-
Notifications
You must be signed in to change notification settings - Fork 562
/
BUILD
90 lines (81 loc) · 1.86 KB
/
BUILD
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
# Approximations for the option prices in the SABR Model.
licenses(["notice"])
package(default_visibility = ["//tf_quant_finance:__subpackages__"])
py_library(
name = "approximations",
srcs = ["__init__.py"],
deps = [
":calibration",
":european_options",
":implied_volatility",
],
)
py_library(
name = "european_options",
srcs = ["european_options.py"],
deps = [
":implied_volatility",
# tensorflow dep,
],
)
py_test(
name = "european_options_test",
srcs = ["european_options_test.py"],
python_version = "PY3",
deps = [
"//tf_quant_finance",
# test util,
# absl/testing:parameterized dep,
# numpy dep,
# tensorflow dep,
],
)
py_library(
name = "implied_volatility",
srcs = ["implied_volatility.py"],
deps = [
# enum dep,
# numpy dep,
# tensorflow dep,
],
)
py_test(
name = "implied_volatility_test",
srcs = ["implied_volatility_test.py"],
python_version = "PY3",
shard_count = 4,
deps = [
"//tf_quant_finance",
# test util,
# absl/testing:parameterized dep,
# numpy dep,
# tensorflow dep,
],
)
py_library(
name = "calibration",
srcs = ["calibration.py"],
deps = [
":european_options",
":implied_volatility",
"//tf_quant_finance/black_scholes",
"//tf_quant_finance/math:gradient",
"//tf_quant_finance/math/optimizer",
"//tf_quant_finance/types",
"//tf_quant_finance/utils",
],
)
py_test(
name = "calibration_test",
timeout = "long",
srcs = ["calibration_test.py"],
python_version = "PY3",
shard_count = 20,
deps = [
"//tf_quant_finance",
# test util,
# absl/testing:parameterized dep,
# numpy dep,
# tensorflow dep,
],
)