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jialuechen · Sep 24, 2024 · a3e2637 · a3e2637
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diff --git a/README.md b/README.md
@@ -1,14 +1,14 @@
 <div align=center>
-<img src="assets/img/torchderiv_logo.png" width="40%" loc>
+<img src="assets/img/torchderiv.png" width="40%" loc>
 </div>
 
 <div align=center>
 
-# TorchDeriv : High-Performance PyTorch Library for Derivatives Pricing
+# TorchDeriv : High-Performance PyTorch Library for Derivatives Modeling and Pricing
 
-[![PyPI - Version](https://img.shields.io/pypi/v/quantorch)](https://pypi.org/project/quantorch/)
+[![PyPI - Version](https://img.shields.io/pypi/v/quantorch)](https://pypi.org/project/torchderiv/)
 [![Python Versions](https://img.shields.io/badge/python-3.6%2B-green)](https://pypi.org/project/torchderiv/)
-![PyPI downloads](https://img.shields.io/pypi/dm/quantorch)
+![PyPI downloads](https://img.shields.io/pypi/dm/torchderiv)
 [![Documentation Status](https://readthedocs.org/projects/torchderiv/badge/?version=latest)](https://torchderiv.readthedocs.io/en/latest/?badge=latest)
 [![License: Apache-2.0](https://img.shields.io/badge/License-Apache%202.0-blue.svg)](https://opensource.org/licenses/Apache-2.0)
 [![Coverage Status](https://coveralls.io/repos/github/jialuechen/torchderiv/badge.svg?branch=main)](https://coveralls.io/github/jialuechen/torchderiv?branch=main)
@@ -21,6 +21,7 @@ differentiable pricing framework with high-accuracy of numerical methods. It pro
 ## Advantages
 - fast and accurate implementation of erf function (hence the normal distribution too), which is actually two orders of magnitude faster than its equivalent in scipy.stats
 - overcome the drawbacks of finite difference method in quant finance, such as the need for re-valuation computation and approximation errors
+- enable optional hardware acceleration
 
 ## Features
 
@@ -114,7 +115,7 @@ print(f'Asian Option Price: {price.item()}')
 
 ```python
 import torch
-from torchderiv.risk_management.greeks.malliavin import malliavin_greek
+from torchderiv.risk.greeks.malliavin import malliavin_greek
 
 option_price = torch.tensor(10.0)
 underlying_price = torch.tensor(100.0)
@@ -173,8 +174,8 @@ for epoch in range(num_epochs):
 ## Credit Risk Management Example
 ```python
 import torch
-from torchderiv.risk_management.credit_risk.structural_model import merton_model
-from torchderiv.risk_management.credit_risk.reduced_form_model import reduced_form_model
+from torchderiv.risk.credit_risk.structural_model import merton_model
+from torchderiv.risk.credit_risk.reduced_form_model import reduced_form_model
 
 asset_value = torch.tensor(100.0)
 debt = torch.tensor(80.0)

diff --git a/assets/img/torchderiv_logo.png → assets/img/torchderiv.png b/assets/img/torchderiv_logo.png → assets/img/torchderiv.png
diff --git a/examples/credit_risk.py b/examples/credit_risk.py
@@ -1,6 +1,6 @@
 import torch
-from torchderiv.risk_management.credit_risk.structural_model import merton_model
-from torchderiv.risk_management.credit_risk.reduced_form_model import reduced_form_model
+from torchderiv.risk.credit_risk.structural_model import merton_model
+from torchderiv.risk.credit_risk.reduced_form_model import reduced_form_model
 
 asset_value = torch.tensor(100.0)
 debt = torch.tensor(80.0)

diff --git a/examples/malliavin_greeks.py b/examples/malliavin_greeks.py
@@ -1,5 +1,5 @@
 import torch
-from torchderiv.risk_management.greeks.malliavin import malliavin_greek
+from torchderiv.risk.greeks.malliavin import malliavin_greek
 
 option_price = torch.tensor(10.0)
 underlying_price = torch.tensor(100.0)

