 - MAINT: Assure buffer is registered with the desired dtype and device
Issue -
State: closed - Opened by ghost about 3 years ago
#273 - DOC: Add more explanations of examples/
Issue -
State: closed - Opened by simaki about 3 years ago
- 1 comment
Labels: documentation
#267 - DOC: Write note on `autogreek`
Issue -
State: closed - Opened by simaki about 3 years ago
- 1 comment
Labels: documentation, note
#264 - ENH: Add CIRRate
Issue -
State: closed - Opened by ghost about 3 years ago
Labels: enhancement
#259 - MAINT: Return `namedtuple` in `generate_heston`
Issue -
State: closed - Opened by ghost about 3 years ago
#249 - MAINT: Remove features/functional.py
Issue -
State: closed - Opened by ghost about 3 years ago
#248 - MAINT: Create `FeatureList` to cleanup implementation around features
Issue -
State: closed - Opened by ghost about 3 years ago
#246 - ENH: Add feature `TimeToMaturity`
Issue -
State: closed - Opened by ghost about 3 years ago
#244 - ENH: Accelerate compute_pnl by removing for when none of features is state dependent
Issue -
State: closed - Opened by ghost about 3 years ago
- 1 comment
#220 - ENH: Raise Warning when a user hedges `derivative` with an unrelated `hedging_instruments`
Issue -
State: closed - Opened by simaki about 3 years ago
- 1 comment
Labels: enhancement
#190 - MAINT: Introduce mypy?
Issue -
State: closed - Opened by ghost about 3 years ago
- 1 comment
#176 - DOC: Add autogreek to example_readme.ipynb
Issue -
State: closed - Opened by simaki about 3 years ago
- 1 comment
Labels: documentation
#173 - DOC: Mention simulation method of CIR and Heston processes
Issue -
State: closed - Opened by ghost about 3 years ago
- 1 comment
Labels: documentation
#164 - DOC: Parameters of BSEuropeanOption is wrong
Issue -
State: closed - Opened by ghost about 3 years ago
Labels: documentation, good first issue
#163 - Add typing and refactor
Pull Request -
State: closed - Opened by ghost about 3 years ago
- 1 comment
#149 - ENH: Add `Instrument.bfloat16()`
Issue -
State: closed - Opened by ghost about 3 years ago
Labels: enhancement, good first issue
#148 - ENH: Add `Instrument.half()`
Issue -
State: closed - Opened by ghost about 3 years ago
Labels: enhancement, good first issue
#147 - ENH: Add `Instrument.double()`
Issue -
State: closed - Opened by ghost about 3 years ago
Labels: enhancement, good first issue
#146 - ENH: Add `Instrument.float()`
Issue -
State: closed - Opened by ghost about 3 years ago
Labels: enhancement, good first issue
#145 - ENH: Add `Instrument.cuda()`
Issue -
State: closed - Opened by ghost about 3 years ago
Labels: enhancement, good first issue
#144 - ENH: Add `Instrument.cpu()`
Issue -
State: closed - Opened by ghost about 3 years ago
Labels: enhancement, good first issue
#140 - BUG: generate_heston(..., device="cuda:0") raises RuntimeError
Issue -
State: closed - Opened by ghost over 3 years ago
Labels: bug
#138 - DOC: Add equations to docstrings of brownian motion
Issue -
State: closed - Opened by ghost over 3 years ago
Labels: documentation, good first issue
#133 - ENH: Enable hedging with derivative
Issue -
State: closed - Opened by ghost over 3 years ago
- 2 comments
Labels: enhancement
#132 - ENH: Enable hedging with multiple instruments
Issue -
State: closed - Opened by ghost over 3 years ago
Labels: enhancement
#129 - DOC: Add references to BS price formulas
Issue -
State: closed - Opened by ghost over 3 years ago
- 1 comment
Labels: documentation
#128 - ENH: register default_init_state as a property
Issue -
State: closed - Opened by ghost over 3 years ago
