├── .DS_Store
├── BSDoc.hpp
├── BSLib.cpp
├── BSLib.hpp
├── Option.xcodeproj
    ├── project.pbxproj
    ├── project.xcworkspace
    │   ├── contents.xcworkspacedata
    │   ├── xcshareddata
    │   │   └── Option.xcscmblueprint
    │   └── xcuserdata
    │   │   └── junyan.xcuserdatad
    │   │       ├── UserInterfaceState.xcuserstate
    │   │       └── WorkspaceSettings.xcsettings
    └── xcuserdata
    │   └── junyan.xcuserdatad
    │       ├── xcdebugger
    │           └── Breakpoints_v2.xcbkptlist
    │       └── xcschemes
    │           ├── Option.xcscheme
    │           └── xcschememanagement.plist
├── PyHeston.cpp
├── build
    ├── lib.macosx-10.10-x86_64-3.5
    │   └── PyHeston.cpython-35m-darwin.so
    └── temp.macosx-10.10-x86_64-3.5
    │   ├── BSLib.o
    │   └── PyHeston.o
├── figures
    ├── IVsurface.png
    ├── test1.png
    └── test2.png
├── readme.md
└── setup.py


/.DS_Store:
--------------------------------------------------------------------------------
https://raw.githubusercontent.com/junyanxu/Python-Heston-Option-Pricer/90e7b44302a0ca0b51c646861ad32f1196a0782c/.DS_Store


--------------------------------------------------------------------------------
/BSDoc.hpp:
--------------------------------------------------------------------------------
 1 | //
 2 | //  BSDoc.hpp
 3 | //  Option
 4 | //
 5 | //  Created by junyan on 12/17/16.
 6 | //  Copyright © 2016 junyan. All rights reserved.
 7 | //
 8 | 
 9 | /*
10 |  
11 |  This file is used for providing helper documentation to functions in the module
12 |  
13 |  */
14 | 
15 | #ifndef BSDoc_hpp
16 | #define BSDoc_hpp
17 | 
18 | #include <stdio.h>
19 | #include <string>
20 | 
21 | 
22 | namespace doc {
23 |     
24 |     const char HestonCall[] = "Calculate heston model call option price. The parameters follow the following sequence:\n\n S: Current underlying price\n V0: Current instantaneous volatility square\n K: Strike price\n T: Time to expiry\n r: Interest rate\n Kappa: Mean reversion maganitude\n Theta: Long term mean in Heston model\n Eta: Vol of vol\n Rho: Correlation of underlying stochastic term with vol\n Stepsize: Numerical solution stepsize. Recommend 0.4";
25 |     
26 |     const char HestonPut[] = "Calculate heston model put option price. The parameters follow the following sequence:\n\n S: Current underlying price\n V0: Current instantaneous volatility square\n K: Strike price\n T: Time to expiry\n r: Interest rate\n Kappa: Mean reversion maganitude\n Theta: Long term mean in Heston model\n Eta: Vol of vol\n Rho: Correlation of underlying stochastic term with vol\n Stepsize: Numerical solution stepsize. Recommend 0.4";
27 |     
28 |     const char HestonMixedGaussianCall[] = "Calculate heston model mixed gaussian call option price. The parameters follow the following sequence:\n\n S: Current underlying price\n V0: Current instantaneous volatility square\n K: Strike price\n T: Time to expiry\n r: Interest rate\n Kappa: Mean reversion maganitude\n Theta: Long term mean in Heston model\n Eta: Vol of vol\n Rho: Correlation of underlying stochastic term with vol\n\n The Mixed Gaussian part has four parameters:\n Up: average maganitude of up log jump\n UpSigma: dispersion maganitude of up log jump\n Down: average maganitude of down log jump\n DownSigma: dispersion maganitude of down log jump\nStepsize: Numerical solution stepsize. Recommend 0.4";
29 |     
30 |     const char HestonMixedGaussianPut[] = "Calculate heston model mixed gaussian put option price. The parameters follow the following sequence:\n\n S: Current underlying price\n V0: Current instantaneous volatility square\n K: Strike price\n T: Time to expiry\n r: Interest rate\n Kappa: Mean reversion maganitude\n Theta: Long term mean in Heston model\n Eta: Vol of vol\n Rho: Correlation of underlying stochastic term with vol\n\n The Mixed Gaussian part has four parameters:\n Up: average maganitude of up log jump\n UpSigma: dispersion maganitude of up log jump\n Down: average maganitude of down log jump\n DownSigma: dispersion maganitude of down log jump\nStepsize: Numerical solution stepsize. Recommend 0.4";
31 |     
32 |     const char TwoRegimeHestonCall[] = "Calculate two regime heston model call option price. The two regime stand for the different situation before and after the discrete event. The parameter of the heston model are assumed to be different. The parameters follow the following sequence:\n\n S: Current underlying price\n V0: Current instantaneous volatility square\n K: Strike price\n T1: Time to discrete event\n T2: Time from discrete event to expiry\n r: Interest rate\n Kappa1: Mean reversion maganitude before event\n Theta1: Long term mean in Heston model before event\n Eta1: Vol of vol before event\n Rho1: Correlation of underlying stochastic term with vol before event\n\n Kappa2: Mean reversion maganitude after event\n Theta2: Long term mean in Heston model after event\n Eta2: Vol of vol after event\n Rho2: Correlation of underlying stochastic term with vol after event\nStepsize: Numerical solution stepsize. Recommend 0.4";
33 |     
34 |     const char TwoRegimeHestonPut[] = "Calculate two regime heston model call option price. The two regime stand for the different situation before and after the discrete event. The parameter of the heston model are assumed to be different. The parameters follow the following sequence:\n\n S: Current underlying price\n V0: Current instantaneous volatility square\n K: Strike price\n T1: Time to discrete event\n T2: Time from discrete event to expiry\n r: Interest rate\n Kappa1: Mean reversion maganitude before event\n Theta1: Long term mean in Heston model before event\n Eta1: Vol of vol before event\n Rho1: Correlation of underlying stochastic term with vol before event\n\n Kappa2: Mean reversion maganitude after event\n Theta2: Long term mean in Heston model after event\n Eta2: Vol of vol after event\n Rho2: Correlation of underlying stochastic term with vol after event\nStepsize: Numerical solution stepsize. Recommend 0.4";
35 |     
36 | }
37 | 
38 | 
39 | #endif /* BSDoc_hpp */
40 | 
41 | 
42 | 
43 | 
44 | 


--------------------------------------------------------------------------------
/BSLib.cpp:
--------------------------------------------------------------------------------
  1 | //
  2 | //  BSLib.c
  3 | //  Option
  4 | //
  5 | //  Created by junyan on 10/21/16.
