tf-quant-finance
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Published
20 hours ago •
google
google
TF 2.12 (and Python 3.11) support
Hi there, I was wondering what's the status of supporting TensorFlow version 2.12 and Python 3.11?
This currently fails with TF 2.12 installed (but setting PROTOCOL_BUFFERS_PYTHON_IMPLEMENTATION=python as suggested works afai see). It seems like kernels just have to be recompiled if I get that right? I.e. a new version with the new protobuf library, and that's it?
Details
In [1]: import tf_quant_finance
---------------------------------------------------------------------------
TypeError Traceback (most recent call last)
Cell In[1], line 1
----> 1 import tf_quant_finance
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/__init__.py:73
71 from tf_quant_finance import black_scholes
72 from tf_quant_finance import datetime
---> 73 from tf_quant_finance import experimental
74 from tf_quant_finance import math
75 from tf_quant_finance import models
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/__init__.py:17
14 """Experimental modules."""
16 from tf_quant_finance.experimental import instruments
---> 17 from tf_quant_finance.experimental import local_stochastic_volatility
18 from tf_quant_finance.experimental import local_volatility
19 from tf_quant_finance.experimental import lsm_algorithm
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/local_stochastic_volatility/__init__.py:16
1 # Copyright 2020 Google LLC
2 #
3 # Licensed under the Apache License, Version 2.0 (the "License");
(...)
12 # See the License for the specific language governing permissions and
13 # limitations under the License.
14 """Local volatility model."""
---> 16 from tf_quant_finance.experimental.local_stochastic_volatility.local_stochastic_volatility_model import LocalStochasticVolatilityModel
17 from tf_quant_finance.experimental.local_stochastic_volatility.lsv_variance_model import LSVVarianceModel
19 from tensorflow.python.util.all_util import remove_undocumented # pylint: disable=g-direct-tensorflow-import
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/local_stochastic_volatility/local_stochastic_volatility_model.py:25
23 from tf_quant_finance import math
24 from tf_quant_finance import utils as tff_utils
---> 25 from tf_quant_finance.experimental import local_volatility as lvm
26 from tf_quant_finance.experimental.pricing_platform.framework.market_data import utils
27 from tf_quant_finance.math import pde
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/local_volatility/__init__.py:17
1 # Copyright 2020 Google LLC
2 #
3 # Licensed under the Apache License, Version 2.0 (the "License");
(...)
12 # See the License for the specific language governing permissions and
13 # limitations under the License.
15 """Local volatility model."""
---> 17 from tf_quant_finance.experimental.local_volatility.local_volatility_model import LocalVolatilityModel
19 from tensorflow.python.util.all_util import remove_undocumented # pylint: disable=g-direct-tensorflow-import
21 _allowed_symbols = [
22 "LocalVolatilityModel",
23 ]
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/local_volatility/local_volatility_model.py:26
24 from tf_quant_finance import math
25 from tf_quant_finance import types
---> 26 from tf_quant_finance.experimental.pricing_platform.framework.market_data import volatility_surface
27 from tf_quant_finance.math import interpolation
28 from tf_quant_finance.math import piecewise
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/pricing_platform/__init__.py:16
1 # Copyright 2020 Google LLC
2 #
3 # Licensed under the Apache License, Version 2.0 (the "License");
(...)
12 # See the License for the specific language governing permissions and
13 # limitations under the License.
14 """Pricing platform module."""
---> 16 from tf_quant_finance.experimental.pricing_platform import framework
17 from tf_quant_finance.experimental.pricing_platform import instrument_protos
19 from tensorflow.python.util.all_util import remove_undocumented # pylint: disable=g-direct-tensorflow-import
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/pricing_platform/framework/__init__.py:16
1 # Copyright 2020 Google LLC
2 #
3 # Licensed under the Apache License, Version 2.0 (the "License");
(...)
12 # See the License for the specific language governing permissions and
13 # limitations under the License.
14 """Framework module."""
---> 16 from tf_quant_finance.experimental.pricing_platform.framework import core
17 from tf_quant_finance.experimental.pricing_platform.framework import equity_instruments
18 from tf_quant_finance.experimental.pricing_platform.framework import market_data
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/pricing_platform/framework/core/__init__.py:16
1 # Copyright 2020 Google LLC
2 #
3 # Licensed under the Apache License, Version 2.0 (the "License");
(...)
12 # See the License for the specific language governing permissions and
13 # limitations under the License.
14 """Pricing platform module."""