diff --git a/examples/market_risk.py b/examples/market_risk.py
@@ -1,6 +1,6 @@
 import torch
-from torchderiv.risk_management.market_risk.var import calculate_var
-from torchderiv.risk_management.market_risk.expected_shortfall import calculate_es
+from torchderiv.risk.market_risk.var import calculate_var
+from torchderiv.risk.market_risk.expected_shortfall import calculate_es
 
 returns = torch.tensor([0.01, -0.02, 0.03, -0.01, 0.04, -0.03])
 confidence_level = 0.95

diff --git a/examples/risk_management.py b/examples/risk_management.py
@@ -1,6 +1,6 @@
 import torch
-from torchderiv.risk_management.market_risk.var import calculate_var
-from torchderiv.risk_management.market_risk.expected_shortfall import calculate_es
+from torchderiv.risk.market_risk.var import calculate_var
+from torchderiv.risk.market_risk.expected_shortfall import calculate_es
 
 returns = torch.tensor([0.01, -0.02, 0.03, -0.01, 0.04, -0.03])
 confidence_level = 0.95

diff --git a/examples/value_adjustment.py b/examples/value_adjustment.py
@@ -1,8 +1,8 @@
 import torch
-from torchderiv.risk_management.valuation_adjustments.cva import calculate_cva
-from torchderiv.risk_management.valuation_adjustments.dva import calculate_dva
-from torchderiv.risk_management.valuation_adjustments.mva import calculate_mva
-from torchderiv.risk_management.valuation_adjustments.fva import calculate_fva
+from torchderiv.risk.valuation_adjustments.cva import calculate_cva
+from torchderiv.risk.valuation_adjustments.dva import calculate_dva
+from torchderiv.risk.valuation_adjustments.mva import calculate_mva
+from torchderiv.risk.valuation_adjustments.fva import calculate_fva
 
 exposure = torch.tensor(100.0)
 default_prob = torch.tensor(0.02)

diff --git a/tests/test_malliavin_greeks.py b/tests/test_malliavin_greeks.py
@@ -1,5 +1,5 @@
 import torch
-from torchderiv.risk_management.greeks.malliavin import malliavin_greek
+from torchderiv.risk.greeks.malliavin import malliavin_greek
 
 def test_malliavin_greek():
     option_price = torch.tensor(10.0)

