9.11 Heston Process - Intraday interpolation

We reproduce here the figure 9.12 of the book. We show intraday interpolation of prices, and show the error against the actual prices. Utilitary functions can be found next to this file.

Necessary Imports

import os
import sys

from matplotlib import pyplot as plt

try:
    CURRENT_DIR = os.path.dirname(os.path.abspath(__file__))
except NameError:
    CURRENT_DIR = os.getcwd()
data_path = os.path.join(CURRENT_DIR, "data")
PARENT_DIR = os.path.abspath(os.path.join(CURRENT_DIR, ".."))
sys.path.insert(0, PARENT_DIR)

from utils.ch9.heston import *

params = maps.composition_map([get_pricer_param,get_instrument_param_basket_option_mat])()
params['graphic'](params)
plt.show()

# Repro test
params = get_model_param()
params = {**params,**get_var_param(params)}
params['reproductibility'] = True
params = maps.apply_map(params)
params = generate_paths(params)
params['graphic'](params)
plt.show()

params = get_var_data()
params['graphic'](params)
plt.show()

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