def test_american_put(self,):
american_put = AmericanPut(0., 1. * UNIT.YEAR, 40., self.black_scholes)
optimized_asset = longstaff_schwartz.optimize(american_put,
self.assumption_set,
nb_simulations=100000,
regression=force_positive_regression(polynomial_regression))
assert optimized_asset.optimization_value.is_compatible(4.472)
print optimized_asset.optimization_value
assert optimized_asset.valuation(self.assumption_set, nb_simulations=100000).is_compatible(4.472)
import numpy as np
from strongchicken.uncertainties import AssumptionSet, BlackScholes, UncertaintySystem
from strongchicken.utils import *
from strongchicken.assets import AmericanPut, longstaff_schwartz
from strongchicken.assets.regression import polynomial_regression, force_positive_regression
market = BlackScholes(36.0, 0.06 * INV.YEAR, 0.2 * INV.SQRT.YEAR)
american_put = AmericanPut(0.0, 1.0 * UNIT.YEAR, 40.0, market)
uncertainty_system = UncertaintySystem([market])
assumption_set = AssumptionSet(uncertainty_system, interest_rate=0.06 * INV.YEAR)
optimized_asset = longstaff_schwartz.optimize(
american_put, assumption_set, nb_simulations=100000, regression=force_positive_regression(polynomial_regression)
)
print optimized_asset.optimization_value
print optimized_asset.valuation(assumption_set, nb_simulations=1000000)