Labels: enhancement
#127 - ENH: Add VarianceSwap
Issue -
State: closed - Opened by ghost over 3 years ago
- 1 comment
Labels: enhancement
#126 - ENH: Add HestonStock
Issue -
State: closed - Opened by ghost over 3 years ago
- 1 comment
Labels: enhancement
#114 - GITHUB: Create CONTRIBUTING.md
Issue -
State: closed - Opened by ghost over 3 years ago
#106 - ENH: Support BSLookbackOption put
Issue -
State: open - Opened by simaki over 3 years ago
Labels: enhancement, good first issue, black-scholes, arithmetic
#105 - ENH: Support BSEuropeanBinaryOption put
Issue -
State: closed - Opened by simaki over 3 years ago
- 1 comment
Labels: enhancement, good first issue, black-scholes, arithmetic
#102 - ENH: Provide an easier way to create custom features
Issue -
State: closed - Opened by simaki over 3 years ago
Labels: enhancement
#101 - ENH: Enable evaluating delta of price computed by Hedger
Issue -
State: closed - Opened by ghost over 3 years ago
#100 - REF: Rename "prices" of underlier to "spot"
Issue -
State: closed - Opened by ghost over 3 years ago
#87 - DOC: Add more docstrings to public methods
Issue -
State: closed - Opened by ghost over 3 years ago
#82 - REF: Add classmethod `from_derivative` to BS modules
Issue -
State: closed - Opened by ghost over 3 years ago
#60 - REF: Make use of `torch.testing.assert_close`
Issue -
State: closed - Opened by ghost over 3 years ago
#58 - ENH: REF: Make default `dt=1/250`, `maturity=20/250`
Issue -
State: closed - Opened by ghost over 3 years ago
#57 - ENH: Put batch to the first dim, time steps to the last dim
Issue -
State: closed - Opened by ghost over 3 years ago
#56 - REF: Move `Hedger` to `nn.modules`
Issue -
State: closed - Opened by ghost over 3 years ago
#55 - REF: Move `nn.bs` to `nn.modules.bs`
Issue -
State: closed - Opened by ghost over 3 years ago
#54 - REF: Rename `features` to `inputs`
Issue -
State: closed - Opened by ghost over 3 years ago
#41 - REF: Let `MultiLayerPerceptron` inherit `Sequential`
Issue -
State: closed - Opened by ghost over 3 years ago
#39 - DOC: Create Sphinx Documentation
Issue -
State: closed - Opened by ghost over 3 years ago
#36 - ENH: Add `dtype` and `device` to parameters of instruments
Issue -
State: closed - Opened by ghost over 3 years ago
- 1 comment
Labels: enhancement
#34 - ENH: Autogreek
Issue -
State: closed - Opened by ghost over 3 years ago
Labels: enhancement
#28 - ENH: Add `dtype` and `device` to `__repr__` of instruments
Issue -
State: closed - Opened by ghost over 3 years ago
Labels: enhancement
#25 - CI: Automate publish on Release
Issue -
State: closed - Opened by ghost over 3 years ago
#21 - DOC: "Open in Colab" in README.md is 403
Issue -
State: closed - Opened by ghost over 3 years ago
- 1 comment
#13 - BUG: test_shape fails due to the distribution validation in PyTorch 1.8.0
Issue -
State: closed - Opened by ghost over 3 years ago
Labels: bug
#12 - Support Black-Scholes `implied_volatility` for all derivatives
Issue -
State: closed - Opened by ghost over 3 years ago
Labels: enhancement
#11 - Support Black-Scholes gamma for all derivatives
Issue -
State: closed - Opened by ghost over 3 years ago
Labels: enhancement
#10 - Use `torch.nn.LazyLinear` in `pfhedge.nn.MultiLayerPerceptron`
Issue -
State: closed - Opened by ghost over 3 years ago
Labels: enhancement
#6 - create README.md
Pull Request -
State: closed - Opened by ghost over 3 years ago
- 1 comment
#2 - Create pfhedge (#1)
Pull Request -
State: closed - Opened by ghost over 3 years ago
#1 - Create pfhedge
Issue -
State: closed - Opened by ghost over 3 years ago