  6 | //  Copyright © 2016 junyan. All rights reserved.
  7 | //
  8 | 
  9 | #include "BSLib.hpp"
 10 | 
 11 | 
 12 | 
 13 | double BSCall (double S, double K, double T, double Sigma, double d, double r){
 14 |     if(T == 0){
 15 |       return ((S-K)>0? (S-K) : 0);
 16 |     }
 17 |     if(Sigma <= 0){
 18 |       return ((S*exp((r-d)*T)-K)>0?S*exp(-d)*T-K*exp(-r*T): 0);
 19 |     }
 20 |     double d1 = (log(S/K) + T*(r - d) + 0.5*Sigma*Sigma*T)/(sqrt(T)*Sigma);
 21 |     double d2 = (log(S/K) + T*(r - d) - 0.5*Sigma*Sigma*T)/(sqrt(T)*Sigma);
 22 |     return S*exp(-d*T)*gsl_cdf_ugaussian_P(d1) - K*exp(-r*T)*gsl_cdf_ugaussian_P(d2);
 23 | }
 24 | 
 25 | double BSPut (double S, double K, double T, double Sigma, double d, double r){
 26 |     if(T == 0){
 27 |       return ((K-S)>0? (K-S) : 0);
 28 |     }
 29 |     if(Sigma <= 0){
 30 |       return ((S*exp((r-d)*T)-K)<0?-S*exp(-d)*T+K*exp(-r*T): 0);
 31 |     }
 32 |     double d1 = (log(S/K) + T*(r - d) + 0.5*Sigma*Sigma*T)/(sqrt(T)*Sigma);
 33 |     double d2 = (log(S/K) + T*(r - d) - 0.5*Sigma*Sigma*T)/(sqrt(T)*Sigma);
 34 |     return -S*exp(-d*T)*gsl_cdf_ugaussian_P(-d1) + K*exp(-r*T)*gsl_cdf_ugaussian_P(-d2);
 35 | }
 36 | 
 37 | double BSCallDelta(double S, double K, double T, double Sigma, double d, double r){
 38 |     double d1 = (log(S/K) + T*(r - d) + 0.5*Sigma*Sigma*T)/(sqrt(T)*Sigma);
 39 |     return exp(-d*T)*gsl_cdf_ugaussian_P(d1);
 40 | }
 41 | 
 42 | double BSPutDelta(double S, double K, double T, double Sigma, double d, double r){
 43 |     double d1 = (log(S/K) + T*(r - d) + 0.5*Sigma*Sigma*T)/(sqrt(T)*Sigma);
 44 |     return exp(-d*T)*(gsl_cdf_ugaussian_P(d1)-1);
 45 | }
 46 | 
 47 | double BSVega(double S, double K, double T, double Sigma, double d, double r){
 48 |     double d1 = (log(S/K) + T*(r - d) + 0.5*Sigma*Sigma*T)/(sqrt(T)*Sigma);
 49 |     double d2 = (log(S/K) + T*(r - d) - 0.5*Sigma*Sigma*T)/(sqrt(T)*Sigma);
 50 |     double d1d = -(log(S/K) + T*(r - d) + 0.5*Sigma*Sigma*T)/(sqrt(T)*Sigma*Sigma) + 0.5/sqrt(T);
 51 |     double d2d = -(log(S/K) + T*(r - d) + 0.5*Sigma*Sigma*T)/(sqrt(T)*Sigma*Sigma) - 0.5/sqrt(T);
 52 |     return S*exp(-d*T)*gsl_ran_gaussian_pdf(d1, 1)*d1d - K*exp(-r*T)*gsl_ran_gaussian_pdf(d2, 1)*d2d;
 53 | }
 54 | 
 55 | double BSCallIV(double C, double S, double K, double T, double d, double r){
 56 |     double vol_left = 0;
 57 |     double vol_right = 20;
 58 |     int count = 0;
 59 |     double est = BSCall(S,K, T, (vol_left+vol_right)/2, d, r);
 60 |     while (fabs(est - C) > 0.000000000001) {
 61 |         if(est > C){
 62 |             vol_right = (vol_left + vol_right)/2;
 63 |         }
 64 |         else{
 65 |             vol_left = (vol_left + vol_right)/2;
 66 |         }
 67 |         est = BSCall(S, K, T, (vol_left + vol_right)/2, d, r);
 68 |         count++;
 69 |         if(count > 2000){
 70 |             return -1;
 71 |         }
 72 |     }
 73 |     return (vol_left + vol_right)/2;
 74 | }
 75 | 
 76 | double BSPutIV(double P , double S, double K, double T, double d, double r){
 77 |     double vol_left = 0;
 78 |     double vol_right = 20;
 79 |     int count = 0;
 80 |     double est = BSPut(S,K, T, (vol_left+vol_right)/2, d, r);
 81 |     while (fabs(est - P) > 0.000000000001) {
 82 |         if(est > P){
 83 |             vol_right = (vol_left + vol_right)/2;
 84 |         }
 85 |         else{
 86 |             vol_left = (vol_left + vol_right)/2;
 87 |         }
 88 |         est = BSPut(S, K, T, (vol_left + vol_right)/2, d, r);
 89 |         count++;
 90 |         if(count > 2000){
 91 |             return -1;
 92 |         }
 93 |     }
 94 |     return (vol_left + vol_right)/2;
 95 | }
 96 | 
 97 | void print_complex(gsl_complex s){
 98 |     printf("%f + %fi\n", s.dat[0], s.dat[1]);
 99 | }
100 | 
101 | 
102 | gsl_complex operator+(const gsl_complex &a, const gsl_complex &b){
103 |     return gsl_complex_add(a, b);
104 | }
105 | 
106 | gsl_complex operator+(gsl_complex a, double b){
107 |     return gsl_complex_add_real(a, b);
108 | }
109 | 
110 | gsl_complex operator+(double a, gsl_complex b){
111 |     return gsl_complex_add_real(b, a);
112 | }
113 | 
114 | gsl_complex operator*(const gsl_complex &a, const gsl_complex &b){
115 |     return gsl_complex_mul(a, b);
116 | }
117 | 
118 | gsl_complex operator*(gsl_complex a, double b){
119 |     return gsl_complex_mul_real(a, b);
120 | }
121 | 
122 | gsl_complex operator*(double a, gsl_complex b){
123 |     return gsl_complex_mul_real(b, a);
124 | }
125 | 
126 | gsl_complex operator/(const gsl_complex &a, const gsl_complex &b){
127 |     return gsl_complex_div(a, b);
128 | }
129 | 
130 | gsl_complex operator/(gsl_complex a, double b){
131 |     return gsl_complex_div_real(a, b);
132 | }
133 | 
134 | gsl_complex operator/(double a, gsl_complex b){
135 |     return gsl_complex_pow_real(gsl_complex_div_real(b, a), -1);
136 | }
137 | 
138 | gsl_complex operator-(const gsl_complex &a, const gsl_complex &b){
139 |     return gsl_complex_sub(a, b);
140 | }
141 | 
142 | gsl_complex operator-(gsl_complex a, double b){
143 |     return gsl_complex_sub_real(a, b);
144 | }
145 | 
146 | gsl_complex operator-(double a, gsl_complex b){
147 |     return gsl_complex_mul_real(gsl_complex_sub_real(b, a), -1);
148 | }
149 | 
150 | gsl_complex operator^(gsl_complex a, double b){
151 |     return gsl_complex_pow_real(a, b);
