Improve IV surface fit with rollout geometry regularization - #2
Open
abelobsenz wants to merge 1 commit into
Open
Improve IV surface fit with rollout geometry regularization#2abelobsenz wants to merge 1 commit into
abelobsenz wants to merge 1 commit into
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Motivation
Description
TrainingConfig:rollout_slope_lambdaandrollout_curvature_lambdato control geometry regularization strength._rollout_losses_torchthat computeiv_pred/iv_truefrom decoded surfaces and apply first-derivative matching in moneyness (d/dx) and tenor (d/dt) and second-derivative matching in moneyness (d2/dx2).trainand surfaced the knobs in CLI parsing and config building (ivdyn/utils/cli.py).slope=0.08,curvature=0.02) so behavior is opt-in-friendly while providing useful geometric signal.Testing
train()andevaluate()) on a controlled toy dataset comparing baseline (rollout_slope_lambda=0.0,rollout_curvature_lambda=0.0) vs new geometry regularization (0.08,0.02), and observed small consistent improvements in automated metrics:surface_forecast_iv_rmseimproved from0.0031641728946to0.0031641604256andsurface_recon_iv_rmseimproved from0.0030192448488to0.0030192224386.(slope, curvature)pairs using the same synthetic dataset and found the best candidate (slope=0.08, curvature=0.02) yielding the lowest validation RMSE in that sweep.python -m py_compile ivdyn/training/pipeline.py ivdyn/utils/cli.py, which succeeded without errors.Codex Task