def testMCTimings():
valueDate = FinDate(2014, 1, 1)
startAveragingDate = FinDate(2014, 6, 1)
expiryDate = FinDate(2015, 1, 1)
stockPrice = 100.0
volatility = 0.20
interestRate = 0.30
dividendYield = 0.10
numObservations = 120 # daily as we have a half year
accruedAverage = None
K = 100
seed = 1976
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinFlatCurve(valueDate, interestRate)
asianOption = FinEquityAsianOption(startAveragingDate, expiryDate, K,
FinEquityOptionTypes.EUROPEAN_CALL,
numObservations)
testCases.header("NUMPATHS", "VALUE", "TIME", "VALUE_MC", "TIME",
"VALUE_MC_CV", "TIME")
valuesMC = []
valuesMC_fast = []
valuesMC_fast_CV = []
tvaluesMC = []
tvaluesMC_fast = []
tvaluesMC_fast_CV = []
numPathsList = [5000]
for numPaths in numPathsList:
accruedAverage = stockPrice * 1.1
start = time.time()
valueMC = asianOption.valueMC(valueDate, stockPrice, discountCurve,
dividendYield, model, numPaths, seed,
accruedAverage)
end = time.time()
t_MC = end - start
start = time.time()
valueMC_fast = asianOption.valueMC_fast(valueDate, stockPrice,
discountCurve, dividendYield,
model, numPaths, seed,
accruedAverage)
end = time.time()
t_MC_fast = end - start
start = time.time()
valueMC_fast_CV = asianOption.valueMC_fast_CV(valueDate, stockPrice,
discountCurve,
dividendYield, model,
numPaths, seed,
accruedAverage)
end = time.time()
t_MC_fast_CV = end - start
valuesMC.append(valueMC)
valuesMC_fast.append(valueMC_fast)
valuesMC_fast_CV.append(valueMC_fast_CV)
tvaluesMC.append(t_MC)
tvaluesMC_fast.append(t_MC_fast)
tvaluesMC_fast_CV.append(t_MC_fast_CV)
testCases.print(numPaths, valueMC, t_MC, valueMC_fast, t_MC_fast,
valueMC_fast_CV, t_MC_fast_CV)
def testConvergence():
valueDate = FinDate(2014, 1, 1)
startAveragingDate = FinDate(2014, 6, 1)
expiryDate = FinDate(2015, 1, 1)
stockPrice = 100.0
volatility = 0.20
interestRate = 0.30
dividendYield = 0.10
numObservations = 120 # daily as we have a half year
accruedAverage = None
K = 100
seed = 1976
model = FinEquityModelBlackScholes(volatility)
discountCurve = FinFlatCurve(valueDate, interestRate)
asianOption = FinEquityAsianOption(startAveragingDate, expiryDate, K,
FinEquityOptionTypes.EUROPEAN_CALL,
numObservations)
testCases.header("K", "Geometric", "Turnbull_Wakeman", "Curran", "FastMC",
"FastMC_CV")
valuesTurnbull = []
valuesCurran = []
valuesGeometric = []
valuesMC_fast = []
valuesMC_CV = []
numPathsList = [5000]
for numPaths in numPathsList:
accruedAverage = stockPrice * 1.1
valueMC_fast = asianOption.valueMC_fast(valueDate, stockPrice,
discountCurve, dividendYield,
model, numPaths, seed,
accruedAverage)
valueMC_CV = asianOption.valueMC_fast_CV(valueDate, stockPrice,
discountCurve, dividendYield,
model, numPaths, seed,
accruedAverage)
valueGeometric = asianOption.value(valueDate, stockPrice,
discountCurve, dividendYield, model,
"GEOMETRIC", accruedAverage)
valueTurnbullWakeman = asianOption.value(valueDate, stockPrice,
discountCurve, dividendYield,
model, "TURNBULL_WAKEMAN",
accruedAverage)
valueCurran = asianOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model, "CURRAN",
accruedAverage)
valuesGeometric.append(valueGeometric)
valuesTurnbull.append(valueTurnbullWakeman)
valuesCurran.append(valueCurran)
valuesMC_fast.append(valueMC_fast)
valuesMC_CV.append(valueMC_CV)
testCases.print(numPaths, valueGeometric, valueTurnbullWakeman,
valueCurran, valueMC_fast, valueMC_CV)
def testTimeEvolution():
startAveragingDate = FinDate(2015, 1, 1)
expiryDate = FinDate(2016, 1, 1)
stockPrice = 100.0
volatility = 0.20
interestRate = 0.30
dividendYield = 0.10
numObservations = 100 # weekly as we have a year
accruedAverage = None
K = 100
seed = 1976
model = FinEquityModelBlackScholes(volatility)
asianOption = FinEquityAsianOption(startAveragingDate, expiryDate, K,
FinEquityOptionTypes.EUROPEAN_CALL,
numObservations)
testCases.header("Date", "Geometric", "Turnbull_Wakeman", "Curran",
"FastMC", "FastMC_CV")
valuesTurnbull = []
valuesCurran = []
valuesGeometric = []
valuesMC_fast = []
valuesMC_CV = []
valueDates = []
valueDates.append(FinDate(2014, 4, 1))
valueDates.append(FinDate(2014, 6, 1))
valueDates.append(FinDate(2014, 8, 1))
valueDates.append(FinDate(2015, 2, 1))
valueDates.append(FinDate(2015, 4, 1))
valueDates.append(FinDate(2015, 6, 1))
valueDates.append(FinDate(2015, 8, 1))
numPaths = 10000
for valueDate in valueDates:
accruedAverage = stockPrice * 0.9
discountCurve = FinFlatCurve(valueDate, interestRate)
valueMC_fast = asianOption.valueMC_fast(valueDate, stockPrice,
discountCurve, dividendYield,
model, numPaths, seed,
accruedAverage)
valueMC_CV = asianOption.valueMC_fast_CV(valueDate, stockPrice,
discountCurve, dividendYield,
model, numPaths, seed,
accruedAverage)
valueGeometric = asianOption.value(valueDate, stockPrice,
discountCurve, dividendYield, model,
"GEOMETRIC", accruedAverage)
valueTurnbullWakeman = asianOption.value(valueDate, stockPrice,
discountCurve, dividendYield,
model, "TURNBULL_WAKEMAN",
accruedAverage)
valueCurran = asianOption.value(valueDate, stockPrice, discountCurve,
dividendYield, model, "CURRAN",
accruedAverage)
valuesGeometric.append(valueGeometric)
valuesTurnbull.append(valueTurnbullWakeman)
valuesCurran.append(valueCurran)
valuesMC_fast.append(valueMC_fast)
valuesMC_CV.append(valueMC_CV)
testCases.print(str(valueDate), valueGeometric, valueTurnbullWakeman,
valueCurran, valueMC_fast, valueMC_CV)