152 | }
153 | 
154 | gsl_complex operator^(const gsl_complex &a,const gsl_complex& b){
155 |     return gsl_complex_pow(a, b);
156 | }
157 | 
158 | gsl_complex log(const gsl_complex &a){
159 |     return gsl_complex_log(a);
160 | }
161 | 
162 | gsl_complex exp(const gsl_complex &a){
163 |     return gsl_complex_exp(a);
164 | }
165 | 
166 | gsl_complex I(const double& a){
167 |     return gsl_complex_rect(0, a);
168 | }
169 | 
170 | /*
171 |  
172 |  Heston Model Characteristic Function
173 |  
174 | */
175 | 
176 | gsl_complex HestonCF(gsl_complex z, double x, double Volsquare, double T, double r,
177 |                      double Chi, double Theta, double Ita, double Rho){
178 |     gsl_complex zsqurez = (z^2) + z*I(1);
179 |     gsl_complex ChiStar = Chi - z * I(Rho*Ita);
180 |     gsl_complex Gamma = ((ChiStar^2) + zsqurez * Ita*Ita)^0.5;
181 |     gsl_complex em = exp(Gamma * -T);
182 |     gsl_complex A = I(r*T)*z + (T*(ChiStar-Gamma)-2*log((ChiStar-Gamma)/2/Gamma*(1 - em) + 1))*Chi*Theta/Ita/Ita;
183 |     gsl_complex B = -1*zsqurez*(1-em)/(2*Gamma*em + (Gamma + ChiStar)*(1-em));
184 |     return exp(A+z*I(x) + B*Volsquare);
185 | }
186 | 
187 | gsl_complex TwoRegime2DHestonCF(gsl_complex y, gsl_complex z, double x, double Volsquare, double T, double r,
188 |                               double Chi, double Theta, double Ita, double Rho){
189 |     gsl_complex zsqurez = (z^2) + z*I(1);
190 |     gsl_complex ChiStar = Chi - z * I(Rho*Ita);
191 |     gsl_complex Gamma = ((ChiStar^2) + zsqurez * Ita*Ita)^0.5;
192 |     gsl_complex em = exp(Gamma * -T);
193 |     gsl_complex A = I(r*T)*z + (T*(ChiStar-Gamma)-2*log((ChiStar-Gamma - I(1)*y*Ita*Ita)/2/Gamma*(1 - em) + 1))*Chi*Theta/Ita/Ita;
194 |     gsl_complex B = I(1)*y-(zsqurez+2*y*I(1)*ChiStar+y*y*Ita*Ita)*(1-em)/(2*Gamma*em + (Gamma + ChiStar-I(1)*y*Ita*Ita)*(1-em));
195 |     return exp(A+z*I(x) + B*Volsquare);
196 | }
197 | 
198 | 
199 | gsl_complex TwoRegime1DHestonCF(gsl_complex z, double x, double Volsquare, double T1, double T2, double r,
200 |                                 double Chi1, double Theta1, double Ita1, double Rho1,
201 |                                 double Chi2, double Theta2, double Ita2, double Rho2){
202 |     gsl_complex zsqurez2 = (z^2) + z*I(1);
203 |     gsl_complex ChiStar2 = Chi2 - z * I(Rho2*Ita2);
204 |     gsl_complex Gamma2 = ((ChiStar2^2) + zsqurez2 * Ita2*Ita2)^0.5;
205 |     gsl_complex em2 = exp(Gamma2 * -T2);
206 |     gsl_complex A = I(r*T2)*z + (T2*(ChiStar2-Gamma2)-2*log((ChiStar2-Gamma2)/2/Gamma2*(1 - em2) + 1))*Chi2*Theta2/Ita2/Ita2;
207 |     gsl_complex B = -1*zsqurez2*(1-em2)/(2*Gamma2*em2 + (Gamma2 + ChiStar2)*(1-em2));
208 |     return exp(A)*TwoRegime2DHestonCF(I(-1)*B, z, x, Volsquare,T1, r, Chi1, Theta1, Ita1, Rho1);
209 | }
210 | 
211 | 
212 | gsl_complex MixedGaussianCF(gsl_complex z, double Up, double UpSigma, double Down, double DownSigma){
213 |     double P;
214 |     if(exp(Up+0.5*UpSigma*UpSigma) - exp(Down+0.5*DownSigma*DownSigma) == 0)
215 |         P=0.5;
216 |     else
217 |         P = (1 - exp(Down+0.5*DownSigma*DownSigma))/(exp(Up+0.5*UpSigma*UpSigma) - exp(Down+0.5*DownSigma*DownSigma));
218 |     return exp(z*I(Up)-(z^2)*0.5*UpSigma*UpSigma)*P + exp(z*I(Down)-(z^2)*0.5*DownSigma*DownSigma)*(1-P);
219 | }
220 | 
221 | 
222 | double HestonCall(double S, double VolSquare, double K, double T, double r,
223 |                   double Chi, double Theta, double Ita, double Rho, double StepSize)
224 | {
225 |     if(K==0){
226 |         return S;
227 |     }
228 |     if(T==0){
229 |         return S-K>0?S-K:0;
230 |     }
231 |     double x = log(S);
232 |     double logK = log(K);
233 |     const double step = StepSize;
234 |     const double alpha = 1.5;
235 |     const double range = 2000;
236 |     double integral = 0;
237 |     gsl_complex z;
238 |     for (double i=-range; i< range; i=i+step) {
239 |         z = i-I(alpha);
240 |         integral = integral + GSL_REAL(HestonCF(z - I(1), x, VolSquare, T, r, Chi, Theta, Ita, Rho)*exp(z * I(-logK))/z/(I(1) - z))*step;
241 |     }
242 |     return integral/(2*M_PI)*exp(-r*T);
243 | }
244 | 
245 | /*
246 | double x, double Volsquare, double T1, double T2, double r,
247 | double Chi1, double Theta1, double Ita1, double Rho1,
248 | double Chi2, double Theta2, double Ita2, double Rho2*/
249 | 
250 | double TwoRegimeHestonCall(double S, double VolSquare, double K, double T1, double T2, double r,
251 |                            double Chi1, double Theta1, double Ita1, double Rho1,
252 |                            double Chi2, double Theta2, double Ita2, double Rho2, double StepSize)
253 | {
254 |     if(K==0){
255 |         return S;
256 |     }
257 |     if(T1==0 && T2==0){
258 |         return S-K>0?S-K:0;
259 |     }
260 |     double x = log(S);
261 |     double logK = log(K);
262 |     const double step = StepSize;
263 |     const double alpha = 1.5;
264 |     const double range = 2000;
265 |     double integral = 0;
266 |     gsl_complex z;
267 |     for (double i=-range; i< range; i=i+step) {
268 |         z = i-I(alpha);
269 |         integral = integral + GSL_REAL(TwoRegime1DHestonCF(z - I(1), x, VolSquare, T1, T2, r, Chi1, Theta1, Ita1, Rho1,Chi2, Theta2, Ita2, Rho2)*exp(z * I(-logK))/z/(I(1) - z))*step;
270 |     }
271 |     return integral/(2*M_PI)*exp(-r*(T1+T2));
272 | }
273 | 
274 | 
