def current_option(history,params):
# If within the 60 first days price has gone over $105 we return 3.
for i in range(60):
if(history[i]>105): return 3
# If the stock at expiration is between $101 and $105 we return 1.
if 105>=history[-1]>=101: return 1
# If the stock at expiration is over $105 we return 2.
elif history[-1]>105: return 2
else: return 0
# Variables are initialized here.
params=Storage()
params.mu = 0.03/300 # avg daily return.
params.sigma = 0.2/sqrt(300) # avg daily volatility.
params.S = 100.0 # today's stock price.
params.option=current_option
params.T = 120 # time to expiration.
params.r_free = 0.04/300 # avg daily risk free rate.
params.dt = 1.0 # simulation step.
# StockSimulator Object is initialized.
s = StockSimulator(params)
# Plotting is disabled for the purpose of this program.
#plot(dict(data=[x for x in enumerate(r)]))
# Simulating to get the price for different volatility values or absolute precision.
# Run times for program are slightly faster when commented out.
print s.simulate_many(absolute_precision = 0.00, relative_precision=0.02, max_iterations=10000)
#print 'Price: $',sum(s.u)/len(s.u)
