def test_eurond1d(self):
dim = 1
T = 1
domain = DomainNd(np.array([[0, 3]], dtype=np.float64), T)
vol_vec, ir, dividend_vec, strike = 0.1*np.ones(dim, dtype=np.float64), 0.03, 0.01*np.ones(dim, dtype=np.float64), 1
payoff_func = lambda x: tf.nn.relu(tf.math.reduce_sum(x, axis=1) - strike)
corr_mat = 0.25 * np.ones((dim, dim), dtype=np.float64)
np.fill_diagonal(corr_mat, 1)
solver = Euro(payoff_func, domain, vol_vec, ir, dividend_vec, corr_mat)
solver.run(n_samples=2000, steps_per_sample=1, n_interior=8, n_terminal=8)
def test_euroV3_4d_dirichlet(self):
dim = 4
T = 1.0
domain = DomainNd(np.array([[20, 60], [20, 60], [20, 60], [20, 60]], dtype=np.float64), T)
vol_vec, ir, dividend_vec, stri = 0.2*np.ones(dim, dtype=np.float64), 0.06, 0.04*np.ones(dim, dtype=np.float64), 40.0
payoff_func = lambda x: tf.nn.relu(tf.pow(tf.math.reduce_prod(x, axis=1), 1/dim) - stri)
payoff_func.strike = stri
corr_mat = 0.25 * np.ones((dim, dim), dtype=np.float64)
np.fill_diagonal(corr_mat, 1.0)
solver = EuroV3(payoff_func, domain, vol_vec, ir, dividend_vec, corr_mat)
solver.run(n_samples=80000, steps_per_sample=1, saved_name="euroV3_4d_geometric_diri")
def test_euroV2_2d(self):
dim = 2
T = 1.0
domain = DomainNd(np.array([[0, 3], [0, 3]], dtype=np.float64), T)
vol_vec, ir, dividend_vec, strike = 0.1*np.ones(dim, dtype=np.float64), 0.03, 0.01*np.ones(dim, dtype=np.float64), 1.0
# payoff_func = lambda x: tf.nn.relu(tf.math.reduce_sum(x, axis=1) - strike)
payoff_func = lambda x: tf.nn.relu(tf.pow(tf.math.reduce_prod(x, axis=1), 1/dim) - strike)
corr_mat = 0.25 * np.ones((dim, dim), dtype=np.float64)
np.fill_diagonal(corr_mat, 1.0)
solver = EuroV2(payoff_func, domain, vol_vec, ir, dividend_vec, corr_mat)
solver.run(n_samples=50000, steps_per_sample=1, saved_name="euroV2_2d_geometric")
def test_euro_restore(self):
model_name = "euro2d_geometric"
T, dim = 1, 2
domain = DomainNd(np.array([[0, 3], [0, 3]], dtype=np.float64), T)
vol_vec, ir, dividend_vec, strike = 0.1 * np.ones(
dim, dtype=np.float64), 0.03, 0.01 * np.ones(dim,
dtype=np.float32), 1
corr_mat = 0.25 * np.ones((dim, dim), dtype=np.float64)
np.fill_diagonal(corr_mat, 1)
S = np.array([[1, 1], [2, 2]], dtype=np.float64)
t = np.zeros(2, dtype=np.float64).reshape(-1, 1)
self.restore_helper_geometric(S, t, model_name, dim, T, domain,
vol_vec, ir, dividend_vec, strike,
corr_mat)
def test_euroV3_restore(self):
model_name = "euroV3_4d_geometric_diri395405_80k"
T, dim = 1, 4
domain = DomainNd(
np.array([[39.5, 40.5], [39.5, 40.5], [39.5, 40.5], [39.5, 40.5]],
dtype=np.float64), T)
vol_vec, ir, dividend_vec, strike = 0.1 * np.ones(
dim, dtype=np.float64), 0.03, 0.01 * np.ones(
dim, dtype=np.float64), 40.0
corr_mat = 0.25 * np.ones((dim, dim), dtype=np.float64)
np.fill_diagonal(corr_mat, 1)
S = np.array([[40, 40, 40, 40], [40.5, 40.5, 40.5, 40.5], [39.5, 39.5, 39.5, 39.5],\
[40, 40, 40, 40], [40.5, 40.5, 40.5, 40.5], [39.5, 39.5, 39.5, 39.5]], dtype=np.float64)
t = np.array([[0], [0], [0], [T], [T], [T]], dtype=np.float64)
self.restore_helper_geometricV3(S, t, model_name, dim, T, domain,
vol_vec, ir, dividend_vec, strike,
corr_mat)