RoughVol1

Rough volatility experiments and rBergomi-based simulation and calibration.

Note: Version 1.1 is the last human-only version. The canonical version is stored in RoughVol1/init.py as __version__.

What this does

• Simulates rBergomi paths and prices options.
• Computes implied vol surfaces and distances to market surfaces.
• Supports bulk runs from spreadsheet inputs and writes results to Excel.

Project layout

• Core logic: RoughVol1/RFSV_functions.py
• Helpers and I/O: RoughVol1/RFSV_helpers.py
• Entry point: RoughVol1/RFSV_main.py
• Error metrics: RoughVol1/RFSV_functions_Error.py

Requirements

• Python 3.10+ (tested with Python 3.12)
• Install dependencies:

python -m pip install -r requirements.txt

Quick start

Run the main script (expects input files in the configured location):

python RoughVol1/RFSV_main.py --log-level INFO

Input spreadsheet expectations

The default input file is RFSV_input.xlsx (override with -x). It must include:

• A main sheet with the request table (read with header=0, skiprows=1).
• Columns for shared configuration and per-request parameters.
• Tenor and forward/variance series columns.
• Two additional sheets: VolGrid and WeightsGrid.

Minimum expected columns on the main sheet:

• Destination (output folder prefix)
• Row, Date, Spot, Underlying
• Simulations, Seed
• Roughness(Hurst), VolVol(Eta), Correlation(Rho)
• FullDiagnostic, FullOutput
• Tenor1..TenorN
• Fwd1..FwdN
• Impvar1..ImpvarN

Row selection notes:

• Positional arguments are 1-based row numbers.
• Passing 0 runs the last row in the sheet.

Example workflow

1. Prepare an input Excel file with the columns and sheets above.
2. Run a single request row:

python RoughVol1/RFSV_main.py -x RFSV_input.xlsx 1

3. Run multiple rows and write outputs to the Destination path:

python RoughVol1/RFSV_main.py -f C:\path\to\inputs -x RFSV_input.xlsx 1 2 3

Tests

Run unit tests:

python -m pytest -q

Run type checks:

python -m mypy --config-file mypy.ini RoughVol1

Formatting and hooks

Pre-commit hooks are configured for black, isort, and mypy.

python -m pre_commit install
python -m pre_commit run --all-files

On Windows, if you see long-path errors during hook setup, set a short cache:

setx PRE_COMMIT_HOME C:\pccache

Version notes

• 1.0.0: brute-force rBergomi simulation.
• 1.1.0: improved inputs/outputs, bulk runs, and distance metrics.
• 1.1 is the last human-only version.