def test_construct_streaming(self):
# adapted from https://gist.github.com/raddy/bd0e977dc8437a4f8276
# spot, strike, vol, days till expiry, interest rate, call or put (1,-1)
spot, strike, vol, dte, rate, cp = sy.symbols('spot strike vol dte rate cp')
T = dte / 260.
N = syNormal('N', 0.0, 1.0)
d1 = (sy.ln(spot / strike) + (0.5 * vol ** 2) * T) / (vol * sy.sqrt(T))
d2 = d1 - vol * sy.sqrt(T)
TimeValueExpr = sy.exp(-rate * T) * (cp * spot * cdf(N)(cp * d1) - cp * strike * cdf(N)(cp * d2))
PriceClass = ts.construct_streaming(TimeValueExpr)
def strikes():
strike = 205
while strike <= 220:
yield strike
strike += 2.5
price = PriceClass(spot=tss.Const(210.59),
# strike=tss.Print(tss.Const(205), text='strike'),
strike=tss.Foo(strikes, interval=1),
vol=tss.Const(14.04),
dte=tss.Const(4),
rate=tss.Const(.2175),
cp=tss.Const(-1))
ret = tss.run(tss.Print(price._node))
time.sleep(2)
assert len(ret) == 7
def test_construct_lazy(self):
# adapted from https://gist.github.com/raddy/bd0e977dc8437a4f8276
spot, strike, vol, dte, rate, cp = sy.symbols("spot strike vol dte rate cp")
T = dte / 260.0
N = syNormal("N", 0.0, 1.0)
d1 = (sy.ln(spot / strike) + (0.5 * vol ** 2) * T) / (vol * sy.sqrt(T))
d2 = d1 - vol * sy.sqrt(T)
TimeValueExpr = sy.exp(-rate * T) * (
cp * spot * cdf(N)(cp * d1) - cp * strike * cdf(N)(cp * d2)
)
PriceClass = ts.construct_lazy(TimeValueExpr)
price = PriceClass(
spot=210.59, strike=205, vol=14.04, dte=4, rate=0.2175, cp=-1
)
x = price.evaluate()()
assert price.evaluate()() == x
price.strike = 210
assert x != price.evaluate()()
def test_1(self):
# adapted from https://gist.github.com/raddy/bd0e977dc8437a4f8276
spot, strike, vol, dte, rate, cp = sy.symbols(
'spot strike vol dte rate cp')
T = dte / 260.
N = syNormal('N', 0.0, 1.0)
d1 = (sy.ln(spot / strike) + (0.5 * vol**2) * T) / (vol * sy.sqrt(T))
d2 = d1 - vol * sy.sqrt(T)
TimeValueExpr = sy.exp(-rate * T) * (cp * spot * cdf(N)(cp * d1) -
cp * strike * cdf(N)(cp * d2))
import tributary.symbolic as ts
PriceClass = ts.construct_lazy(TimeValueExpr)
price = PriceClass(spot=210.59,
strike=205,
vol=14.04,
dte=4,
rate=.2175,
cp=-1)
x = price.evaluate()()
price.strike = 210
assert x != price.evaluate()()
ts.graphviz(TimeValueExpr)
assert ts.traversal(TimeValueExpr)
assert ts.symbols(TimeValueExpr)
