ids = np.isclose(spots[trims], H.spot)
idv = np.isclose(vars[trimv], H.variance.value)
dss = np.hstack((np.nan, np.diff(spots)))
dvs = np.hstack((np.nan, np.diff(vars)))
BADANALYTICAL = False
bs = BlackScholesOption(spot=spots[:, np.newaxis],
strike=H.strike,
interest_rate=H.interest_rate.value,
variance=vars[np.newaxis, :],
tenor=H.tenor).analytical
utils.tic("Heston Analytical:")
hs = hs_call_vector(spots, H.strike, H.interest_rate.value, np.sqrt(vars),
H.tenor, H.mean_reversion, H.mean_variance, H.vol_of_variance, H.correlation)
utils.toc()
hs = np.nan_to_num(hs)
if max(hs.flat) > spots[-1] * 2:
BADANALYTICAL = True
print "Warning: Analytical solution looks like trash."
if len(sys.argv) > 1:
if sys.argv[1] == '0':
print "Bail out with arg 0."
sys.exit()
def mu_s(t, *dim):
return H.interest_rate.value * dim[0]
def gamma2_s(t, *dim):
return 0.5 * dim[1] * dim[0]**2
V_init = init(spots, nvols, k)
V = np.copy(V_init)
# bs, delta = [x for x in bs_call_delta(spots[:, newaxis], k, r,
# np.sqrt(vars)[newaxis, :], t)]
bs = BlackScholesOption(spot=spots[:, np.newaxis],
strike=k,
interest_rate=r,
variance=vars[np.newaxis, :],
tenor=t).analytical
utils.tic("Heston Analytical:")
# hss = array([hs_call(spots, k, r, np.sqrt(vars),
# dt*i, kappa, theta, sigma, rho) for i in range(int(t/dt)+1)])
# hs = hss[-1]
hs = hs_call_vector(spots, k, r, np.sqrt(vars),
t, kappa, theta, sigma, rho)
utils.toc()
hs[isnan(hs)] = 0.0
if max(hs.flat) > spots[-1] * 2:
BADANALYTICAL = True
print "Warning: Analytical solution looks like trash."
if len(sys.argv) > 1:
if sys.argv[1] == '0':
print "Bail out with arg 0."
sys.exit()
L1_ = []
R1_ = []
utils.tic("Building As(s):")
print "(Up/Down)wind from:", flip_idx_spot
V_init = init(spots, nvols, k)
V = np.copy(V_init)
# bs, delta = [x for x in bs_call_delta(spots[:, newaxis], k, r,
# np.sqrt(vars)[newaxis, :], t)]
bs = BlackScholesOption(spot=spots[:, np.newaxis],
strike=k,
interest_rate=r,
variance=vars[np.newaxis, :],
tenor=t).analytical
utils.tic("Heston Analytical:")
# hss = array([hs_call(spots, k, r, np.sqrt(vars),
# dt*i, kappa, theta, sigma, rho) for i in range(int(t/dt)+1)])
# hs = hss[-1]
hs = hs_call_vector(spots, k, r, np.sqrt(vars), t, kappa, theta, sigma, rho)
utils.toc()
hs[isnan(hs)] = 0.0
if max(hs.flat) > spots[-1] * 2:
BADANALYTICAL = True
print "Warning: Analytical solution looks like trash."
if len(sys.argv) > 1:
if sys.argv[1] == '0':
print "Bail out with arg 0."
sys.exit()
L1_ = []
R1_ = []
utils.tic("Building As(s):")
print "(Up/Down)wind from:", flip_idx_spot
