def calib(fileName):
"""Test le calibration Broker Strangle"""
with open(fileName, "r") as file:
data = json.load(file)
surface = constructFXVolSurface(data)
output = outputFxVolCalibrated(surface, data)
return output
def post(self):
"""
interpolation : smile axis
:return: the interpolated value
"""
# All the program statements
start_json = timeit.default_timer()
content = request.get_json()
stop_json = timeit.default_timer()
start_calib = timeit.default_timer()
surface = constructFXVolSurface(content)
stop_calib = timeit.default_timer()
# define model
start_output = timeit.default_timer()
output = outputFxVolCalibrated(surface, content)
stop_output = timeit.default_timer()
nb_surface = len(content["marketDataDefinitions"]["fxVolatilities"])
expiry = [
len(fxvol["expiries"])
for fxvol in content["marketDataDefinitions"]["fxVolatilities"]
]
return jsonify({
"nb Surface": nb_surface,
"nb expiry per curve": json.dumps(expiry),
"nb total expiry": int(np.sum(expiry)),
"total": stop_output - start_json,
"parsing input": stop_json - start_json,
"calibration : ": stop_calib - start_calib,
"paring output : ": stop_output - start_output
})
def post(self):
"""
interpolation : smile axis
:return: the interpolated value
"""
content = request.get_json()
surface = constructFXVolSurface(content)
# define model
output = outputFxVolCalibrated(surface, content)
return output
def calibMC(fileName):
with open(fileName, "r") as file:
data = json.load(file)
start_json = timeit.default_timer()
calib1FxVolMC = functools.partial(
calib1FxVol, parse(data["asOfDate"]), data["marketData"],
data["marketDataDefinitions"]["yieldCurves"])
pool = multiprocessing.Pool(multiprocessing.cpu_count() - 1)
surface = pool.starmap(
calib1FxVolMC,
zip(data["marketDataDefinitions"]["fxVolatilities"]))
pool.close()
pool.join()
pool.terminate()
output = outputFxVolCalibrated(surface, data)
end_json = timeit.default_timer()
print("time : " + str(end_json - start_json))
return output
def post(self):
"""
interpolation : smile axis
:return: the interpolated value
"""
# All the program statements
start_json = timeit.default_timer()
content = request.get_json()
stop_json = timeit.default_timer()
start_MCBuilding = timeit.default_timer()
calib1FxVolMC = functools.partial(
calib1FxVol, parse(content["asOfDate"]), content["marketData"],
content["marketDataDefinitions"]["yieldCurves"])
pool = multiprocessing.Pool(multiprocessing.cpu_count() - 1)
end_MCBuilding = timeit.default_timer()
start_calib = timeit.default_timer()
surface = pool.starmap(
calib1FxVolMC,
zip(content["marketDataDefinitions"]["fxVolatilities"]))
pool.close()
pool.join()
pool.terminate()
stop_calib = timeit.default_timer()
# define model
start_output = timeit.default_timer()
output = outputFxVolCalibrated(surface, content)
stop_output = timeit.default_timer()
nb_surface = len(content["marketDataDefinitions"]["fxVolatilities"])
expiry = [
len(fxvol["expiries"])
for fxvol in content["marketDataDefinitions"]["fxVolatilities"]
]
return jsonify({
"nb Surface": nb_surface,
"nb expiry per curve": json.dumps(expiry),
"nb total expiry": int(np.sum(expiry)),
"total": stop_output - start_json,
"parsing input": stop_json - start_json,
"multicore setting": end_MCBuilding - start_MCBuilding,
"calibration : ": stop_calib - start_calib,
"paring output : ": stop_output - start_output
})
def post(self):
"""
interpolation : smile axis
:return: the interpolated value
"""
content = request.get_json()
calib1FxVolMC = functools.partial(
calib1FxVol, parse(content["asOfDate"]), content["marketData"],
content["marketDataDefinitions"]["yieldCurves"])
pool = multiprocessing.Pool(multiprocessing.cpu_count() - 1)
surface = pool.starmap(
calib1FxVolMC,
zip(content["marketDataDefinitions"]["fxVolatilities"]))
pool.close()
pool.join()
pool.terminate()
#output result
output = outputFxVolCalibrated(surface, content)
return output
def calibService(fileName="calibration_fqp.json"):
with open(fileName, "r") as file:
data = json.load(file)
surface = constructFXVolSurface(data)
return outputFxVolCalibrated(surface, data)