275 | double HestonMixedGaussianCall(double S, double VolSquare, double K, double T, double r,
276 |                                double Chi, double Theta, double Ita, double Rho, double Up,
277 |                                double UpSigma, double Down, double DownSigma, double StepSize){
278 |     if(K==0){
279 |         return S;
280 |     }
281 |     if(T==0){
282 |         return S-K>0?S-K:0;
283 |     }
284 |     double x = log(S);
285 |     double logK = log(K);
286 |     const double step = StepSize;
287 |     const double alpha = 1.5;
288 |     const double range = 2000;
289 |     double integral = 0;
290 |     gsl_complex z;
291 |     for (double i=-range; i< range; i=i+step) {
292 |         z = gsl_complex_rect(i, -alpha);
293 |         integral = integral + GSL_REAL(HestonCF(z - I(1), x, VolSquare, T, r, Chi, Theta, Ita, Rho)*MixedGaussianCF(z-I(1), Up, UpSigma, Down, DownSigma) * exp(z*I(-logK))/z/(I(1)-z))*step;
294 |     }
295 |     return integral/(2*M_PI)*exp(-r*T);
296 | }
297 | 
298 | double TwoRegimeHestonMixedGaussianCall(double S, double VolSquare, double K, double T1, double T2, double r,
299 |                                         double Chi1, double Theta1, double Ita1, double Rho1,
300 |                                         double Chi2, double Theta2, double Ita2, double Rho2,
301 |                                         double Up, double UpSigma, double Down, double DownSigma,
302 |                                         double StepSize)
303 | {
304 |     if(K==0){
305 |         return S;
306 |     }
307 |     if(T1==0 && T2==0){
308 |         return S-K>0?S-K:0;
309 |     }
310 |     double x = log(S);
311 |     double logK = log(K);
312 |     const double step = StepSize;
313 |     const double alpha = 1.5;
314 |     const double range = 2000;
315 |     double integral = 0;
316 |     gsl_complex z;
317 |     for (double i=-range; i< range; i=i+step) {
318 |         z = i-I(alpha);
319 |         integral = integral + GSL_REAL(TwoRegime1DHestonCF(z - I(1), x, VolSquare, T1, T2, r, Chi1, Theta1, Ita1, Rho1,Chi2, Theta2, Ita2, Rho2)*MixedGaussianCF(z-I(1), Up, UpSigma, Down, DownSigma)*exp(z * I(-logK))/z/(I(1) - z))*step;
320 |     }
321 |     return integral/(2*M_PI)*exp(-r*(T1+T2));
322 | }
323 | 
324 | 
325 | 


--------------------------------------------------------------------------------
/BSLib.hpp:
--------------------------------------------------------------------------------
 1 | //
 2 | //  BSLib.h
 3 | //  Option
 4 | //
 5 | //  Created by junyan on 10/21/16.
 6 | //  Copyright © 2016 junyan. All rights reserved.
 7 | //
 8 | 
 9 | #ifndef BSLib_h
10 | #define BSLib_h
11 | 
12 | #include <stdio.h>
13 | #include <math.h>
14 | #include <gsl/gsl_cdf.h>
15 | #include <gsl/gsl_randist.h>
16 | #include <gsl/gsl_complex.h>
17 | #include <gsl/gsl_complex_math.h>
18 | 
19 | 
20 | double BSCall(double S, double K, double T, double Sigma, double d, double r);
21 | double BSPut(double S, double K, double T, double Sigma, double d, double r);
22 | double BSVega(double S, double K, double T, double Sigma, double d, double r);
23 | double BSCallDelta(double S, double K, double T, double Sigma, double d, double r);
24 | double BSPutDelta(double S, double K, double T, double Sigma, double d, double r);
25 | double BSGamma(double S, double K, double T, double Sigma, double d, double r);
26 | double BSTheta(double S, double K, double T, double Sigma, double d, double r);
27 | 
28 | 
29 | /*
30 |  Main stochastics model pricer
31 |  */
32 | 
33 | double HestonCall(double S, double VolSquare, double K, double T, double r,
34 |                   double Chi, double Theta, double Ita, double Rho,
35 |                   double StepSize);
36 | double HestonMixedGaussianCall(double S, double VolSquare, double K, double T,
37 |                                double r, double Chi, double Theta, double Ita,
38 |                                double Rho, double Up, double UpSigma,
39 |                                double Down, double DownSigma, double StepSize);
40 | double TwoRegimeHestonCall(double S, double VolSquare, double K, double T1,
41 |                            double T2, double r, double Chi1, double Theta1,
42 |                            double Ita1, double Rho1, double Chi2, double Theta2,
43 |                            double Ita2, double Rho2, double StepSize);
44 | 
45 | double TwoRegimeHestonMixedGaussianCall(double S, double VolSquare, double K, double T1, double T2, double r,
46 |                                         double Chi1, double Theta1, double Ita1, double Rho1,
47 |                                         double Chi2, double Theta2, double Ita2, double Rho2,
48 |                                         double Up, double UpSigma, double Down, double DownSigma,
49 |                                         double StepSize);
50 | /*
51 |  
52 |  Compute implied volatility
53 |  
54 |  */
55 | 
56 | double BSCallIV(double C, double S, double K, double T, double d, double r);
57 | double BSPutIV(double P , double S, double K, double T, double d, double r);
58 | 
59 | #endif /* BSLib_h */
60 | 


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39 |          </BuildableReference>
40 |       </MacroExpansion>
41 |       <AdditionalOptions>
42 |       </AdditionalOptions>
43 |    </TestAction>
44 |    <LaunchAction
45 |       buildConfiguration = "Debug"
