def __test_parallel_american_option(self):
# Branching function calls.
expected_value = 5
expected_len_stubbed_exprs = 7
dsl_source = """
def Option(date, strike, underlying, alternative):
return Wait(date, Choice(underlying - strike, alternative))
def American(starts, ends, strike, underlying, step):
Option(starts, strike, underlying, 0) if starts == ends else \
Option(starts, strike, underlying, American(starts + step, ends, strike, underlying, step))
American(Date('2012-01-01'), Date('2012-01-03'), 5, 10, TimeDelta('1d'))
"""
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
# Expect an expression stack object.
self.assertIsInstance(dsl_expr, DependencyGraph)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr.call_requirements)
# Evaluate the stack.
image = mock.Mock()
image.price_process.get_duration_years.return_value = 1
kwds = {
'image': image,
'interest_rate': 0,
'present_time': datetime.datetime(2012, 1, 1, tzinfo=utc),
'all_market_prices': {
'#1':
dict(
[(datetime.datetime(2012, 1, 1, tzinfo=utc) +
datetime.timedelta(1) * i, numpy.array([10] * 2000))
for i in range(0, 10)]
) # NB Need enough days to cover the date range in the dsl_source.
},
}
dsl_value = SingleThreadedDependencyGraphRunner(dsl_expr).evaluate(
**kwds)
dsl_value = dsl_value.mean()
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
def __test_parallel_american_option(self):
# Branching function calls.
expected_value = 5
expected_len_stubbed_exprs = 7
dsl_source = """
def Option(date, strike, underlying, alternative):
return Wait(date, Choice(underlying - strike, alternative))
def American(starts, ends, strike, underlying, step):
Option(starts, strike, underlying, 0) if starts == ends else \
Option(starts, strike, underlying, American(starts + step, ends, strike, underlying, step))
American(Date('2012-01-01'), Date('2012-01-03'), 5, 10, TimeDelta('1d'))
"""
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
# Expect an expression stack object.
self.assertIsInstance(dsl_expr, DependencyGraph)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr.call_requirements)
# Evaluate the stack.
image = mock.Mock()
image.price_process.get_duration_years.return_value = 1
kwds = {
'image': image,
'interest_rate': 0,
'present_time': datetime.datetime(2012, 1, 1, tzinfo=utc),
'all_market_prices': {
'#1': dict(
[(datetime.datetime(2012, 1, 1, tzinfo=utc) + datetime.timedelta(1) * i, numpy.array([10]*2000))
for i in range(0, 10)]) # NB Need enough days to cover the date range in the dsl_source.
},
}
dsl_value = SingleThreadedDependencyGraphRunner(dsl_expr).evaluate(**kwds)
dsl_value = dsl_value.mean()
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
def __test_parallel_fib(self):
# Branching function calls.
fib_index = 6
expected_value = 13
expected_len_stubbed_exprs = fib_index + 1
dsl_source = """
def fib(n): fib(n-1) + fib(n-2) if n > 2 else n
fib(%d)
""" % fib_index
# # Check the source works as a serial operation.
# dsl_expr = dsl_parse(dsl_source, inParallel=False)
# self.assertIsInstance(dsl_expr, Add)
# dsl_value = dsl_expr.evaluate()
# self.assertEqual(dsl_value, expected_value)
# Check the source works as a parallel operation.
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
# Expect an expression stack object...
self.assertIsInstance(dsl_expr, DependencyGraph)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr.call_requirements)
# Evaluate the stack.
runner = SingleThreadedDependencyGraphRunner(dsl_expr)
dsl_value = runner.evaluate()
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
# Also check the runner call count is the same.
self.assertEqual(runner.call_count, expected_len_stubbed_exprs)
def __test_parallel_fib(self):
# Branching function calls.
fib_index = 6
expected_value = 13
expected_len_stubbed_exprs = fib_index + 1
dsl_source = """
def fib(n): fib(n-1) + fib(n-2) if n > 2 else n
fib(%d)
""" % fib_index
# # Check the source works as a serial operation.
# dsl_expr = dsl_parse(dsl_source, inParallel=False)
# self.assertIsInstance(dsl_expr, Add)
# dsl_value = dsl_expr.evaluate()
# self.assertEqual(dsl_value, expected_value)
# Check the source works as a parallel operation.
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
# Expect an expression stack object...
self.assertIsInstance(dsl_expr, DependencyGraph)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr.call_requirements)
# Evaluate the stack.
runner = SingleThreadedDependencyGraphRunner(dsl_expr)
dsl_value = runner.evaluate()
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
# Also check the runner call count is the same.
self.assertEqual(runner.call_count, expected_len_stubbed_exprs)
def __test_parallel_swing_option(self):
# Branching function calls.
expected_value = 20
expected_len_stubbed_exprs = 7
dsl_source = """
def Swing(starts, ends, underlying, quantity):
if (quantity != 0) and (starts < ends):
return Max(
Swing(starts + TimeDelta('1d'), ends, underlying, quantity-1) \
+ Fixing(starts, underlying),
Swing(starts + TimeDelta('1d'), ends, underlying, quantity)
)
else:
return 0
Swing(Date('2011-01-01'), Date('2011-01-03'), 10, 5)
"""
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr)
# Evaluate the stack.
image = mock.Mock()
image.price_process.get_duration_years.return_value = 1
kwds = {
'image': image,
'interest_rate': 0,
'present_time': datetime.datetime(2011, 1, 1),
}
dsl_value = SingleThreadedDependencyGraphRunner(dsl_expr).evaluate(
**kwds)
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
