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# Copyright (C) 2016 EDF
# All Rights Reserved
# This code is published under the GNU Lesser General Public License (GNU LGPL)
import numpy as np
# call payoff for basket
class BasketCall :
m_strike = 0.
# Contructor
# p_strike strike
def __init__(self, p_strike) :
self.m_strike = p_strike
# for one simulation, give the basket value
# p_assets For the current simulation values of all assets
def apply(self, p_assets) :
return np.maximum(np.mean(p_assets) - self.m_strike, np.zeros(len(p_assets.transpose())))
# for all simulations, give the basket values
# p_assets values of all assets (one column is a simulation)
def applyVec(self, p_assets) :
ret = np.zeros(p_assets.shape[1])
return np.maximum(np.mean(p_assets, axis=0) - self.m_strike, np.zeros(len(p_assets.transpose())))
# Put payoff for basket
class BasketPut :
m_strike = 0.
# Constructor
# p_strike strike
def __init__(self, p_strike) :
self.m_strike = p_strike
# for all simulations, give the basket values
# p_assets values of all assets (one column is a simulation)
def operator(self, p_assets) :
ret = np.zeros(p_assets.shape[1])
return np.maximum(-np.mean(p_assets, axis=0) + self.m_strike, np.zeros(len(p_assets.transpose())))
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