diff --git a/quantorch/__init__.py → torchderiv/__init__.py b/quantorch/__init__.py → torchderiv/__init__.py
diff --git a/quantorch/calibration/__init__.py → torchderiv/calibration/__init__.py b/quantorch/calibration/__init__.py → torchderiv/calibration/__init__.py
diff --git a/quantorch/calibration/heston_calibration.py → torchderiv/calibration/heston_calibration.py b/quantorch/calibration/heston_calibration.py → torchderiv/calibration/heston_calibration.py
diff --git a/quantorch/calibration/sabr_calibration.py → torchderiv/calibration/sabr_calibration.py b/quantorch/calibration/sabr_calibration.py → torchderiv/calibration/sabr_calibration.py
diff --git a/quantorch/calibration/vasicek_calibration.py → ...hderiv/calibration/vasicek_calibration.py b/quantorch/calibration/vasicek_calibration.py → ...hderiv/calibration/vasicek_calibration.py
diff --git a/quantorch/core/__init__.py → torchderiv/core/__init__.py b/quantorch/core/__init__.py → torchderiv/core/__init__.py
diff --git a/quantorch/core/asset_pricing/__init__.py → torchderiv/core/asset_pricing/__init__.py b/quantorch/core/asset_pricing/__init__.py → torchderiv/core/asset_pricing/__init__.py
diff --git a/...re/asset_pricing/bond_pricing/__init__.py → ...re/asset_pricing/bond_pricing/__init__.py b/...re/asset_pricing/bond_pricing/__init__.py → ...re/asset_pricing/bond_pricing/__init__.py
diff --git a/...set_pricing/bond_pricing/callable_bond.py → ...set_pricing/bond_pricing/callable_bond.py b/...set_pricing/bond_pricing/callable_bond.py → ...set_pricing/bond_pricing/callable_bond.py
diff --git a/..._pricing/bond_pricing/convertible_bond.py → ..._pricing/bond_pricing/convertible_bond.py b/..._pricing/bond_pricing/convertible_bond.py → ..._pricing/bond_pricing/convertible_bond.py
diff --git a/...asset_pricing/bond_pricing/coupon_bond.py → ...asset_pricing/bond_pricing/coupon_bond.py b/...asset_pricing/bond_pricing/coupon_bond.py → ...asset_pricing/bond_pricing/coupon_bond.py
diff --git a/...sset_pricing/bond_pricing/putable_bond.py → ...sset_pricing/bond_pricing/putable_bond.py b/...sset_pricing/bond_pricing/putable_bond.py → ...sset_pricing/bond_pricing/putable_bond.py
diff --git a/...cing/bond_pricing/stochastic_rate_bond.py → ...cing/bond_pricing/stochastic_rate_bond.py b/...cing/bond_pricing/stochastic_rate_bond.py → ...cing/bond_pricing/stochastic_rate_bond.py
diff --git a/..._pricing/bond_pricing/zero_coupon_bond.py → ..._pricing/bond_pricing/zero_coupon_bond.py b/..._pricing/bond_pricing/zero_coupon_bond.py → ..._pricing/bond_pricing/zero_coupon_bond.py
diff --git a/...ch/core/asset_pricing/currency_pricing.py → ...iv/core/asset_pricing/currency_pricing.py b/...ch/core/asset_pricing/currency_pricing.py → ...iv/core/asset_pricing/currency_pricing.py
diff --git a/...orch/core/asset_pricing/equity_forward.py → ...eriv/core/asset_pricing/equity_forward.py b/...orch/core/asset_pricing/equity_forward.py → ...eriv/core/asset_pricing/equity_forward.py
diff --git a/...ore/asset_pricing/fixed_income_forward.py → ...ore/asset_pricing/fixed_income_forward.py b/...ore/asset_pricing/fixed_income_forward.py → ...ore/asset_pricing/fixed_income_forward.py
diff --git a/...rch/core/asset_pricing/futures_pricing.py → ...riv/core/asset_pricing/futures_pricing.py b/...rch/core/asset_pricing/futures_pricing.py → ...riv/core/asset_pricing/futures_pricing.py
diff --git a/.../core/asset_pricing/implied_volatility.py → .../core/asset_pricing/implied_volatility.py b/.../core/asset_pricing/implied_volatility.py → .../core/asset_pricing/implied_volatility.py
diff --git a/...ch/core/asset_pricing/local_volatility.py → ...iv/core/asset_pricing/local_volatility.py b/...ch/core/asset_pricing/local_volatility.py → ...iv/core/asset_pricing/local_volatility.py
diff --git a/.../asset_pricing/option_pricing/__init__.py → .../asset_pricing/option_pricing/__init__.py b/.../asset_pricing/option_pricing/__init__.py → .../asset_pricing/option_pricing/__init__.py
diff --git a/...option_pricing/advanced_exotic_options.py → ...option_pricing/advanced_exotic_options.py b/...option_pricing/advanced_exotic_options.py → ...option_pricing/advanced_exotic_options.py