46 |       selectedDebuggerIdentifier = "Xcode.DebuggerFoundation.Debugger.LLDB"
47 |       selectedLauncherIdentifier = "Xcode.DebuggerFoundation.Launcher.LLDB"
48 |       launchStyle = "0"
49 |       useCustomWorkingDirectory = "NO"
50 |       ignoresPersistentStateOnLaunch = "NO"
51 |       debugDocumentVersioning = "YES"
52 |       debugServiceExtension = "internal"
53 |       allowLocationSimulation = "YES">
54 |       <BuildableProductRunnable
55 |          runnableDebuggingMode = "0">
56 |          <BuildableReference
57 |             BuildableIdentifier = "primary"
58 |             BlueprintIdentifier = "A9B4D2AD1DB94103001FE35A"
59 |             BuildableName = "Option"
60 |             BlueprintName = "Option"
61 |             ReferencedContainer = "container:Option.xcodeproj">
62 |          </BuildableReference>
63 |       </BuildableProductRunnable>
64 |       <AdditionalOptions>
65 |       </AdditionalOptions>
66 |    </LaunchAction>
67 |    <ProfileAction
68 |       buildConfiguration = "Release"
69 |       shouldUseLaunchSchemeArgsEnv = "YES"
70 |       savedToolIdentifier = ""
71 |       useCustomWorkingDirectory = "NO"
72 |       debugDocumentVersioning = "YES">
73 |       <BuildableProductRunnable
74 |          runnableDebuggingMode = "0">
75 |          <BuildableReference
76 |             BuildableIdentifier = "primary"
77 |             BlueprintIdentifier = "A9B4D2AD1DB94103001FE35A"
78 |             BuildableName = "Option"
79 |             BlueprintName = "Option"
80 |             ReferencedContainer = "container:Option.xcodeproj">
81 |          </BuildableReference>
82 |       </BuildableProductRunnable>
83 |    </ProfileAction>
84 |    <AnalyzeAction
85 |       buildConfiguration = "Debug">
86 |    </AnalyzeAction>
87 |    <ArchiveAction
88 |       buildConfiguration = "Release"
89 |       revealArchiveInOrganizer = "YES">
90 |    </ArchiveAction>
91 | </Scheme>
92 | 


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 1 | <?xml version="1.0" encoding="UTF-8"?>
 2 | <!DOCTYPE plist PUBLIC "-//Apple//DTD PLIST 1.0//EN" "http://www.apple.com/DTDs/PropertyList-1.0.dtd">
 3 | <plist version="1.0">
 4 | <dict>
 5 | 	<key>SchemeUserState</key>
 6 | 	<dict>
 7 | 		<key>Option.xcscheme</key>
 8 | 		<dict>
 9 | 			<key>orderHint</key>
10 | 			<integer>0</integer>
11 | 		</dict>
12 | 	</dict>
13 | 	<key>SuppressBuildableAutocreation</key>
14 | 	<dict>
15 | 		<key>A9B4D2AD1DB94103001FE35A</key>
16 | 		<dict>
17 | 			<key>primary</key>
18 | 			<true/>
19 | 		</dict>
20 | 	</dict>
21 | </dict>
22 | </plist>
23 | 


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/PyHeston.cpp:
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  1 | //
  2 | //  Option.c
  3 | //  Option
  4 | //
  5 | //  Created by junyan on 10/21/16.
  6 | //  Copyright © 2016 junyan. All rights reserved.
  7 | //
  8 | 
  9 | #include "BSLib.hpp"
 10 | #include "BSDoc.hpp"
 11 | #include <Python.h>
 12 | 
 13 | static PyObject *SpamError;
 14 | 
 15 | static PyObject * Option_BSCall(PyObject *self, PyObject *args)
 16 | {
 17 |     double S, K, T, Sigma, d, r;
 18 |     if (!PyArg_ParseTuple(args, "dddddd", &S, &K, &T, &Sigma, &d, &r)){
 19 |         PyErr_SetString(SpamError, "Input is not valid");
 20 |         return NULL;
 21 |     }
 22 |     return PyFloat_FromDouble(BSCall(S, K, T, Sigma, d, r));
 23 | }
 24 | 
 25 | static PyObject * Option_BSPut(PyObject *self, PyObject *args)
 26 | {
 27 |     double S, K, T, Sigma, d, r;
 28 |     if (!PyArg_ParseTuple(args, "dddddd", &S, &K, &T, &Sigma, &d, &r)){
 29 |         PyErr_SetString(SpamError, "Input is not valid");
 30 |         return NULL;
 31 |     }
 32 |     return PyFloat_FromDouble(BSPut(S, K, T, Sigma, d, r));
 33 | }
 34 | 
 35 | static PyObject * Option_BSVega(PyObject *self, PyObject *args)
 36 | {
 37 |     double  S, K, T, Sigma, d, r;
 38 |     if (!PyArg_ParseTuple(args, "dddddd", &S, &K, &T, &Sigma, &d, &r)){
 39 |         PyErr_SetString(SpamError, "Input is not valid");
 40 |         return NULL;
 41 |     }
 42 |     return PyFloat_FromDouble(BSVega(S, K, T, Sigma, d, r));
 43 | }
 44 | 
 45 | static PyObject * Option_BSCallIV(PyObject *self, PyObject *args)
 46 | {
 47 |     double C, S, K, T, d, r;
 48 |     if (!PyArg_ParseTuple(args, "dddddd", &C, &S, &K, &T, &d, &r)){
 49 |         PyErr_SetString(SpamError, "Input is not valid");
 50 |         return NULL;
 51 |     }
 52 |     return PyFloat_FromDouble(BSCallIV(C, S, K, T, d, r));
 53 | }
 54 | 
 55 | static PyObject * Option_BSPutIV(PyObject *self, PyObject *args)
 56 | {
 57 |     double P, S, K, T, d, r;
 58 |     if (!PyArg_ParseTuple(args, "dddddd", &P, &S, &K, &T, &d, &r)){
 59 |         PyErr_SetString(SpamError, "Input is not valid");
 60 |         return NULL;
 61 |     }
 62 |     return PyFloat_FromDouble(BSPutIV(P, S, K, T, d, r));
 63 | }
 64 | 
 65 | static PyObject * Option_HestonCall(PyObject *self, PyObject *args)
 66 | {
 67 |     double S, VolSquare, K, T, r, Chi, Theta, Ita, Rho, StepSize;
 68 |     if (!PyArg_ParseTuple(args, "dddddddddd", &S, &VolSquare, &K, &T, &r, &Chi, &Theta, &Ita, &Rho, &StepSize)){
 69 |         PyErr_SetString(SpamError, "Input is not valid");
 70 |         return NULL;
 71 |     }
 72 |     return PyFloat_FromDouble(HestonCall(S, VolSquare, K, T, r, Chi, Theta, Ita, Rho, StepSize));
 73 | }
 74 | 
