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(EXP 2) Cao Heston Experiments.sh
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#!/bin/bash
# nohup "./(EXP 2) Cao Heston Experiments.sh" > .terminal_output2.txt 2>&1 &
# tail -f .terminal_output2.txt
# Set common parameters
NUM_TRAIN_SIM=65536 #32768 49152
NUM_EVAL_SIM=4096 #4096 or 8192
# My Heston Parameters
# INIT_VOL=0.0228
# KAPPA=0.0807
# THETA=0.363
# VOLVOL=0.1760
# RHO=-0.3021
# Cao's Approximate Heston Parameters
INIT_VOL=0.3 # changed from 0.0
KAPPA=1.0
THETA=0.09
VOLVOL=0.3
RHO=-0.7
FOLDER='portfolios/.Portfolio_Heston_2_Am'
# Mean-Std Experiment (Spread: 0.005) ###############################################################################################################
# args_Mean_Std=(
# # Utility Function Parameters
# -init_ttm=30 -r=0.0 -spread=0.02
# -liab_ttms=60 -poisson_rate=1.0 -moneyness_mean=1.0 -moneyness_std=0.0
# # Contract Parameters
# -S0=10 -K=10 -num_conts_to_add=-1 -contract_size=100
# # Hedging Portfolio Parameters
# -hed_ttm=30 -hed_type='American'
# # init_vol is for both GBM and Heston
# -init_vol=$INIT_VOL
# # Heston, Model Parameters
# -kappa=$KAPPA -theta=$THETA -volvol=$VOLVOL -rho=$RHO
# # Simulation Parameters
# -stochastic_process='Heston' -time_to_simulate=30 -train_sim=$NUM_TRAIN_SIM -frq=1 -TradingDaysPerYear=252
# -numerical_accuracy='low' -n_jobs=-1 -train_seed=1234
# # RL Environment Parameters
# -action_space="0,1"
# # RL Agent Parameters
# -n_step=5 -batch_size=512 -vega_obs=True -critic='qr-huber'
# # -logger_prefix='(EXP 2) Heston Experiments/spread_05/Heston_Mean_Std_05'
# -obj_func='meanstd' -std_coef=1.645
# -eval_sim=$NUM_EVAL_SIM -eval_seed=654
# -eval_only=False
# # Load Portfolio
# -portfolio_folder=$FOLDER
# )
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_1' -train_seed=1234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_2' -train_seed=2234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_3' -train_seed=3234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_4' -train_seed=4234
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_5' -train_seed=5234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_6' -train_seed=6234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_7' -train_seed=7234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_8' -train_seed=8234
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_9' -train_seed=9234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_10' -train_seed=1334 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_11' -train_seed=1434 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_12' -train_seed=1534
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_13' -train_seed=1634 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_14' -train_seed=1734 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_15' -train_seed=1834 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Mean_Std_Batch/Heston_Mean_Std_2_16' -train_seed=1934
# # Mean-Std Experiment (Spread: 0.005) ###############################################################################################################
# args_Mean_Std=(
# # Utility Function Parameters
# -init_ttm=30 -r=0.0 -spread=0.02
# -liab_ttms=60 -poisson_rate=1.0 -moneyness_mean=1.0 -moneyness_std=0.0
# # Contract Parameters
# -S0=10 -K=10 -num_conts_to_add=-1 -contract_size=100
# # Hedging Portfolio Parameters
# -hed_ttm=30 -hed_type='American'
# # init_vol is for both GBM and Heston
# -init_vol=$INIT_VOL
# # Heston, Model Parameters
# -kappa=$KAPPA -theta=$THETA -volvol=$VOLVOL -rho=$RHO
# # Simulation Parameters
# -stochastic_process='Heston' -time_to_simulate=30 -train_sim=$NUM_TRAIN_SIM -frq=1 -TradingDaysPerYear=252
# -numerical_accuracy='low' -n_jobs=-1 -train_seed=1234
# # RL Environment Parameters
# -action_space="0,1"
# # RL Agent Parameters
# -n_step=5 -batch_size=512 -vega_obs=True -critic='qr-huber'
# # -logger_prefix='(EXP 2) Heston Experiments/spread_05/Heston_Mean_Std_05'
# -obj_func='var' -std_coef=1.645
# -eval_sim=$NUM_EVAL_SIM -eval_seed=654
# -eval_only=False
# # Load Portfolio
# -portfolio_folder=$FOLDER
# )
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_1' -train_seed=1234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_2' -train_seed=2234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_3' -train_seed=3234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_4' -train_seed=4234
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_5' -train_seed=5234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_6' -train_seed=6234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_7' -train_seed=7234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_8' -train_seed=8234
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_9' -train_seed=9234 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_10' -train_seed=1334 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_11' -train_seed=1434 &
