Fix #140 (#141) (#142)

* Fix #140 (#141)
pfnet-research · Jul 9, 2021 · 9d6f4eb · 9d6f4eb
1 parent 8471dd2
commit 9d6f4eb
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diff --git a/pfhedge/stochastic/heston.py b/pfhedge/stochastic/heston.py
@@ -92,10 +92,10 @@ def generate_heston(
         dtype=dtype,
         device=device,
     )
-    log_spot = torch.empty(n_paths, n_steps)
-    log_spot[:, 0] = torch.tensor(init_spot).log()
 
-    randn = torch.randn(n_paths, n_steps)
+    log_spot = torch.empty_like(variance)
+    log_spot[:, 0] = torch.tensor(init_spot).log()
+    randn = torch.randn_like(variance)
 
     for i_step in range(n_steps - 1):
         # Compute log S(t + 1): Eq(33)

diff --git a/pyproject.toml b/pyproject.toml
@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "pfhedge"
-version = "0.7.0"
+version = "0.7.1"
 description = "Deep Hedging in PyTorch"
 authors = ["Shota Imaki <[email protected]>"]
 license = "MIT"