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

#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

#246 - ENH: Add feature `TimeToMaturity`

Issue - State: closed - Opened by ghost about 3 years ago

#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