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)
