def single_MC_run():
# gatherer = MeanGatherer()
gatherer = SDGatherer()
gatherer_ct = ConvergenceTable(gatherer, numofpaths)
path_gen = GeneratorGBM(market_params=market_params)
pricer_mc = VanillaMCPricer(spot=Spot,
rate=rate,
Vol=Vol,
generator=path_gen,
gatherer=gatherer_ct,
num_paths=numofpaths)
po = VanillaCall(Strike=Strike)
option = VanillaOption(Expiry=Expiry, PayOff=po)
pricer_mc.do_trade(trade=option)
print "MC price", pricer_mc.price
res_table = pd.DataFrame(gatherer_ct.table)[['mean', 'sd', 'paths_done']]
res_table['smean_sd'] = res_table['sd'] / res_table['paths_done']
print res_table
def CallMCDelbmp_WithSeedReset(x):
"""
This function for testing bump delta but WITH seed setting
Should give good result
Note that dependence on spot is actually in the path generator
"""
gatherer = SDGatherer()
market_params2 = dict(market_params)
market_params2['spot'] = x
path_gen = GeneratorGBM(market_params=market_params2)
path_gen.generator.set_seed(seed=0)
pricer_mc = VanillaMCPricer(spot=x,
rate=rate,
Vol=Vol,
generator=path_gen,
gatherer=gatherer,
num_paths=numofpaths)
po = VanillaCall(Strike=Strike)
option = VanillaOption(Expiry=Expiry, PayOff=po)
pricer_mc.do_trade(trade=option)
return pricer_mc.price
def single_MC_run():
# gatherer = MeanGatherer()
gatherer = SDGatherer()
gatherer_ct = ConvergenceTable(gatherer,numofpaths)
path_gen = GeneratorGBM(market_params=market_params)
pricer_mc= VanillaMCPricer(spot=Spot,
rate=rate,
Vol=Vol,
generator=path_gen,
gatherer=gatherer_ct,
num_paths=numofpaths)
po = VanillaCall(Strike=Strike)
option = VanillaOption(Expiry=Expiry, PayOff=po)
pricer_mc.do_trade(trade=option)
print "MC price", pricer_mc.price
res_table = pd.DataFrame(gatherer_ct.table)[['mean','sd','paths_done']]
res_table['smean_sd']= res_table['sd']/res_table['paths_done']
print res_table
def CallMCDelbmp_WithSeedReset(x):
"""
This function for testing bump delta but WITH seed setting
Should give good result
Note that dependence on spot is actually in the path generator
"""
gatherer = SDGatherer()
market_params2 = dict(market_params)
market_params2['spot'] = x
path_gen = GeneratorGBM(market_params = market_params2)
path_gen.generator.set_seed(seed=0)
pricer_mc= VanillaMCPricer(spot=x,
rate=rate,
Vol=Vol,
generator=path_gen,
gatherer=gatherer,
num_paths=numofpaths)
po = VanillaCall(Strike=Strike)
option = VanillaOption(Expiry=Expiry, PayOff=po)
pricer_mc.do_trade(trade=option)
return pricer_mc.price
def range_pars_sim(do_plots=True):
Spots = np.linspace(90, 110, num=40)
Vols = np.array([0.01, 0.05, 0.1, 0.2, 0.5])
Expiries = np.array([0.1, 0, 25, 0.5, 1, 5])
vcall_anal = [
BSAnalyticFormulas(thisSpot, Strike, rate, Vol, Expiry,
dividend).CallPrice() for thisSpot in Spots
]
vcall_mc = []
#Do MC
for thisSpot in Spots:
gatherer = SDGatherer()
ngen = NormalGenerator()
path_gen = GeneratorGBM(spot=thisSpot,
rate=rate,
vol=Vol,
times=[Expiry])
pricer_mc = VanillaMCPricer(spot=Spot,
rate=rate,
Vol=Vol,
generator=path_gen,
gatherer=gatherer,
num_paths=numofpaths)
po = VanillaCall(Strike=Strike)
# po= VanillaDigitalPut(Strike=Strike)
option = VanillaOption(Expiry=Expiry, PayOff=po)
pricer_mc.do_trade(trade=option)
vcall_mc += [pricer_mc.price]
print vcall_mc[0:5]
print Spots[0:5]
import matplotlib.pyplot as plt
if do_plots:
plt.plot(Spots, vcall_mc)
plt.show()
def range_pars_sim(do_plots=True):
Spots = np.linspace(90, 110, num=40)
Vols = np.array([0.01,0.05,0.1,0.2,0.5])
Expiries = np.array([0.1,0,25,0.5,1,5])
vcall_anal = [ BSAnalyticFormulas(thisSpot,Strike,rate,Vol,Expiry,dividend).CallPrice() for thisSpot in Spots]
vcall_mc = []
#Do MC
for thisSpot in Spots:
gatherer = SDGatherer()
ngen = NormalGenerator()
path_gen = GeneratorGBM(spot=thisSpot, rate=rate, vol=Vol, times=[Expiry])
pricer_mc= VanillaMCPricer(spot=Spot,
rate=rate,
Vol=Vol,
generator=path_gen,
gatherer=gatherer,
num_paths=numofpaths)
po = VanillaCall(Strike=Strike)
# po= VanillaDigitalPut(Strike=Strike)
option = VanillaOption(Expiry=Expiry, PayOff=po)
pricer_mc.do_trade(trade=option)
vcall_mc += [pricer_mc.price]
print vcall_mc[0:5]
print Spots[0:5]
import matplotlib.pyplot as plt
if do_plots:
plt.plot(Spots,vcall_mc)
plt.show()
