def simshow(repeat=3, mean=0 / 256., N=256, func=simug_mix, visual=True):
'''Statistical and optional visual SUMMARY: repeat simulations of func.'''
# Function func should rely on all its default args, except for N.
for i in range(repeat):
istr = str(i)
ratarr = func(N=N)
prices = rates2prices(ratarr, mean, initialpx=100)
if visual:
plotn(prices, title='tmp-' + istr)
gm2gem(prices, b=2)
print('---------------------------------------' + istr)
return
def simu_plots_spx(charts=1, N=N_PC_SPX, mean=MEAN_PC_SPX, std=STD_PC_SPX):
'''Display simulated SPX price charts of N days, given mean and std.'''
yarray = array_spx_returns(mean, std)
# Read in the data only once BEFORE the loop...
for i in range(charts):
px = simu_prices(N, yarray)
plotn(px)
# Plot, then for the given prices, compute annualized:
# geometric mean, arithmetic mean, volatility.
print(' georet: ' + str(georet(px)))
print(' ____________________________________')
print('')
return
def gmixshow(N=256, mean=SPXmean, sigma=SPXsigma, yearly=256, repeat=1,
visual=True, inprice=100, b=SPXb):
'''Statistical and optional visual SUMMARY: repeat simulations of GM(2).'''
for i in range(repeat):
istr = str(i)
prices = gmix2prices(N, mean, sigma, yearly, inprice)
if visual:
plotn(prices, title='tmp-gmixshow-'+istr)
try:
gm2gem(prices, yearly=yearly, b=b)
except OverflowError:
system.warn("Excessive kurtosis: Skipping gm2gem() print.")
print('---------------------------------------' + istr)
return
def simushow(N=256, mean=0, yearly=256, repeat=1, func=simug_mix, visual=True,
b=SPXb, inprice=100):
'''Statistical and optional visual SUMMARY: repeat simulations of func.
Function func shall use all its default arguments, except for N.
'''
for i in range(repeat):
istr = str(i)
ratarr = func(N=N)
prices = zerat2prices(ratarr, mean, yearly, inprice)
if visual:
plotn(prices, title='tmp-'+func.__name__+'-'+istr)
try:
gm2gem(prices, yearly=yearly, b=b)
except OverflowError:
system.warn("Excessive kurtosis: Skipping gm2gem() print.")
print('---------------------------------------' + istr)
return
def bootshow(N,
poparr,
yearly=256,
repeat=1,
visual=True,
b=SPXb,
inprice=100,
replace=True):
'''Statistical and optional visual SUMMARY: repeat bsret2prices().'''
# Also nice template for gathering SMALL-SAMPLE statistics...
# to be pursued elsewhere for different asset classes.
for i in range(repeat):
istr = str(i)
prices = bsret2prices(N, poparr, inprice=inprice, replace=replace)
if visual:
plotn(prices, title='tmp-bootshow-' + istr)
try:
gm2gem(prices, yearly=yearly, b=b)
except OverflowError:
system.warn("Excessive kurtosis: Skipping gm2gem() print.")
print('---------------------------------------' + istr)
return