def test_add_3(self):
var2 = self.input1 + self.input2
constant = 4
var3 = var2 + constant
derivatives = interpret(self.tape)
self.assertEqual(derivatives[0], 1)
self.assertEqual(derivatives[1], 1)
def test_div_sub_combo(self):
var1 = self.input1 - self.input2
var2 = self.input1 * self.input2
var3 = var1 / (2 * var2)
derivatives = interpret(self.tape)
self.assertEqual(derivatives[0], 1 / 18)
self.assertEqual(derivatives[1], -1 / 50)
def AAAD_derivatives():
for i in range(0, aaad_option.__len__()):
for j in range(0, aaad_option[i].__len__()-1):
aaad_option[i][j].tape.append(TapeEntry(OperationTypeAad.INPUT, aaad_option[i][j].value))
result = BSPrice_AAAD(*aaad_option[i])
derivatives = interpret(result.tape)
result.tape.clr()
def test_aaad(self):
call = BSPrice_Analytical(*self.input, True)
aaad_price = BSPrice_AAAD(*self.input_aaad, True)
aaad_derivatives = interpret(aaad_price.tape)
self.assertAlmostEqual(call['price'], aaad_price.value, places=8)
self.assertAlmostEqual(call['derivatives'][0],
aaad_derivatives[0],
places=8)
self.assertAlmostEqual(call['derivatives'][1],
aaad_derivatives[1],
places=8)
self.assertAlmostEqual(-call['derivatives'][3],
aaad_derivatives[3],
places=8)
self.assertAlmostEqual(call['derivatives'][4],
aaad_derivatives[4],
places=8)
def test_div3(self):
res = self.input2 / self.input1
derivatives = interpret(self.tape)
self.assertEqual(derivatives[0], -5 / 9)
self.assertEqual(derivatives[1], 1 / 3)
def test_pow2(self):
res = self.input2**self.input1
derivatives = interpret(self.tape)
self.assertEqual(res.value, 125)
self.assertEqual(derivatives[0], (5**3 * math.log(5)))
self.assertEqual(derivatives[1], 75)
def test_div1(self):
res = self.input1 / 5
derivatives = interpret(self.tape)
self.assertEqual(derivatives[0], .2)
def test_div2(self):
res = 5 / self.input1
derivatives = interpret(self.tape)
self.assertEqual(derivatives[0], -5 / 9)
def test_min_3(self):
res = 1 - self.input1
derivatives = interpret(self.tape)
self.assertEqual(derivatives[0], -1)
def test_min_4(self):
res = self.input1 - 2
derivatives = interpret(self.tape)
self.assertEqual(derivatives[0], 1)
def test_pow1(self):
res = self.input1**2
derivatives = interpret(self.tape)
self.assertEqual(res.value, 9)
self.assertEqual(derivatives[0], 6)
def test_log(self):
res = self.input1.log()
derivative = interpret(self.tape)
self.assertEqual(res.value, math.log(3))
self.assertEqual(derivative[0], 1 / 3)
def test_pow3(self):
res = 4**self.input1
derivatives = interpret(self.tape)
self.assertEqual(res.value, 64)
self.assertEqual(derivatives[0], 4**self.input1.value * math.log(4))
import unittest from finance.BlackScholesOptionPricer import * from finiteDifference.FiniteDifferenceFirstOrder import differentiate from automaticDifferentiation.DoubleAad import DoubleAad from automaticDifferentiation.Tape import Tape from automaticDifferentiation.TapeEntry import TapeEntry from automaticDifferentiation.OperationTypeAad import OperationTypeAad from automaticDifferentiation.TapeUtils import interpret tape = Tape() sigma_hat = DoubleAad(0.2 * math.sqrt(0.5), 0, tape) tape.append(TapeEntry(OperationTypeAad.INPUT, sigma_hat.value)) S_t = DoubleAad(20, 1, tape) tape.append(TapeEntry(OperationTypeAad.INPUT, S_t.value)) K = DoubleAad(25, 2, tape) tape.append(TapeEntry(OperationTypeAad.INPUT, K.value)) r = DoubleAad(0.05, 3, tape) tape.append(TapeEntry(OperationTypeAad.INPUT, r.value)) sigma = DoubleAad(0.2, 4, tape) tape.append(TapeEntry(OperationTypeAad.INPUT, sigma.value)) tau = DoubleAad(0.5, 5, tape) tape.append(TapeEntry(OperationTypeAad.INPUT, tau.value)) d1 = 1 / sigma_hat * ((S_t / K).log() + (r + sigma**2 / 2) * tau) interpret(tape) print(tape) asdf = 1
def test_negate(self):
res = -self.input1
derivative = interpret(res.tape)
self.assertEqual(-3, res.value)
self.assertEqual(derivative[0], -1)
def test_normalcdf(self):
res = self.input1.normalcdf()
derivative = interpret(self.tape)
self.assertEqual(res.value, norm.cdf(3))
self.assertEqual(derivative[0], norm.pdf(3))
def test_exp(self):
res = self.input1.exp()
derivative = interpret(self.tape)
self.assertEqual(res.value, math.exp(3))
self.assertEqual(derivative[0], math.exp(3))
def test_div4(self):
res = 1 / (2 * self.input1 * self.input2)
derivatives = interpret(self.tape)
self.assertEqual(derivatives[0], -1 / (45 * 2))
self.assertAlmostEqual(derivatives[1], -1 / (75 * 2), places=8)
def test_min_2(self):
res = 5.0 - self.input1 - 4 - self.input2
derivatives = interpret(self.tape)
self.assertEqual(derivatives[0], -1)
self.assertEqual(derivatives[1], -1)
def test_mul_1(self):
var1 = self.input1 * 3
var2 = var1 * self.input2
derivatives = interpret(self.tape)
self.assertEqual(derivatives[0], 15)
self.assertEqual(derivatives[1], 9)
def test_sqrt(self):
res = self.input1.sqrt()
derivatives = interpret(self.tape)
self.assertEqual(res.value, math.sqrt(3))
self.assertEqual(derivatives[0], 0.5 / math.sqrt(3))
def test_mul_2(self):
res = 2 * self.input1 * self.input2 * 3
derivatives = interpret(self.tape)
self.assertEqual(res.value, 90)
self.assertEqual(derivatives[0], 30)
self.assertEqual(derivatives[1], 18)
def test_div5(self):
res = 1 / (self.input1 - self.input2)
derivatives = interpret(self.tape)
self.assertEqual(derivatives[0], -1 / 4)
self.assertEqual(derivatives[1], 1 / 4)