 75 | static PyObject * Option_HestonPut(PyObject *self, PyObject *args)
 76 | {
 77 |     double S, VolSquare, K, T, r, Chi, Theta, Ita, Rho, StepSize;
 78 |     if (!PyArg_ParseTuple(args, "dddddddddd", &S, &VolSquare, &K, &T, &r, &Chi, &Theta, &Ita, &Rho, &StepSize)){
 79 |         PyErr_SetString(SpamError, "Input is not valid");
 80 |         return NULL;
 81 |     }
 82 |     return PyFloat_FromDouble(HestonCall(S, VolSquare, K, T, r, Chi, Theta, Ita, Rho, StepSize) + K*exp(-r*T) - S);
 83 | }
 84 | 
 85 | static PyObject * Option_HestonMixedGaussianCall(PyObject *self, PyObject *args)
 86 | {
 87 |     double S, VolSquare, K, T, r, Chi, Theta, Ita, Rho, Up, UpSigma, Down, DownSigma, StepSize;
 88 |     if (!PyArg_ParseTuple(args, "dddddddddddddd", &S, &VolSquare, &K, &T, &r, &Chi, &Theta, &Ita, &Rho, &Up, &UpSigma, &Down, &DownSigma, &StepSize)){
 89 |         PyErr_SetString(SpamError, "Input is not valid");
 90 |         return NULL;
 91 |     }
 92 |     return PyFloat_FromDouble(HestonMixedGaussianCall(S, VolSquare, K, T, r, Chi, Theta, Ita, Rho, Up, UpSigma, Down, DownSigma, StepSize));
 93 | }
 94 | 
 95 | 
 96 | static PyObject * Option_HestonMixedGaussianPut(PyObject *self, PyObject *args)
 97 | {
 98 |     double S, VolSquare, K, T, r, Chi, Theta, Ita, Rho, Up, UpSigma, Down, DownSigma, StepSize;
 99 |     if (!PyArg_ParseTuple(args, "dddddddddddddd", &S, &VolSquare, &K, &T, &r, &Chi, &Theta, &Ita,
100 |                         &Rho, &Up, &UpSigma, &Down, &DownSigma, &StepSize)){
101 |         PyErr_SetString(SpamError, "Input is not valid");
102 |         return NULL;
103 |     }
104 |     return PyFloat_FromDouble(HestonMixedGaussianCall(
105 |         S, VolSquare, K, T, r, Chi, Theta, Ita, Rho, Up, UpSigma, Down, DownSigma, StepSize) + K*exp(-r*T) - S);
106 | }
107 | 
108 | static PyObject * Option_TwoRegimeHestonModelCall(PyObject *self, PyObject *args)
109 | {
110 |     double S, VolSquare, K, T1, T2, r, Chi1, Theta1, Ita1, Rho1, Chi2, Theta2, Ita2, Rho2, StepSize;
111 |     if (!PyArg_ParseTuple(args, "ddddddddddddddd", &S, &VolSquare, &K, &T1, &T2, &r, &Chi1, &Theta1, &Ita1, &Rho1, &Chi2, &Theta2, &Ita2, &Rho2, &StepSize)){
112 |         PyErr_SetString(SpamError, "Input is not valid");
113 |         return NULL;
114 |     }
115 |     return PyFloat_FromDouble(TwoRegimeHestonCall(S, VolSquare, K, T1, T2, r, Chi1, Theta1, Ita1, Rho1, Chi2, Theta2, Ita2, Rho2, StepSize));
116 | }
117 | 
118 | static PyObject * Option_TwoRegimeHestonModelPut(PyObject *self, PyObject *args)
119 | {
120 |     double S, VolSquare, K, T1, T2, r, Chi1, Theta1, Ita1, Rho1, Chi2, Theta2, Ita2, Rho2, StepSize;
121 |     if (!PyArg_ParseTuple(args, "ddddddddddddddd", &S, &VolSquare, &K, &T1, &T2, &r, &Chi1, &Theta1, &Ita1, &Rho1, &Chi2, &Theta2, &Ita2, &Rho2, &StepSize)){
122 |         PyErr_SetString(SpamError, "Input is not valid");
123 |         return NULL;
124 |     }
125 |     return PyFloat_FromDouble(TwoRegimeHestonCall(
126 |         S, VolSquare, K, T1, T2, r, Chi1, Theta1, Ita1, Rho1, Chi2, Theta2, Ita2, Rho2, StepSize) + K*exp(-r*(T1+T2)) - S);
127 | }
128 | 
129 | static PyObject * Option_TwoRegimeHestonMixedGaussianCall(PyObject *self, PyObject *args)
130 | {
131 |     double S, VolSquare, K, T1, T2, r, Chi1, Theta1, Ita1, Rho1, Chi2, Theta2, Ita2, Rho2, Up, UpSigma, Down, DownSigma, StepSize;
132 |     if (!PyArg_ParseTuple(
133 |             args, "ddddddddddddddddddd", &S, &VolSquare, &K, &T1, &T2, &r,
134 |             &Chi1, &Theta1, &Ita1, &Rho1, &Chi2, &Theta2, &Ita2, &Rho2,
135 |             &Up, &UpSigma, &Down, &DownSigma, &StepSize)){
136 |         PyErr_SetString(SpamError, "Input is not valid");
137 |         return NULL;
138 |     }
139 |     return PyFloat_FromDouble(TwoRegimeHestonMixedGaussianCall(
140 |         S, VolSquare, K, T1, T2, r, Chi1, Theta1, Ita1, Rho1, Chi2,
141 |         Theta2, Ita2, Rho2, Up, UpSigma, Down, DownSigma, StepSize));
142 | }
143 | 
144 | static PyObject * Option_TwoRegimeHestonMixedGaussianPut(PyObject *self, PyObject *args)
145 | {
146 |     double S, VolSquare, K, T1, T2, r, Chi1, Theta1, Ita1, Rho1, Chi2, Theta2, Ita2, Rho2, Up, UpSigma, Down, DownSigma, StepSize;
147 |     if (!PyArg_ParseTuple(
148 |                           args, "ddddddddddddddddddd", &S, &VolSquare, &K, &T1, &T2, &r,
149 |                           &Chi1, &Theta1, &Ita1, &Rho1, &Chi2, &Theta2, &Ita2, &Rho2,
150 |                           &Up, &UpSigma, &Down, &DownSigma, &StepSize)){
151 |         PyErr_SetString(SpamError, "Input is not valid");
152 |         return NULL;
153 |     }
154 |     return PyFloat_FromDouble(TwoRegimeHestonMixedGaussianCall(
155 |         S, VolSquare, K, T1, T2, r, Chi1, Theta1, Ita1, Rho1, Chi2,
156 |         Theta2, Ita2, Rho2, Up, UpSigma, Down, DownSigma, StepSize)+ K*exp(-r*(T1+T2)) - S);
157 | }
158 | 
159 | extern "C"{
160 |     static PyMethodDef OptionMethods[] = {
161 |         {"BSCall",  Option_BSCall, METH_VARARGS, "Calculate BS call option price"},
162 |         {"BSPut",  Option_BSPut, METH_VARARGS, "Calculate BS put option price"},
163 |         {"BSVega",  Option_BSVega, METH_VARARGS, "Calculate BS Vega"},
164 |         {"BSCallIV",  Option_BSCallIV, METH_VARARGS, "Calculate BS call option implied vol"},
165 |         {"BSPutIV",  Option_BSPutIV, METH_VARARGS, "Calculate BS put option implied vol"},