diff --git a/...pricing/option_pricing/american_option.py → ...pricing/option_pricing/american_option.py b/...pricing/option_pricing/american_option.py → ...pricing/option_pricing/american_option.py
diff --git a/...et_pricing/option_pricing/asian_option.py → ...et_pricing/option_pricing/asian_option.py b/...et_pricing/option_pricing/asian_option.py → ...et_pricing/option_pricing/asian_option.py
diff --git a/...pricing/option_pricing/bermudan_option.py → ...pricing/option_pricing/bermudan_option.py b/...pricing/option_pricing/bermudan_option.py → ...pricing/option_pricing/bermudan_option.py
diff --git a/...t_pricing/option_pricing/binomial_tree.py → ...t_pricing/option_pricing/binomial_tree.py b/...t_pricing/option_pricing/binomial_tree.py → ...t_pricing/option_pricing/binomial_tree.py
diff --git a/...ng/option_pricing/black_scholes_merton.py → ...ng/option_pricing/black_scholes_merton.py b/...ng/option_pricing/black_scholes_merton.py → ...ng/option_pricing/black_scholes_merton.py
diff --git a/...t_pricing/option_pricing/exotic_option.py → ...t_pricing/option_pricing/exotic_option.py b/...t_pricing/option_pricing/exotic_option.py → ...t_pricing/option_pricing/exotic_option.py
diff --git a/quantorch/models/__init__.py → torchderiv/models/__init__.py b/quantorch/models/__init__.py → torchderiv/models/__init__.py
diff --git a/quantorch/models/interest_rate/__init__.py → torchderiv/models/interest_rate/__init__.py b/quantorch/models/interest_rate/__init__.py → torchderiv/models/interest_rate/__init__.py
diff --git a/...s/interest_rate/black_karasinski_model.py → ...s/interest_rate/black_karasinski_model.py b/...s/interest_rate/black_karasinski_model.py → ...s/interest_rate/black_karasinski_model.py
diff --git a/quantorch/models/interest_rate/cir_model.py → torchderiv/models/interest_rate/cir_model.py b/quantorch/models/interest_rate/cir_model.py → torchderiv/models/interest_rate/cir_model.py
diff --git a/...torch/models/interest_rate/cirpp_model.py → ...deriv/models/interest_rate/cirpp_model.py b/...torch/models/interest_rate/cirpp_model.py → ...deriv/models/interest_rate/cirpp_model.py
diff --git a/.../models/interest_rate/hull_white_model.py → .../models/interest_rate/hull_white_model.py b/.../models/interest_rate/hull_white_model.py → .../models/interest_rate/hull_white_model.py
diff --git a/quantorch/models/interest_rate/lmm_model.py → torchderiv/models/interest_rate/lmm_model.py b/quantorch/models/interest_rate/lmm_model.py → torchderiv/models/interest_rate/lmm_model.py
diff --git a/...rch/models/interest_rate/vasicek_model.py → ...riv/models/interest_rate/vasicek_model.py b/...rch/models/interest_rate/vasicek_model.py → ...riv/models/interest_rate/vasicek_model.py
diff --git a/...torch/models/local_volatility/__init__.py → ...deriv/models/local_volatility/__init__.py b/...torch/models/local_volatility/__init__.py → ...deriv/models/local_volatility/__init__.py
diff --git a/...cal_volatility/dupire_local_volatility.py → ...cal_volatility/dupire_local_volatility.py b/...cal_volatility/dupire_local_volatility.py → ...cal_volatility/dupire_local_volatility.py
diff --git a/quantorch/models/monte_carlo.py → torchderiv/models/monte_carlo.py b/quantorch/models/monte_carlo.py → torchderiv/models/monte_carlo.py
diff --git a/.../models/stochastic_volatility/__init__.py → .../models/stochastic_volatility/__init__.py b/.../models/stochastic_volatility/__init__.py → .../models/stochastic_volatility/__init__.py
diff --git a/...dels/stochastic_volatility/garch_model.py → ...dels/stochastic_volatility/garch_model.py b/...dels/stochastic_volatility/garch_model.py → ...dels/stochastic_volatility/garch_model.py
diff --git a/...els/stochastic_volatility/heston_model.py → ...els/stochastic_volatility/heston_model.py b/...els/stochastic_volatility/heston_model.py → ...els/stochastic_volatility/heston_model.py
diff --git a/...orch/models/stochastic_volatility/sabr.py → ...eriv/models/stochastic_volatility/sabr.py b/...orch/models/stochastic_volatility/sabr.py → ...eriv/models/stochastic_volatility/sabr.py
diff --git a/quantorch/models/yield_curve/__init__.py → torchderiv/models/yield_curve/__init__.py b/quantorch/models/yield_curve/__init__.py → torchderiv/models/yield_curve/__init__.py
