mot-pricing 0.3.1

Exact and entropic martingale optimal transport experiments for robust pricing.

MOT Pricing

mot-pricing turns the original one-off notebook into a reproducible Python project for robust pricing with martingale optimal transport (MOT).

The reference experiment in this repository studies:

• S1 ~ Uniform[1, 3]
• S2 ~ Uniform[0, 4]
• payoff |S1 - S2|
• exact martingale constraint E[S2 | S1] = S1

The codebase includes:

• an exact linear-programming solver for discrete MOT
• a numerically stable entropic regularization solver
• discrete marginal helpers plus convex-order checks
• a built-in payoff library for spread-style payoffs
• corrected unrestricted coupling benchmarks
• a configurable CLI and script for custom uniform interval experiments
• JSON summaries for reproducible experiment outputs
• tests for the exact and regularized solvers

Public Outputs

• Docs site: https://anouarmohamed.github.io/JavaFinalJee/
• GitHub releases: the tag workflow attaches wheel and source distribution assets
• PyPI package: https://pypi.org/project/mot-pricing/
• TestPyPI package: https://test.pypi.org/project/mot-pricing/
• Trusted publishing and GitHub Pages are active for this repository

Why this repo exists

The original notebook had strong ideas but mixed together derivation, experimentation, plotting, and solver logic. It also had a few correctness and presentation issues:

• unrestricted benchmark labels were flipped
• the dual value was compared to the wrong primal quantity in the regularized section
• the h update used direct exponentials and produced overflow warnings

This project keeps the same experiment while packaging it into reusable, testable code.

Quick Start

Install from PyPI:

pip install mot-pricing

Then run the CLI:

mot-uniform --n 50 --x-interval 1 3 --y-interval 0 4 --payoff abs_spread --eps 1.0 0.3 0.1 0.03 0.01 --output-dir artifacts

For editable local development:

python -m venv .venv
.venv\Scripts\activate
pip install -e .[dev]
pytest

To build the docs locally:

pip install -e .[docs]
mkdocs serve

If you prefer not to install the package in editable mode:

pip install -r requirements.txt
python scripts/run_uniform_abs_spread.py --output-dir artifacts

Custom payoff example:

mot-uniform --n 60 --x-interval 1 3 --y-interval 0 4 --payoff call_on_spread --strike 0.25 --eps 0.3 0.1

Expected Results

For the default uniform example:

• the exact MOT upper value converges toward 1.0
• the lower value is about 0.6
• the unrestricted comonotone coupling is the minimum benchmark
• the unrestricted countermonotone coupling is the maximum benchmark
• the regularized value approaches the exact LP value as eps -> 0

For the broader API:

• DiscreteMarginal represents weighted discrete laws
• check_convex_order_discrete(...) provides a practical feasibility diagnostic
• built-in payoffs include abs_spread, squared_distance, call_on_spread, put_on_spread, and straddle_on_spread

Repo Layout

• src/mot_pricing/: solver library
• scripts/: runnable entry script
• tests/: regression and numerical checks
• CHANGELOG.md: release history
• CONTRIBUTING.md: local development and release flow
• notebooks/: notebook material preserved from the original exploration
• docs/: GitHub Pages documentation source
• .github/workflows/: CI for test automation

Notebook Status

The original notebook is preserved under notebooks/ as legacy exploratory work. A clean report notebook now imports the library directly, and the library plus CLI are the canonical implementation.