# Copyright 2019 The TensorTrade Authors.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License
from random import uniform
[docs]class ModelParameters:
"""Defines the model parameters of different stock price models.
Parameters
----------
all_s0 : float
The initial asset value.
all_time : int
The amount of time to simulate for.
all_delta : float
The rate of time.
(e.g. 1/252 = daily, 1/12 = monthly)
all_sigma : float
The volatility of the stochastic processes.
gbm_mu : float
The annual drift factor for geometric brownian motion.
jumps_lambda : float, default 0.0
The probability of a jump happening at each point in time.
jumps_sigma : float, default 0.0
The volatility of the jump size.
jumps_mu : float, default 0.0
The average jump size.
cir_a : float, default 0.0
The rate of mean reversion for Cox Ingersoll Ross.
cir_mu : float, default 0.0
The long run average interest rate for Cox Ingersoll Ross.
all_r0 : float, default 0.0
The starting interest rate value.
cir_rho : float, default 0.0
The correlation between the wiener processes of the Heston model.
ou_a : float, default 0.0
The rate of mean reversion for Ornstein Uhlenbeck.
ou_mu : float, default 0.0
The long run average interest rate for Ornstein Uhlenbeck.
heston_a : float, default 0.0
The rate of mean reversion for volatility in the Heston model.
heston_mu : float, default 0.0
The long run average volatility for the Heston model.
heston_vol0 : float, default 0.0
The starting volatility value for the Heston model.
"""
def __init__(self,
all_s0: float,
all_time: int,
all_delta: float,
all_sigma: float,
gbm_mu: float,
jumps_lambda: float = 0.0,
jumps_sigma: float = 0.0,
jumps_mu: float = 0.0,
cir_a: float = 0.0,
cir_mu: float = 0.0,
all_r0: float = 0.0,
cir_rho: float = 0.0,
ou_a: float = 0.0,
ou_mu: float = 0.0,
heston_a: float = 0.0,
heston_mu: float = 0.0,
heston_vol0: float = 0.0) -> None:
self.all_s0 = all_s0
self.all_time = all_time
self.all_delta = all_delta
self.all_sigma = all_sigma
self.gbm_mu = gbm_mu
self.lamda = jumps_lambda
self.jumps_sigma = jumps_sigma
self.jumps_mu = jumps_mu
self.cir_a = cir_a
self.cir_mu = cir_mu
self.all_r0 = all_r0
self.cir_rho = cir_rho
self.ou_a = ou_a
self.ou_mu = ou_mu
self.heston_a = heston_a
self.heston_mu = heston_mu
self.heston_vol0 = heston_vol0
[docs]def default(base_price: float, t_gen: int, delta: float) -> 'ModelParameters':
"""Creates a basic model parameter set with key parameters specified default
parameters.
Parameters
----------
base_price : float
The base price to use for price generation.
t_gen : int
The number of bars to generate.
delta : float
The time delta to use.
Returns
-------
`ModelParameters`
The default model parameters to use.
"""
return ModelParameters(
all_s0=base_price,
all_r0=0.5,
all_time=t_gen,
all_delta=delta,
all_sigma=0.125,
gbm_mu=0.058,
jumps_lambda=0.00125,
jumps_sigma=0.001,
jumps_mu=-0.2,
cir_a=3.0,
cir_mu=0.5,
cir_rho=0.5,
ou_a=3.0,
ou_mu=0.5,
heston_a=0.25,
heston_mu=0.35,
heston_vol0=0.06125
)
[docs]def random(base_price: float, t_gen: int, delta: float) -> 'ModelParameters':
"""Creates a random model parameter set with key parameters specified
default parameters.
Parameters
----------
base_price : float
The base price to use for price generation.
t_gen : int
The number of bars to generate.
delta : int
The time delta to use.
Returns
-------
`ModelParameters`
The random model parameters to use.
"""
return ModelParameters(
all_s0=base_price,
all_r0=0.5,
all_time=t_gen,
all_delta=delta,
all_sigma=uniform(0.1, 0.8),
gbm_mu=uniform(-0.3, 0.6),
jumps_lambda=uniform(0.0071, 0.6),
jumps_sigma=uniform(-0.03, 0.04),
jumps_mu=uniform(-0.2, 0.2),
cir_a=3.0,
cir_mu=0.5,
cir_rho=0.5,
ou_a=3.0,
ou_mu=0.5,
heston_a=uniform(1, 5),
heston_mu=uniform(0.156, 0.693),
heston_vol0=0.06125
)