def write_log(res, C_market, data, t):
summary = {'t': pd.to_datetime(t).date(),
'mape': mape(C_market, data['CMerton_opt']),
'sigma': res.x[0],
'm': res.x[1],
'v': res.x[2],
'lam': res.x[3],
'success': res.success}
with open('Out/log_Merton.csv', 'a') as f:
pd.DataFrame(summary, index=[0]).to_csv(f, header=f.tell() == 0, index=False)
def write_log(res, C_market, data, t):
summary = {
't': pd.to_datetime(t).date(),
'mape': mape(C_market, data['fHes_opt']),
'sigma_0': res.x[0],
'k': res.x[1],
'theta': res.x[2],
'nu': res.x[3],
'rho': res.x[4],
'success': res.success,
'feller': feller(res.x)
}
# feller
with open('Out/log_Heston.csv', 'a') as f:
pd.DataFrame(summary, index=[0]).to_csv(f,
header=f.tell() == 0,
index=False)
def Merton_obj_function(params, index_price, strike, tt, irate, C_market, weights):
return mape(merton_jump_call(params, index_price, strike, tt, irate), C_market)
def fHes_mape(params, index_price, strike, tt, irate, C_market, weights):
return mape(C_market, fHes(params, index_price, strike, tt, irate))
def CHeston_mape(params, index_price, strike, tt, irate, C_market, weights):
return mape(C_market, C_Heston(params, index_price, strike, tt, irate))