def __init__(self, trade, model, env, symbol_table_listener=None):
self.__trade = trade
self.__model = model
self.__env = env
self.__symbol_table_listener = symbol_table_listener
# check no stubs
trade_utils.enforce_no_exercise_stubs(trade)
# create timeline
self.__timeline = timeline(trade, env.pricing_date())
def __init__(self, trade, model, env, symbol_table_listener = None): self.__trade = trade self.__model = model self.__env = env self.__symbol_table_listener = symbol_table_listener # check no stubs trade_utils.enforce_no_exercise_stubs(trade) # create timeline self.__timeline = timeline(trade, env.pricing_date())
def __init__(self, trade, model, env, symbol_table_listener = None, regression_model = None):
self.__trade = trade
self.__model = model
self.__env = env
self.__symbol_table_listener = symbol_table_listener
self.__regression_model = regression_model
self.__fitted_fos = None
self.__exercise_helper = None
# check no stubs
trade_utils.enforce_no_exercise_stubs(trade)
# create timeline
self.__timeline = timeline(trade, env.pricing_date())
# check regression model present if callable
if self.__trade.has_exercise_schedule() and self.__regression_model == None:
raise RuntimeError, "exercise schedule present but no 'regression model'"
def __init__(self,
trade,
model,
env,
symbol_table_listener=None,
regression_model=None):
self.__trade = trade
self.__model = model
self.__env = env
self.__symbol_table_listener = symbol_table_listener
self.__regression_model = regression_model
self.__fitted_fos = None
self.__exercise_helper = None
# check no stubs
trade_utils.enforce_no_exercise_stubs(trade)
# create timeline
self.__timeline = timeline(trade, env.pricing_date())
# check regression model present if callable
if self.__trade.has_exercise_schedule(
) and self.__regression_model == None:
raise RuntimeError, "exercise schedule present but no 'regression model'"
