def set_vanilla(payoff, strike, maturity, quantity):
# Example of dumping a database structure
doc = XMLDocument("asset-definition")
doc.add("class").addText("vanilla")
doc.add("payoff").addText(str(payoff))
doc.add("strike").addText(str(strike))
doc.add("maturity").addText(str(maturity))
doc.add("quantity").addText(str(quantity))
desc = 'Payoff: ' + str(payoff) + ' Strike: ' + str(strike) + ' Maturity: ' + str(maturity) + ' Quantity: ' + str(quantity)
doc.add("description").addText(desc)
return doc
def main():
parser = OptionParser()
parser.add_option("--hedgingVol", dest="hedgingVol", type="float")
parser.add_option("--discountRate", dest="discountRate", type="float")
parser.add_option("--budget", dest="budget", type="float")
parser.add_option("--file", dest="file", type="string")
(opt, args) = parser.parse_args(sys.argv[1:])
doc = XMLDocument("hedge-strategy-definition")
doc.add("hedgingVol").addText(str(opt.hedgingVol))
doc.add("discountRate").addText(str(opt.discountRate))
f = open(opt.file, 'w+')
f.write(str(doc))
f.close()
def set_lognormal_simulationParameters(horizon, S0, nbSteps, nbPaths, drift, sigma):
# Example of dumping a database structure
doc = XMLDocument("simulation-parameters")
doc.add("horizon").addText(str(horizon))
doc.add("S0").addText(str(S0))
doc.add("nbSteps").addText(str(nbSteps))
doc.add("nbPaths").addText(str(nbPaths))
diff = doc.add("diffusion", type="LogNormal")
diff.add("drift").addText(str(drift))
diff.add("sigma").addText(str(sigma))
return doc
def set_unknown_simulationParameters(horizon, S0, nbSteps, nbPaths, drift,
sigmaMin, sigmaMax):
# Example of dumping a database structure
doc = XMLDocument("simulation-parameters")
doc.add("horizon").addText(str(horizon))
doc.add("S0").addText(str(S0))
doc.add("nbSteps").addText(str(nbSteps))
doc.add("nbPaths").addText(str(nbPaths))
diff = doc.add("diffusion", type="UnknownVol")
diff.add("drift").addText(str(drift))
diff.add("sigmaMin").addText(str(sigmaMin))
diff.add("sigmaMax").addText(str(sigmaMax))
return doc
def set_gabillon_simulationParameters(horizon, S0, nbSteps, nbPaths, drift, sigmaS, sigmaL, rho, beta):
# Example of dumping a database structure
doc = XMLDocument("simulation-parameters")
doc.add("horizon").addText(str(horizon))
doc.add("S0").addText(str(S0))
doc.add("nbSteps").addText(str(nbSteps))
doc.add("nbPaths").addText(str(nbPaths))
diff = doc.add("diffusion", type="Gabillon")
diff.add("drift").addText(str(drift))
diff.add("sigmaS").addText(str(sigmaS))
diff.add("sigmaL").addText(str(sigmaL))
diff.add("rho").addText(str(rho))
diff.add("beta").addText(str(beta))
return doc
