google/tf-quant-finance

Approximate European option price under SABR model

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#8 opened on Sep 11, 2019

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good first issue

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Description

SABR model has accurate density approximations (see, e.g., here). It is of interest to use the approximations to estimate European option prices.

The module implementing this method should live under tf_quant_finance/volatility/sabr_approximation.py. It should support both European puts and calls approximations. Tests should be in sabr_approximation_test.py in the same folder.

Contributor guide

Research direction
Study the SABR model approximations from the referenced paper (arxiv.org/pdf/1107.1834.pdf), then implement the European option pricing function in sabr approximation.py and write corresponding tests in sabr approximation test.py. Ensure support for both puts and calls.
Tech stack
python
Domain
backend
Issue type
Feature
DifficultyEstimated implementation difficulty for a new contributor, from 1 for very small changes to 5 for expert-level work.
3
Estimated timeA rough time range for an experienced contributor to investigate, implement, test, and prepare a pull request.
1-2 days
Activity statusHow available the issue appears right now: fresh, active, stale, blocked, or waiting on maintainer input.
Active
ClarityHow clearly the issue explains the expected change, acceptance criteria, and next step.
Clear
Prerequisites
PythonTensorFlowGit
Newbie friendlinessA 1-100 score estimating how approachable this issue is for first-time contributors.
65