# # python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_12' -train_seed=1534
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_13' -train_seed=1634 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_14' -train_seed=1734 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_15' -train_seed=1834 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_VaR_Batch/Heston_VaR_2_16' -train_seed=1934
# # Mean-Std Experiment (Spread: 0.005) ###############################################################################################################
# args_Mean_Std=(
# # Utility Function Parameters
# -init_ttm=30 -r=0.0 -spread=0.02
# -liab_ttms=60 -poisson_rate=1.0 -moneyness_mean=1.0 -moneyness_std=0.0
# # Contract Parameters
# -S0=10 -K=10 -num_conts_to_add=-1 -contract_size=100
# # Hedging Portfolio Parameters
# -hed_ttm=30 -hed_type='American'
# # init_vol is for both GBM and Heston
# -init_vol=$INIT_VOL
# # Heston, Model Parameters
# -kappa=$KAPPA -theta=$THETA -volvol=$VOLVOL -rho=$RHO
# # Simulation Parameters
# -stochastic_process='Heston' -time_to_simulate=30 -train_sim=$NUM_TRAIN_SIM -frq=1 -TradingDaysPerYear=252
# -numerical_accuracy='low' -n_jobs=-1 -train_seed=1234
# # RL Environment Parameters
# -action_space="0,1"
# # RL Agent Parameters
# -n_step=5 -batch_size=512 -vega_obs=True -critic='qr-huber'
# # -logger_prefix='(EXP 2) Heston Experiments/spread_05/Heston_Mean_Std_05'
# -obj_func='cvar' -std_coef=1.645
# -eval_sim=$NUM_EVAL_SIM -eval_seed=654
# -eval_only=False
# # Load Portfolio
# -portfolio_folder=$FOLDER
# )
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_1' -train_seed=1234 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_2' -train_seed=2234 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_3' -train_seed=3234 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_4' -train_seed=4234
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_5' -train_seed=5234 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_6' -train_seed=6234 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_7' -train_seed=7234 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_8' -train_seed=8234
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_9' -train_seed=9234 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_10' -train_seed=1334 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_11' -train_seed=1434 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_12' -train_seed=1534
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_13' -train_seed=1634 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_14' -train_seed=1734 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_15' -train_seed=1834 &
# python runAlexander.py "${args_Mean_Std[@]}" -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_CVaR_Batch/Heston_CVaR_2_16' -train_seed=1934
#####################################################################################################################################################
# Get the most recently modified hidden folder inside ./portfolios ###################################################################################
# [ -d "./portfolios" ] || { echo "Error: Directory ./portfolios does not exist."; exit 1; }
# echo -e "\n>>Retrieving the most recently modified hidden folder inside ./portfolios..."
# last_created_folder=$(ls -td ./portfolios/.[!.]*/ 2>/dev/null | head -1)
# [ -n "$last_created_folder" ] && echo "Last modified hidden folder: $(basename "$last_created_folder")" || echo "No hidden subdirectories found in ./portfolios."
# echo
# #####################################################################################################################################################
# VaR Experiment (Spread: 0.005) ###############################################################################################################
# args_VaR=(
# # Utility Function Parameters
# -init_ttm=30 -r=0.0 -spread=0.005
# -liab_ttms=60 -poisson_rate=1.0 -moneyness_mean=1.0 -moneyness_std=0.0
# # Contract Parameters
# -S0=10 -K=10 -num_conts_to_add=-1 -contract_size=100
# # Hedging Portfolio Parameters
# -hed_ttm=30 -hed_type='American'
# # init_vol is for both GBM and Heston
# -init_vol=$INIT_VOL
# # Heston, Model Parameters
# -kappa=$KAPPA -theta=$THETA -volvol=$VOLVOL -rho=$RHO
# # Simulation Parameters
# -stochastic_process='Heston' -time_to_simulate=30 -train_sim=$NUM_TRAIN_SIM -frq=1 -TradingDaysPerYear=252
# -numerical_accuracy='low' -n_jobs=-1 -train_seed=1234
# # RL Environment Parameters
# -action_space="0,1"
# # RL Agent Parameters
# -n_step=5 -batch_size=512 -vega_obs=True -critic='qr-huber'
# -logger_prefix='(EXP 2) Heston Experiments/spread_05/Heston_VaR_05'
# -obj_func='var' -std_coef=1.645
# -eval_sim=$NUM_EVAL_SIM -eval_seed=4
# -eval_only=False
# # Load Portfolio
# -portfolio_folder=$FOLDER
# )
# python runAlexander.py "${args_VaR[@]}"
# CVaR Experiment (Spread: 0.005) ###############################################################################################################
# args_CVaR=(
# # Utility Function Parameters
# -init_ttm=30 -r=0.0 -spread=0.005
# -liab_ttms=60 -poisson_rate=1.0 -moneyness_mean=1.0 -moneyness_std=0.0
# # Contract Parameters
# -S0=10 -K=10 -num_conts_to_add=-1 -contract_size=100
# # Hedging Portfolio Parameters
# -hed_ttm=30 -hed_type='American'
# # init_vol is for both GBM and Heston
# -init_vol=$INIT_VOL
# # Heston, Model Parameters
# -kappa=$KAPPA -theta=$THETA -volvol=$VOLVOL -rho=$RHO
# # Simulation Parameters
# -stochastic_process='Heston' -time_to_simulate=30 -train_sim=$NUM_TRAIN_SIM -frq=1 -TradingDaysPerYear=252
# -numerical_accuracy='low' -n_jobs=-1 -train_seed=8
# # RL Environment Parameters
# -action_space="0,1"
# # RL Agent Parameters
# -n_step=5 -batch_size=512 -vega_obs=True -critic='qr-huber'
# -logger_prefix='(EXP 2) Heston Experiments/spread_05/Heston_CVaR_05'
# -obj_func='cvar' -std_coef=1.645
# -eval_sim=$NUM_EVAL_SIM -eval_seed=5678
# -eval_only=False
# # Load Portfolio
# -portfolio_folder=$FOLDER
# )
# # python runAlexander.py "${args_CVaR[@]}"
# # #####################################################################################################################################################
# # # Run Both the last 2 at the same time as the data is generated from the first
# python runAlexander.py "${args_VaR[@]}" & python runAlexander.py "${args_CVaR[@]}" 05
#####################################################################################################################################################
#####################################################################################################################################################
#####################################################################################################################################################
# Greek Run ###########################################################################################################################################
args_Greeks=(
# Utility Function Parameters
-init_ttm=30 -r=0.0 #-spread=0.005
-liab_ttms=60 -poisson_rate=1.0 -moneyness_mean=1.0 -moneyness_std=0.0
# Contract Parameters
-S0=10 -K=10 -num_conts_to_add=-1 -contract_size=100
# Hedging Portfolio Parameters
-hed_ttm=30 -hed_type='American'
# init_vol is for both GBM and Heston
-init_vol=$INIT_VOL
# Heston, Model Parameters
-kappa=$KAPPA -theta=$THETA -volvol=$VOLVOL -rho=$RHO
# Simulation Parameters
-stochastic_process='Heston' -time_to_simulate=30 -eval_sim=$NUM_EVAL_SIM -frq=1 -TradingDaysPerYear=252
-numerical_accuracy='low' -n_jobs=-1 -eval_seed=3456
# RL Agent Parameters
-vega_obs=True #-critic='qr-huber'
# -logger_prefix='Cao_Heston_Delta_05pct'
# Load Portfolio
-portfolio_folder=$FOLDER
)
###################################################################################################################################################
# Delta Run #########################################################################################################################################
# python greek_runAlexander.py "${args_Greeks[@]}" -strategy='delta' -logger_prefix='(EXP 2) Heston Experiments/spread_05/Heston_Delta_05' -spread=0.005 &
# python greek_runAlexander.py "${args_Greeks[@]}" -strategy='delta' -logger_prefix='Cao_Heston_Delta_1pct' -portfolio_folder='portfolios/.Portfolio_Heston_1' -spread=0.01 &
python greek_runAlexander.py "${args_Greeks[@]}" -strategy='delta' -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Delta_2' -portfolio_folder='portfolios/.Portfolio_Heston_2_Am' -spread=0.02 &
###################################################################################################################################################
# Delta-Gamma Run ###################################################################################################################################
# python greek_runAlexander.py "${args_Greeks[@]}" -strategy='gamma' -logger_prefix='(EXP 2) Heston Experiments/spread_05/Heston_Gamma_05' -spread=0.005 &
# python greek_runAlexander.py "${args_Greeks[@]}" -strategy='gamma' -logger_prefix='Cao_Heston_Gamma_1pct' -portfolio_folder='portfolios/.Portfolio_Heston_1' -spread=0.01 &
python greek_runAlexander.py "${args_Greeks[@]}" -strategy='gamma' -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Gamma_2' -portfolio_folder='portfolios/.Portfolio_Heston_2_Am' -spread=0.02 &
###################################################################################################################################################
# Delta-Gamma Run ###################################################################################################################################
# python greek_runAlexander.py "${args_Greeks[@]}" -strategy='vega' -logger_prefix='(EXP 2) Heston Experiments/spread_05/Heston_Vega_05' -spread=0.005
# python greek_runAlexander.py "${args_Greeks[@]}" -strategy='vega' -logger_prefix='Cao_Heston_Gamma_1pct' -portfolio_folder='portfolios/.Portfolio_Heston_1' -spread=0.01 &
python greek_runAlexander.py "${args_Greeks[@]}" -strategy='vega' -logger_prefix='(EXP 2) Heston Experiments/spread_2/Heston_Vega_2' -portfolio_folder='portfolios/.Portfolio_Heston_2_Am' -spread=0.02