diff --git a/...s/yield_curve/yield_curve_construction.py → ...s/yield_curve/yield_curve_construction.py b/...s/yield_curve/yield_curve_construction.py → ...s/yield_curve/yield_curve_construction.py
diff --git a/quantorch/risk_management/__init__.py → torchderiv/risk/__init__.py b/quantorch/risk_management/__init__.py → torchderiv/risk/__init__.py
diff --git a/...h/risk_management/credit_risk/__init__.py → torchderiv/risk/credit_risk/__init__.py b/...h/risk_management/credit_risk/__init__.py → torchderiv/risk/credit_risk/__init__.py
diff --git a/...agement/credit_risk/reduced_form_model.py → ...iv/risk/credit_risk/reduced_form_model.py b/...agement/credit_risk/reduced_form_model.py → ...iv/risk/credit_risk/reduced_form_model.py
diff --git a/...anagement/credit_risk/structural_model.py → ...eriv/risk/credit_risk/structural_model.py b/...anagement/credit_risk/structural_model.py → ...eriv/risk/credit_risk/structural_model.py
diff --git a/quantorch/risk_management/greeks.py → torchderiv/risk/greeks.py b/quantorch/risk_management/greeks.py → torchderiv/risk/greeks.py
diff --git a/quantorch/risk_management/greeks/__init__.py → torchderiv/risk/greeks/__init__.py b/quantorch/risk_management/greeks/__init__.py → torchderiv/risk/greeks/__init__.py
diff --git a/...torch/risk_management/greeks/malliavin.py → torchderiv/risk/greeks/malliavin.py b/...torch/risk_management/greeks/malliavin.py → torchderiv/risk/greeks/malliavin.py
diff --git a/...h/risk_management/market_risk/__init__.py → torchderiv/risk/market_risk/__init__.py b/...h/risk_management/market_risk/__init__.py → torchderiv/risk/market_risk/__init__.py
diff --git a/...agement/market_risk/expected_shortfall.py → ...iv/risk/market_risk/expected_shortfall.py b/...agement/market_risk/expected_shortfall.py → ...iv/risk/market_risk/expected_shortfall.py
diff --git a/quantorch/risk_management/market_risk/var.py → torchderiv/risk/market_risk/var.py b/quantorch/risk_management/market_risk/var.py → torchderiv/risk/market_risk/var.py
diff --git a/...orch/risk_management/scenario_analysis.py → torchderiv/risk/scenario_analysis.py b/...orch/risk_management/scenario_analysis.py → torchderiv/risk/scenario_analysis.py
diff --git a/quantorch/risk_management/stress_tesing.py → torchderiv/risk/stress_tesing.py b/quantorch/risk_management/stress_tesing.py → torchderiv/risk/stress_tesing.py
diff --git a/...agement/valuation_adjustments/__init__.py → ...iv/risk/valuation_adjustments/__init__.py b/...agement/valuation_adjustments/__init__.py → ...iv/risk/valuation_adjustments/__init__.py
diff --git a/...k_management/valuation_adjustments/cva.py → torchderiv/risk/valuation_adjustments/cva.py b/...k_management/valuation_adjustments/cva.py → torchderiv/risk/valuation_adjustments/cva.py
diff --git a/...k_management/valuation_adjustments/dva.py → torchderiv/risk/valuation_adjustments/dva.py b/...k_management/valuation_adjustments/dva.py → torchderiv/risk/valuation_adjustments/dva.py
diff --git a/...k_management/valuation_adjustments/fva.py → torchderiv/risk/valuation_adjustments/fva.py b/...k_management/valuation_adjustments/fva.py → torchderiv/risk/valuation_adjustments/fva.py
diff --git a/...k_management/valuation_adjustments/mva.py → torchderiv/risk/valuation_adjustments/mva.py b/...k_management/valuation_adjustments/mva.py → torchderiv/risk/valuation_adjustments/mva.py
diff --git a/quantorch/tensor.py → torchderiv/tensor.py b/quantorch/tensor.py → torchderiv/tensor.py
diff --git a/quantorch/utils/__init__.py → torchderiv/utils/__init__.py b/quantorch/utils/__init__.py → torchderiv/utils/__init__.py
diff --git a/quantorch/utils/data_preprocessing.py → torchderiv/utils/data_preprocessing.py b/quantorch/utils/data_preprocessing.py → torchderiv/utils/data_preprocessing.py
diff --git a/quantorch/utils/interpolation.py → torchderiv/utils/interpolation.py b/quantorch/utils/interpolation.py → torchderiv/utils/interpolation.py
diff --git a/quantorch/utils/math_tools.py → torchderiv/utils/math_tools.py b/quantorch/utils/math_tools.py → torchderiv/utils/math_tools.py
diff --git a/quantorch/utils/seq2seq_pde_solver.py → torchderiv/utils/seq2seq_pde_solver.py b/quantorch/utils/seq2seq_pde_solver.py → torchderiv/utils/seq2seq_pde_solver.py