---> 16 from tf_quant_finance.experimental.pricing_platform.framework.core import business_days
17 from tf_quant_finance.experimental.pricing_platform.framework.core import currencies
18 from tf_quant_finance.experimental.pricing_platform.framework.core import curve_types
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/pricing_platform/framework/core/business_days.py:17
14 """Supported bank holidays and business day conventions."""
16 import enum
---> 17 from tf_quant_finance.experimental.pricing_platform.instrument_protos import business_days_pb2
19 __all__ = ["BusinessDayConvention",
20 "convention_from_proto_value",
21 "BankHolidays",
22 "holiday_from_proto_value"]
25 BusinessDayConvention = enum.Enum(
26 "BusinessDayConvention",
27 zip(business_days_pb2.BusinessDayConvention.keys(),
28 business_days_pb2.BusinessDayConvention.keys()))
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/pricing_platform/instrument_protos/__init__.py:16
1 # Copyright 2020 Google LLC
2 #
3 # Licensed under the Apache License, Version 2.0 (the "License");
(...)
12 # See the License for the specific language governing permissions and
13 # limitations under the License.
14 """Instrument protos module."""
---> 16 from tf_quant_finance.experimental.pricing_platform.instrument_protos import all_instruments_pb2 as instruments
17 from tf_quant_finance.experimental.pricing_platform.instrument_protos import american_equity_option_pb2 as american_equity_option
18 from tf_quant_finance.experimental.pricing_platform.instrument_protos import business_days_pb2 as business_days
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/pricing_platform/instrument_protos/all_instruments_pb2.py:14
9 # @@protoc_insertion_point(imports)
11 _sym_db = _symbol_database.Default()
---> 14 from tf_quant_finance.experimental.pricing_platform.instrument_protos import american_equity_option_pb2 as tf__quant__finance_dot_experimental_dot_pricing__platform_dot_instrument__protos_dot_american__equity__option__pb2
15 from tf_quant_finance.experimental.pricing_platform.instrument_protos import interest_rate_swap_pb2 as tf__quant__finance_dot_experimental_dot_pricing__platform_dot_instrument__protos_dot_interest__rate__swap__pb2
16 from tf_quant_finance.experimental.pricing_platform.instrument_protos import forward_rate_agreement_pb2 as tf__quant__finance_dot_experimental_dot_pricing__platform_dot_instrument__protos_dot_forward__rate__agreement__pb2
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/pricing_platform/instrument_protos/american_equity_option_pb2.py:14
9 # @@protoc_insertion_point(imports)
11 _sym_db = _symbol_database.Default()
---> 14 from tf_quant_finance.experimental.pricing_platform.instrument_protos import business_days_pb2 as tf__quant__finance_dot_experimental_dot_pricing__platform_dot_instrument__protos_dot_business__days__pb2
15 from tf_quant_finance.experimental.pricing_platform.instrument_protos import currencies_pb2 as tf__quant__finance_dot_experimental_dot_pricing__platform_dot_instrument__protos_dot_currencies__pb2
16 from tf_quant_finance.experimental.pricing_platform.instrument_protos import date_pb2 as tf__quant__finance_dot_experimental_dot_pricing__platform_dot_instrument__protos_dot_date__pb2
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/tf_quant_finance/experimental/pricing_platform/instrument_protos/business_days_pb2.py:33
12 _sym_db = _symbol_database.Default()
17 DESCRIPTOR = _descriptor.FileDescriptor(
18 name='tf_quant_finance/experimental/pricing_platform/instrument_protos/business_days.proto',
19 package='tf_quant_finance.experimental.pricing_platform.instrument_protos',
(...)
