def __init__(self,
today,
day_convention,
r0,
theta,
k,
volatility,
runs,
maturity_date=None):
Scenario_Generator.__init__(self, today, day_convention, runs,
maturity_date)
ScenariosCalendar.__init__(self, today, day_convention, maturity_date)
self.r0 = r0
self.theta = theta
self.k = k
self.volatility = volatility
def __init__(self,
today,
maturity_date,
day_convention,
lag,
runs,
gbm_s0,
gbm_drift,
gbm_volatility,
bm_x0=None,
bm_drift=None,
bm_volatility=None):
Scenario_Generator.__init__(self, today, day_convention, lag, runs,
maturity_date)
ScenariosCalendar.__init__(self, today, day_convention, lag,
maturity_date)
self._bm_x0 = bm_x0
self._bm_drift = bm_drift
self._bm_volatility = bm_volatility
self._gbm_s0 = gbm_s0
self._gbm_drift = gbm_drift
self._gbm_volatility = gbm_volatility
self._runs = runs
def __init__(self, today, day_convention, runs, lag, maturity_date=None):
ScenariosCalendar.__init__(self, today, day_convention, lag,
maturity_date)
self._runs = runs
import numpy as np
import pandas as pd
import bdateutil as bd
import datetime as dt
import calendar
from pandas.tseries.offsets import *
import matplotlib.pyplot as plt
import sys
sys.path.append('../CalendarHandling')
from calendar_kb import ScenariosCalendar
o_scenario_calendar = ScenariosCalendar(today='2018-08-20',
day_convention='Actual/365',
maturity_date='2018-11-20',
lag=0)
class Scenario_Generator(ScenariosCalendar):
def __init__(self, today, day_convention, runs, lag, maturity_date=None):
ScenariosCalendar.__init__(self, today, day_convention, lag,
maturity_date)
self._runs = runs
def plot_scenarios(self, scenarios, x_label, y_label):
df_scenarios = pd.DataFrame(
scenarios, index=o_scenario_calendar.get_date_series())
for k in range(10):
plt.plot(df_scenarios[k])
plt.grid(True)
import numpy as np
import pandas as pd
from pandas.tseries.offsets import *
import bdateutil as bd
import datetime as dt
import calendar
from calendar_kb import CashflowsCalendar, ScenariosCalendar
if __name__ == '__main__':
o_scenario_calendar = ScenariosCalendar(today='2018-08-20',
day_convention='Actual/365',
maturity_date='2018-11-20')
print('The end of the programm')