def p_price(V, analytical, spots, vars, marker_idx=0, label="", bad=False):
surface(V, spots, vars)
# wireframe(V - analytical, spots, vars)
if bad:
label += " - bad analytical!"
pylab.title("Price (%s)" % label)
pylab.xlabel("Var")
pylab.ylabel("% of strike")
pylab.show()
def p_price(V, analytical, spots, vars, marker_idx=0, label="", bad=False):
surface(V, spots, vars)
# wireframe(V - analytical, spots, vars)
if bad:
label += " - bad analytical!"
pylab.title("Price (%s)" % label)
pylab.xlabel("Var")
pylab.ylabel("% of strike")
pylab.show()
def p_relative_error(V, analytical, spots, vars, marker_idx=0, label=""):
surface((V - analytical) / analytical, spots, vars)
if BADANALYTICAL:
label += " - bad analytical!"
else:
label += " - ||V - V*|| = %.2e" % np.linalg.norm(V - analytical)
title("Relative Error in Price (%s)" % label)
xlabel("Var")
ylabel("% of strike")
show()
def p_absolute_error(V, analytical, spots, vars, marker_idx=0, label="", bad=False):
surface(V - analytical, spots, vars)
# wireframe(V - analytical, spots, vars)
if bad:
label += " - bad analytical!"
else:
label += " - $||V - V*||^\infty = %.2e$" % max(abs(V-analytical).flat)
pylab.title("Error in Price (%s)" % label)
pylab.xlabel("Var")
pylab.ylabel("% of strike")
pylab.show()
def srf(n):
global F1, F2, F1b, F2b, Fd, Fdb, Fh, Fhb, V, Vb, A
a = {}
a['i'] = (F1.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['d'] = (Fd.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['db'] = (Fdb.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['h'] = (Fh.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['hb'] = (Fhb.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['idb'] = (F1.grid.domain[-1] - Fdb.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['ihb'] = (F1.grid.domain[-1] - Fhb.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['dbhb'] = (Fdb.grid.domain[-1] - Fhb.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['v'] = (V, Fh.grid.mesh[0], Fh.grid.mesh[1])
a['vb'] = (Vb, Fh.grid.mesh[0], Fh.grid.mesh[1])
a['ab'] = (A, Fh.grid.mesh[0], Fh.grid.mesh[1])
a['hbab'] = (Fhb.grid.domain[-1] - A, Fh.grid.mesh[0], Fh.grid.mesh[1])
vis.surface(*a[n])
def p_absolute_error(V,
analytical,
spots,
vars,
marker_idx=0,
label="",
bad=False):
surface(V - analytical, spots, vars)
# wireframe(V - analytical, spots, vars)
if bad:
label += " - bad analytical!"
else:
label += " - $||V - V*||^\infty = %.2e$" % max(
abs(V - analytical).flat)
pylab.title("Error in Price (%s)" % label)
pylab.xlabel("Var")
pylab.ylabel("% of strike")
pylab.show()
def srf(n):
global F1, F2, F1b, F2b, Fd, Fdb, Fh, Fhb, V, Vb, A
a = {}
a['i'] = (F1.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['d'] = (Fd.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['db'] = (Fdb.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['h'] = (Fh.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['hb'] = (Fhb.grid.domain[-1], Fh.grid.mesh[0], Fh.grid.mesh[1])
a['idb'] = (F1.grid.domain[-1] - Fdb.grid.domain[-1], Fh.grid.mesh[0],
Fh.grid.mesh[1])
a['ihb'] = (F1.grid.domain[-1] - Fhb.grid.domain[-1], Fh.grid.mesh[0],
Fh.grid.mesh[1])
a['dbhb'] = (Fdb.grid.domain[-1] - Fhb.grid.domain[-1], Fh.grid.mesh[0],
Fh.grid.mesh[1])
a['v'] = (V, Fh.grid.mesh[0], Fh.grid.mesh[1])
a['vb'] = (Vb, Fh.grid.mesh[0], Fh.grid.mesh[1])
a['ab'] = (A, Fh.grid.mesh[0], Fh.grid.mesh[1])
a['hbab'] = (Fhb.grid.domain[-1] - A, Fh.grid.mesh[0], Fh.grid.mesh[1])
vis.surface(*a[n])