├── .gitignore ├── code ├── ann │ ├── __init__.py │ ├── helpers.py │ ├── neural_network.py │ ├── predict.py │ └── train.py ├── main_bayes_calibration.py ├── main_bayes_hyper_opt.py ├── main_train_single_nn.py └── notebooks │ ├── benchmark_nn.ipynb │ ├── generate_heston_data.ipynb │ ├── make_vol_surface.ipynb │ ├── parse_raw_spx.ipynb │ └── unused_kde_stuff.ipynb └── data └── raw_data ├── jim_maturity_strike.csv ├── jim_spxVols20170519.csv ├── liquidity_bid_ask_spread ├── spx_liquid_calls.csv ├── spx_liquidity_heatmap_complete_calls.pdf ├── spx_liquidity_heatmap_complete_puts.pdf └── spx_liquidity_heatmap_reduced_calls.pdf ├── liquidity_open_interest ├── full_moneyness_ttm_heatmap.pdf ├── money_maturities.csv ├── processed_spx_data.csv ├── reduced_moneyness_ttm_heatmap.pdf └── sns_kde_money_maturities_V3.pdf ├── processed_spx_calls_all_liquids.csv └── processed_spx_puts_all_liquids.csv /.gitignore: -------------------------------------------------------------------------------- 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