def test_module_block(self):
# Expression with one function def.
dsl_source = """
def sqr(n):
n ** 2
sqr(3)
"""
dsl_module = dsl_parse(dsl_source)
self.assertIsInstance(dsl_module, Module)
self.assertEqual(str(dsl_module), dsl_source.strip())
dsl_expr = dsl_compile(dsl_source)
self.assertEqual(dsl_expr.evaluate(), 9)
dsl_value = dsl_eval(dsl_source)
self.assertEqual(dsl_value, 9)
# Expression with two function defs.
dsl_source = """
def add(a, b):
a + b
def mul(a, b):
a if b == 1 else add(a, mul(a, b - 1))
mul(3, 3)
"""
dsl_module = dsl_parse(dsl_source)
self.assertIsInstance(dsl_module, Module)
self.assertEqual(str(dsl_module), dsl_source.strip())
dsl_expr = dsl_compile(dsl_source)
# self.assertEqual(str(dsl_expr), "")
self.assertEqual(dsl_expr.evaluate(), 9)
dsl_value = dsl_eval(dsl_source)
self.assertEqual(dsl_value, 9)
def test_module_block(self):
# Expression with one function def.
dsl_source = """
def sqr(n):
n ** 2
sqr(3)
"""
dsl_module = dsl_parse(dsl_source)
self.assertIsInstance(dsl_module, Module)
self.assertEqual(str(dsl_module), dsl_source.strip())
dsl_expr = dsl_compile(dsl_source)
self.assertEqual(dsl_expr.evaluate(), 9)
dsl_value = dsl_eval(dsl_source)
self.assertEqual(dsl_value, 9)
# Expression with two function defs.
dsl_source = """
def add(a, b):
a + b
def mul(a, b):
a if b == 1 else add(a, mul(a, b - 1))
mul(3, 3)
"""
dsl_module = dsl_parse(dsl_source)
self.assertIsInstance(dsl_module, Module)
self.assertEqual(str(dsl_module), dsl_source.strip())
dsl_expr = dsl_compile(dsl_source)
# self.assertEqual(str(dsl_expr), "")
self.assertEqual(dsl_expr.evaluate(), 9)
dsl_value = dsl_eval(dsl_source)
self.assertEqual(dsl_value, 9)
def calc_value(self, dsl_source, observation_date):
# Todo: Rename 'allRvs' to 'simulatedPrices'?
evaluation_kwds = DslNamespace({
'observation_date': observation_date,
'interest_rate': '2.5',
'market_calibration': {
'#1-LAST-PRICE': 10,
'#1-ACTUAL-HISTORICAL-VOLATILITY': 50,
'#2-LAST-PRICE': 10,
'#2-ACTUAL-HISTORICAL-VOLATILITY': 50,
'#1-#2-CORRELATION': 0.0,
'NBP-LAST-PRICE': 10,
'NBP-ACTUAL-HISTORICAL-VOLATILITY': 50,
'TTF-LAST-PRICE': 11,
'TTF-ACTUAL-HISTORICAL-VOLATILITY': 40,
'BRENT-LAST-PRICE': 90,
'BRENT-ACTUAL-HISTORICAL-VOLATILITY': 60,
'NBP-TTF-CORRELATION': 0.4,
'BRENT-TTF-CORRELATION': 0.5,
'BRENT-NBP-CORRELATION': 0.3,
},
'path_count': 200000,
# 'simulated_price_repo': {
# 'sim1#12011-01-01': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# 'sim1#12011-01-03': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# 'sim1#12011-06-01': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# 'sim1#12012-01-01': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# 'sim1#12012-01-02': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# 'sim1#12012-01-03': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# 'sim1#12012-06-01': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# 'sim1#12013-01-01': Mock(spec=SimulatedPrice, value=numpy.array([10])),
#
# 'sim1#22011-01-01': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# 'sim1#22012-01-01': Mock(spec=SimulatedPrice, value=numpy.array([10])),
#
# 'sim1TTF2012-01-01': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# 'sim1NBP2012-01-01': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# 'sim1TTF2013-01-01': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# 'sim1NBP2013-01-01': Mock(spec=SimulatedPrice, value=numpy.array([10])),
# },
'simulation_id': 'sim1',
'first_market_name': '#1',
})
return dsl_eval(dsl_source, evaluation_kwds=evaluation_kwds)
market_calibration = {}
observation_date = datetime.datetime(
int(''.join(str(observation_date)[0:4])),
int(''.join(str(observation_date)[4:6])),
int(''.join(str(observation_date)[6:8]))
).replace(tzinfo=quantdsl.semantics.utc)
try:
result = dsl_eval(
dsl_source,
filename=source_url if source_url != '-' else 'STDIN',
is_parallel=True,
market_calibration=market_calibration,
interest_rate=interest_rate,
path_count=num_paths,
observation_date=observation_date,
is_multiprocessing=bool(multiprocessing_pool),
pool_size=multiprocessing_pool,
is_verbose=is_verbose,
is_show_source=show_source,
price_process_name=price_process,
)
except DslError, e:
print "Failed to dsl_eval DSL source:"
print dsl_source
print
print "Error:", e
print
else:
if is_verbose:
sys.stdout.write("Result: ")
def main(source,
observation_date=defaultObservationTime,
calibration=None,
num_paths=DEFAULT_PATH_COUNT,
price_process=DEFAULT_PRICE_PROCESS_NAME,
interest_rate=2.5,
multiprocessing_pool=0,
quiet=False,
show_source=False):
"""
Evaluates 'Quant DSL' code in SOURCE, given price process parameters in CALIBRATION.
"""
import quantdsl
import quantdsl.semantics
if multiprocessing_pool is None:
multiprocessing_pool = mp.cpu_count()
source_url = source
calibration_url = calibration
is_verbose = not quiet
def get_resource(url):
if url == '-':
return sys.stdin.read()
elif url.startswith('file://'):
return open(url[7:]).read()
elif url.startswith('http://'):
import requests
return requests.get(url)
elif os.path.exists(url) and os.path.isfile(url):
return open(url).read()
else:
raise DslError("Can't open resource: %s" % url)
# Todo: Make this work with Python 3.
print("DSL source from: %s" % source_url)
print()
dsl_source = get_resource(source_url)
if calibration_url:
print("Calibration from: %s" % calibration_url)
print()
market_calibration_json = get_resource(calibration_url)
try:
market_calibration = json.loads(market_calibration_json)
except Exception:
msg = "Unable to load JSON from %s: %s" % (calibration_url,
market_calibration_json)
raise ValueError(msg)
else:
market_calibration = {}
observation_date = datetime.datetime(
int(''.join(str(observation_date)[0:4])),
int(''.join(str(observation_date)[4:6])),
int(''.join(str(observation_date)[6:8]))).replace(tzinfo=UTC)
try:
result = dsl_eval(
dsl_source,
filename=source_url if source_url != '-' else 'STDIN',
is_parallel=True,
market_calibration=market_calibration,
interest_rate=interest_rate,
path_count=num_paths,
observation_date=observation_date,
is_multiprocessing=bool(multiprocessing_pool),
pool_size=multiprocessing_pool,
is_verbose=is_verbose,
is_show_source=show_source,
price_process_name=price_process,
)
except DslError as e:
print("Failed to dsl_eval DSL source:")
print(dsl_source)
print()
print("Error:", e)
print()
else:
if is_verbose:
sys.stdout.write("Result: ")
sys.stdout.flush()
print(json.dumps(result, indent=4, sort_keys=True))
