def __init__(self, trade, model, env, symbol_table_listener=None): self.__trade = trade self.__model = model self.__env = env self.__symbol_table_listener = symbol_table_listener # check no stubs trade_utils.enforce_no_exercise_stubs(trade) # create timeline self.__timeline = timeline(trade, env.pricing_date())
def __init__(self, trade, model, env, symbol_table_listener = None): self.__trade = trade self.__model = model self.__env = env self.__symbol_table_listener = symbol_table_listener # check no stubs trade_utils.enforce_no_exercise_stubs(trade) # create timeline self.__timeline = timeline(trade, env.pricing_date())
def __init__(self, trade, model, env, symbol_table_listener = None, regression_model = None): self.__trade = trade self.__model = model self.__env = env self.__symbol_table_listener = symbol_table_listener self.__regression_model = regression_model self.__fitted_fos = None self.__exercise_helper = None # check no stubs trade_utils.enforce_no_exercise_stubs(trade) # create timeline self.__timeline = timeline(trade, env.pricing_date()) # check regression model present if callable if self.__trade.has_exercise_schedule() and self.__regression_model == None: raise RuntimeError, "exercise schedule present but no 'regression model'"
def __init__(self, trade, model, env, symbol_table_listener=None, regression_model=None): self.__trade = trade self.__model = model self.__env = env self.__symbol_table_listener = symbol_table_listener self.__regression_model = regression_model self.__fitted_fos = None self.__exercise_helper = None # check no stubs trade_utils.enforce_no_exercise_stubs(trade) # create timeline self.__timeline = timeline(trade, env.pricing_date()) # check regression model present if callable if self.__trade.has_exercise_schedule( ) and self.__regression_model == None: raise RuntimeError, "exercise schedule present but no 'regression model'"