166 |         {"HestonCall",  Option_HestonCall, METH_VARARGS, doc::HestonCall},
167 |         {"HestonPut",  Option_HestonPut, METH_VARARGS, doc::HestonPut},
168 |         {"HestonMixedGaussianCall", Option_HestonMixedGaussianCall, METH_VARARGS, doc::HestonMixedGaussianCall},
169 |         {"HestonMixedGaussianPut", Option_HestonMixedGaussianPut, METH_VARARGS, doc::HestonMixedGaussianPut},
170 |         {"TwoRegimeHestonCall", Option_TwoRegimeHestonModelCall, METH_VARARGS, doc::TwoRegimeHestonCall},
171 |         {"TwoRegimeHestonPut", Option_TwoRegimeHestonModelPut, METH_VARARGS, doc::TwoRegimeHestonPut},
172 |         {"TwoRegimeHestonMixedGaussianCall", Option_TwoRegimeHestonMixedGaussianCall, METH_VARARGS, "Calculate Two Regime Heston Gaussian call option price"},
173 |         {"TwoRegimeHestonMixedGaussianPut", Option_TwoRegimeHestonMixedGaussianPut, METH_VARARGS, "Calculate Two Regime Heston Gaussian put option price"},
174 |         {NULL, NULL, 0, NULL}        /* Sentinel */
175 |     };
176 |     
177 |     static struct PyModuleDef PyHestonmodule = {
178 |         PyModuleDef_HEAD_INIT,
179 |         "PyHeston",   /* name of module */
180 |         NULL, /* module documentation, may be NULL */
181 |         -1,       /* size of per-interpreter state of the module,
182 |                    or -1 if the module keeps state in global variables. */
183 |         OptionMethods
184 |     };
185 |     
186 |     PyMODINIT_FUNC
187 |     PyInit_PyHeston(void)
188 |     {
189 |         return PyModule_Create(&PyHestonmodule);
190 |     }
191 | }
192 | 
193 | int main(){
194 |     printf("Result %f\n", HestonMixedGaussianCall(200, 0, 200, 0.2, 0.1, 0.1, 0.1, 0.1, 0.1, 0.000001, 0, -0.000001, 0, 0.4));
195 |     printf("Result %f\n", TwoRegimeHestonCall(200, 0, 200, 0.1, 0.05, 0, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.4));
196 |     printf("Result %f\n", TwoRegimeHestonMixedGaussianCall(
197 |         200, 0, 200, 0.1, 0.05, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0.1, 0, -0.1, 0, 0.4));
198 |     printf("Result %f\n", HestonCall(200, 0, 200, 0.2, 0.1, 0.1, 0.1, 0.1, 0.1, 0.4));
199 | }
200 | 
201 | 
202 | 
203 | 
204 | 
205 | 
206 | 
207 | 


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/readme.md:
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  1 | 
  2 | # Heston Model Pricing Library[![Awesome](https://cdn.rawgit.com/sindresorhus/awesome/d7305f38d29fed78fa85652e3a63e154dd8e8829/media/badge.svg)](https://github.com/sindresorhus/awesome)
  3 | 
  4 | 
  5 | _Author: Junyan Xu_  
  6 | _Date:   Dec 17th, 2016_  
  7 | 
  8 | 
  9 | ## 1. Module Introduction
 10 | 
 11 | Before the discrete events happen, there are usually some abnormalities on the theoretically "convex" vol surface. Very often at the ATM part we will see some small bumps. This package provide you a simple way to use combination of Heston and jump model to calibrate these exotic shape.
 12 | 
 13 | The library is designed for providing fast C++ implementation of Heston model pricer for Python. You can download the library to easily compute all kinds of Heston model variation. Currently the package support the pricing of:
 14 | * Normal B-S model option
 15 | * Heston model
 16 | * Heston model with Gaussian jumps(for vol surface calibration before discrete event)
 17 | * Two-regime Heston model (assume Heston parameters are different before and after discrete event)
 18 | * Two-regime Heston model with Gaussian jumps
 19 | 
 20 | The complex integral shift constant in the formula is set to be 1.5 while the integral range is set to be -2000, 2000. It is recommended that you can choose StepSize to be 0.4. * The standard way using fft to price option can be found in [Option valuation using the fast Fourier transform](http://engineering.nyu.edu/files/jcfpub.pdf)
 21 | 
 22 | ## 2. Pricing Module
 23 | 
 24 | ### Installation
 25 | The pricing module is implemented in C++ so it has faster computation speed than directly implementing in Python. To begin with you need to install GNU Scientific Library in your PC. After download latest [GSL](http://ftp://ftp.gnu.org/gnu/gsl/), extract the .tar.gz or .zip into a directory. Now we start to install this C++ library
 26 | 
 27 | * cd to the Python-Heston-Option-Pricer directory, type following command into terminal
 28 | ```
 29 | ./configure
 30 | ```
 31 | 
 32 | * Then type
 33 | ```
 34 | make
 35 | ```
 36 | 
 37 | * After compliation finished, type
 38 | ```
 39 | make install
 40 | ```
 41 | Now the gsl has been installed into your computer and the headers are in **\usr\local\include** and libraries object files are in **\usr\local\lib**
 42 | 
 43 | * Switch to my Python-Heston-Option-Pricer directory. you will see setup.py there, type
 44 | ```
 45 | sudo python setup.py build install
 46 | ```
 47 | 
 48 | ### A simple exotic volatility surface example
 49 | 
 50 | After installed PyHeston module to your python. Open up your ipython console to try:
 51 | ```python
 52 | import PyHeston
 53 | import numpy
 54 | import matplotlib.pyplot as plt
 55 | import itertools
 56 | from mpl_toolkits.mplot3d import Axes3D
 57 | from matplotlib import cm
 58 | help(PyHeston.HestonMixedGaussianCall)
 59 | ```
 60 | 
 61 | 
 62 |     Help on built-in function HestonMixedGaussianCall in module PyHeston:
 63 | 
 64 |     HestonMixedGaussianCall(...)
