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benchmark.py
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benchmark.py
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#!/usr/bin/env python
# coding: utf8
"""Benchmarking the FiniteDifferenceEngine."""
import sys
import argparse
from FiniteDifference import utils
from FiniteDifference.Grid import Grid
from FiniteDifference.FiniteDifferenceEngineGPU import FiniteDifferenceEngineADI as FDE_ADI_GPU
from FiniteDifference.FiniteDifferenceEngineGPU import HestonFiniteDifferenceEngine as HestonFDEGPU
from FiniteDifference.heston import HestonOption, HestonBarrierOption, hs_call_vector, HestonFiniteDifferenceEngine
from FiniteDifference.blackscholes import BlackScholesOption
from FiniteDifference.visualize import fp
Opt = HestonOption
# Opt = HestonBarrierOption
DefaultHeston = Opt( spot=100
, strike=100
, interest_rate=0.03
, volatility = 0.2
, tenor=1.0
, mean_reversion = 1
, mean_variance = 0.12
, vol_of_variance = 0.3
, correlation = 0.4
)
DefaultHeston = Opt( spot=100
, strike=100
, interest_rate=0.03
, volatility = 0.3
, tenor=2.0
, mean_reversion = 2
, mean_variance = 0.1
, vol_of_variance = 0.6
, correlation = 0.2
)
DefaultHeston = Opt( spot=100
, strike=130
, interest_rate=-0.1
, volatility = 0.43
, tenor=2.75
, mean_reversion = 4.2
, mean_variance = 0.21
, vol_of_variance = 0.5
, correlation = -0.3
)
# DefaultHeston = HestonOption(spot=100 , strike=100 , interest_rate=0.03 , volatility = 0.2
# , tenor=1.0
# , mean_reversion = 1
# , mean_variance = 0.12
# , vol_of_variance = 0.3
# , correlation = 0.4
# )
H = DefaultHeston
H.top = (False, 170)
print H
# H.bottom = (False, 85)
# trims = (H.strike * .2 < spots) & (spots < H.strike * 2.0)
# trimv = (0.0 < vars) & (vars < 1) # v0*2.0)
# trims = slice(None)
# trimv = slice(None)
def create_cpu(nspots=30, nvols=30):
F = HestonFiniteDifferenceEngine(H, nspots=nspots,
nvols=nvols, spotdensity=10, varexp=4,
var_max=12, verbose=False)
F.init()
F.operators[1].diagonalize()
return F
def create_gpu(nspots=30, nvols=30):
F = HestonFDEGPU(H, nspots=nspots,
nvols=nvols, spotdensity=10, varexp=4,
var_max=12, verbose=False)
F.make_operator_templates()
F.scale_and_combine_operators()
return F
def run(dt, F=None, func=None, initial=None):
if F is None:
F = create()
if func is None:
func = 'hv'
if initial is None:
initial = F.grid.domain[0].copy()
funcs = {
'hv': lambda dt: F.solve_hundsdorferverwer(H.tenor/dt, dt, initial, 0.65),
'i' : lambda dt: F.solve_implicit(H.tenor/dt, dt, initial),
'd' : lambda dt: F.solve_douglas(H.tenor/dt, dt, initial, 0.65),
# 'smooth': lambda dt: F.smooth(H.tenor/dt, dt, smoothing_steps=1, scheme=F.solve_hundsdorferverwer)
'smooth': lambda dt: F.solve_smooth(H.tenor/dt, dt, initial, smoothing_steps=1)
}
labels = {
'hv': "Hundsdorfer-Verwer",
'i' : "Fully Implicit",
'd' : "Douglas",
'smooth': "Smoothed HV"
}
Vs = funcs[func](dt)
return Vs
def read_args():
parser = argparse.ArgumentParser(description="Run a benchmark")
parser.add_argument('-s', '--scheme', metavar='scheme', choices="i,d,hv,s".split(','), default='hv')
parser.add_argument('-n', '--steps', default=252, metavar='int', dest='n', type=int, help="Number of time steps")
parser.add_argument('-ns', '--nspots', default=200, metavar='int', type=int, help="Number of spots")
parser.add_argument('-nv', '--nvols', default=200, metavar='int', type=int, help="Number of volatilities")
parser.add_argument('-gpu', action='store_const', dest='gpu', default=False, const=True)
parser.add_argument('-cpu', action='store_const', dest='cpu', default=False, const=True)
parser.add_argument('--no-run', action='store_const', dest='run', default=True, const=False)
parser.add_argument('-mc', '--monte-carlo', metavar='int', type=int, dest='npaths', default=0)
return parser.parse_args()
def main():
opt = read_args()
print opt.scheme, opt.nspots, opt.nvols, opt.n
print
if opt.cpu:
utils.tic("CPU Create:")
F = create_cpu(nspots=opt.nspots, nvols=opt.nvols)
utils.toc()
idx = F.idx
if opt.run and opt.npaths:
mc = F.option.monte_carlo()
print mc
if opt.run:
print run(1.0/opt.n, F, opt.scheme)[idx]
F.grid.reset()
if opt.gpu:
utils.tic("GPU Create 1:")
FG = create_gpu(nspots=opt.nspots, nvols=opt.nvols)
utils.toc()
idx = FG.idx
if opt.run:
print run(1.0/opt.n, FG, opt.scheme, FG.grid.domain[0])[idx],
print
if __name__ == '__main__':
main()