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import sysconfig
import concurrent.futures
import time
import QuantLib as ql
if __name__ == "__main__":
def pricing() -> float:
todaysDate = ql.Date(15, ql.May, 2025)
ql.Settings.instance().evaluationDate = todaysDate
underlying = ql.SimpleQuote(7.0)
dividendYield = ql.FlatForward(todaysDate, 0.05, ql.Actual365Fixed())
volatility = ql.BlackConstantVol(todaysDate, ql.TARGET(), 0.10, ql.Actual365Fixed())
riskFreeRate = ql.FlatForward(todaysDate, 0.05, ql.Actual365Fixed())
process = ql.BlackScholesMertonProcess(
ql.QuoteHandle(underlying),
ql.YieldTermStructureHandle(dividendYield),
ql.YieldTermStructureHandle(riskFreeRate),
ql.BlackVolTermStructureHandle(volatility),
)
option = ql.VanillaOption(
ql.PlainVanillaPayoff(ql.Option.Call, 8.0),
ql.EuropeanExercise(ql.Date(17, ql.May, 2026))
)
engine = ql.FdBlackScholesVanillaEngine(process, 100, 8000)
option.setPricingEngine(engine)
return option.NPV()
print("GIL is disabled: ", bool(sysconfig.get_config_var("Py_GIL_DISABLED")))
for w in [1, 2, 4, 8, 16, 32, 64]:
start = time.time()
with concurrent.futures.ThreadPoolExecutor(max_workers=w) as executor:
retVals = [executor.submit(pricing) for i in range(400)]
for val in retVals:
val.result()
print(f"{w:2} threads, {400/(time.time()-start):5.1f} NPVs per sec")
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