 65 |         Calculate heston model mixed gaussian call option price. The parameters follow the following sequence:
 66 | 
 67 |          S: Current underlying price
 68 |          V0: Current instantaneous volatility square
 69 |          K: Strike price
 70 |          T: Time to expiry
 71 |          r: Interest rate
 72 |          Kappa: Mean reversion maganitude
 73 |          Theta: Long term mean in Heston model
 74 |          Eta: Vol of vol
 75 |          Rho: Correlation of underlying stochastic term with vol
 76 | 
 77 |          The Mixed Gaussian part has four parameters:
 78 |          Up: average maganitude of up log jump
 79 |          UpSigma: dispersion maganitude of up log jump
 80 |          Down: average maganitude of down log jump
 81 |          DownSigma: dispersion maganitude of down log jump
 82 |         Stepsize: Numerical solution stepsize. Recommend 0.4
 83 | 
 84 | ```python
 85 | # Background parameters
 86 | 
 87 | S = 200
 88 | v=0.8
 89 | r = 0.1
 90 | dividend = 0
 91 | Kappa = 1
 92 | Theta = 0.4
 93 | Eta =15
 94 | Rho =-0.5
 95 | Up = 0.1
 96 | Down = -0.1
 97 | UpSigma = 0.02
 98 | DownSigma = 0.02
 99 | StepSize = 0.4
100 | 
101 | # Define a wrapper calling computation func
102 | 
103 | def getHestonMixedGaussianCallIV(K, T):
104 |     return PyHeston.BSCallIV(
105 |         PyHeston.HestonMixedGaussianCall(
106 |             S, v,
107 |             K, T,
108 |             r,
109 |             Kappa, Theta, Eta, Rho,
110 |             Up, UpSigma, Down, DownSigma,
111 |             StepSize
112 |         ),
113 |         S, K, T, dividend, 0
114 |     )
115 | 
116 | Strikes = numpy.arange(140, 260, 5)
117 | T = numpy.arange(0.001, 0.1, 0.001)
118 | Strikes, T = numpy.meshgrid(Strikes, T)
119 | IVsurface = numpy.zeros(Strikes.shape)
120 | for i in range(Strikes.shape[0]):
121 |     for j in range(Strikes.shape[1]):
122 |         IVsurface[i][j] = getHestonMixedGaussianCallIV(
123 |             Strikes[i][j], T[i][j]
124 |         )
125 | fig = plt.figure()
126 | ax = fig.add_subplot(111, projection='3d')
127 | surf = ax.plot_surface(
128 |     Strikes, T, IVsurface, rstride=1, cstride=1,
129 |     cmap=cm.coolwarm, linewidth=0, antialiased=False)
130 | ax.set_xlabel('Strike price')
131 | ax.set_ylabel('Time to expiry')
132 | ax.set_zlabel('Implied vol')
133 | plt.show()
134 | ```
135 | ![optional caption text](figures/IVsurface.png)
136 | 
137 | ### Function List
138 | 
139 | The interface of all functions in **PyHeston** module are listed here:
140 | ```python
141 | from PyHeston import *
142 | BSCall(S, K, T, Sigma, d, r)
143 | BSPut(S, K, T, Sigma, d, r)
144 | BSCallIV(C, S, K, T, d, r)
145 | BSPutIV(P, S, K, T, d, r)
146 | HestonModelCall(S, V0, K, T, r, Kappa, Theta, Ita, Rho, StepSize)
147 | HestonModelPut(S, V0, K, T, r, Kappa, Theta, Ita, Rho, StepSize)
148 | HestonMixedGaussianCall(S, V0, K, T, r, Kappa, Theta, Eta, Rho, Up, UpSigma, Down, DownSigma, StepSize)
149 | HestonMixedGaussianPut(S, V0, K, T, r, Kappa, Theta, Eta, Rho, Up, UpSigma, Down, DownSigma, StepSize)
150 | TwoRegimeHestonModelCall(S, V0, K, T1, T2, r, Kappa1, Theta1, Eta1, Rho1, Kappa2, Theta2, Eta2, Rho2, StepSize)
151 | TwoRegimeHestonModelPut(S, V0, K, T1, T2, r, Kappa1, Theta1, Eta1, Rho1, Kappa, Theta2, Eta2, Rho2, StepSize)
152 | TwoRegimeHestonModelCall(S, V0, K, T1, T2, r, Kappa1, Theta1, Eta1, Rho1, Kappa2, Theta2, Eta2, Rho2, StepSize)
153 | TwoRegimeHestonModelPut(S, V0, K, T1, T2, r, Kappa1, Theta1, Eta1, Rho1, Kappa2, Theta2, Eta2, Rho2, StepSize)
154 | ```
155 | 


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/setup.py:
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 1 | from distutils.core import setup, Extension
 2 | 
 3 | module = Extension(
 4 |     'PyHeston',
 5 |     sources=['PyHeston.cpp', 'BSLib.cpp'],
 6 |     include_dirs=['/usr/lib/gsl/lib', '/usr/local/include'],
 7 |     library_dirs=['/usr/local/lib'],
 8 |     libraries=['gsl', 'gslcblas']
 9 | )
10 | 
11 | setup(
12 |     name='PyHeston',
13 |     version='2.0',
14 |     description='This is a professional package for option pricing',
15 |     author='Junyan Paul Xu',
16 |     author_email='junyanxu5513@gmail.com',
17 |     ext_modules=[module])
18 | 


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