23 serialized_pb=b'\nTtf_quant_finance/experimental/pricing_platform/instrument_protos/business_days.proto\x12@tf_quant_finance.experimental.pricing_platform.instrument_protos*\xd7\x01\n\x15\x42usinessDayConvention\x12#\n\x1f\x42USINESS_DAY_CONVENTION_UNKNOWN\x10\x00\x12\x11\n\rNO_ADJUSTMENT\x10\x01\x12\x0c\n\x08PREVIOUS\x10\x02\x12\r\n\tFOLLOWING\x10\x03\x12\x15\n\x11MODIFIED_PREVIOUS\x10\x04\x12\x16\n\x12MODIFIED_FOLLOWING\x10\x05\x12\x15\n\x11\x45OM_NO_ADJUSTMENT\x10\x06\x12\x10\n\x0c\x45OM_PREVIOUS\x10\x07\x12\x11\n\rEOM_FOLLOWING\x10\x08*9\n\x0c\x42\x61nkHolidays\x12\x19\n\x15\x42\x41NK_HOLIDAYS_UNKNOWN\x10\x00\x12\x06\n\x02US\x10\x01\x12\x06\n\x02UK\x10\x02\x42\x02P\x01\x62\x06proto3'
24 )
26 _BUSINESSDAYCONVENTION = _descriptor.EnumDescriptor(
27 name='BusinessDayConvention',
28 full_name='tf_quant_finance.experimental.pricing_platform.instrument_protos.BusinessDayConvention',
29 filename=None,
30 file=DESCRIPTOR,
31 create_key=_descriptor._internal_create_key,
32 values=[
---> 33 _descriptor.EnumValueDescriptor(
34 name='BUSINESS_DAY_CONVENTION_UNKNOWN', index=0, number=0,
35 serialized_options=None,
36 type=None,
37 create_key=_descriptor._internal_create_key),
38 _descriptor.EnumValueDescriptor(
39 name='NO_ADJUSTMENT', index=1, number=1,
40 serialized_options=None,
41 type=None,
42 create_key=_descriptor._internal_create_key),
43 _descriptor.EnumValueDescriptor(
44 name='PREVIOUS', index=2, number=2,
45 serialized_options=None,
46 type=None,
47 create_key=_descriptor._internal_create_key),
48 _descriptor.EnumValueDescriptor(
49 name='FOLLOWING', index=3, number=3,
50 serialized_options=None,
51 type=None,
52 create_key=_descriptor._internal_create_key),
53 _descriptor.EnumValueDescriptor(
54 name='MODIFIED_PREVIOUS', index=4, number=4,
55 serialized_options=None,
56 type=None,
57 create_key=_descriptor._internal_create_key),
58 _descriptor.EnumValueDescriptor(
59 name='MODIFIED_FOLLOWING', index=5, number=5,
60 serialized_options=None,
61 type=None,
62 create_key=_descriptor._internal_create_key),
63 _descriptor.EnumValueDescriptor(
64 name='EOM_NO_ADJUSTMENT', index=6, number=6,
65 serialized_options=None,
66 type=None,
67 create_key=_descriptor._internal_create_key),
68 _descriptor.EnumValueDescriptor(
69 name='EOM_PREVIOUS', index=7, number=7,
70 serialized_options=None,
71 type=None,
72 create_key=_descriptor._internal_create_key),
73 _descriptor.EnumValueDescriptor(
74 name='EOM_FOLLOWING', index=8, number=8,
75 serialized_options=None,
76 type=None,
77 create_key=_descriptor._internal_create_key),
78 ],
79 containing_type=None,
80 serialized_options=None,
81 serialized_start=155,
82 serialized_end=370,
83 )
84 _sym_db.RegisterEnumDescriptor(_BUSINESSDAYCONVENTION)
86 BusinessDayConvention = enum_type_wrapper.EnumTypeWrapper(_BUSINESSDAYCONVENTION)
File ~/mambaforge/envs/tmp310/lib/python3.10/site-packages/google/protobuf/descriptor.py:796, in EnumValueDescriptor.__new__(cls, name, index, number, type, options, serialized_options, create_key)
793 def __new__(cls, name, index, number,
794 type=None, # pylint: disable=redefined-builtin
795 options=None, serialized_options=None, create_key=None):
--> 796 _message.Message._CheckCalledFromGeneratedFile()
797 # There is no way we can build a complete EnumValueDescriptor with the
798 # given parameters (the name of the Enum is not known, for example).
799 # Fortunately generated files just pass it to the EnumDescriptor()
800 # constructor, which will ignore it, so returning None is good enough.
801 return None
TypeError: Descriptors cannot not be created directly.
If this call came from a _pb2.py file, your generated code is out of date and must be regenerated with protoc >= 3.19.0.
If you cannot immediately regenerate your protos, some other possible workarounds are:
1. Downgrade the protobuf package to 3.20.x or lower.
2. Set PROTOCOL_BUFFERS_PYTHON_IMPLEMENTATION=python (but this will use pure-Python parsing and will be much slower).
More information: https://developers.google.com/protocol-buffers/docs/news/2022-05-06#python-updates
@perezju I was wondering what are the plans for this? Is this on the timeline? Or anything we can do about it?
Encountered the same error with newer python version. @jonas-eschle's method works.
