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_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 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