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#!/usr/bin/python3
# Copyright (C) 2016 EDF
# All Rights Reserved
# This code is published under the GNU Lesser General Public License (GNU LGPL)
import numpy as np
import math as maths
import utils.BasketOptions as bo
import simulators.BlackScholesSimulator as bs
import utils.americanOption as amer
import StOptGrids
import StOptReg as reg
import unittest
def americanGlobal(p_nDim, p_nbSimul, regressor) :
initialValues = np.zeros(p_nDim) + 1.0
sigma = np.zeros(p_nDim) + 0.2
mu = np.zeros(p_nDim) + 0.05
corr = np.zeros((p_nDim,p_nDim))
T = 1.
nDate = 10
np.fill_diagonal(corr, 1.)
strike = 1.
# simulator
simulator = bs.BlackScholesSimulator(initialValues, sigma, mu, corr, T, nDate, p_nbSimul, False)
# payoff
payoff = bo.BasketPut(strike)
# bermudean value
value = amer.resolution(simulator, payoff, regressor)
print("value",value)
return value
# test cases
class testAmericanOptionTest(unittest.TestCase):
def test_americanBasketHermite1D(self):
# dimension
nDim = 1
nbSimul = 100000
nbDegree = 3
referenceValue = 0.06031
accuracyEqual = 1.
# regressor
regressor = reg.GlobalHermiteRegression(nbDegree, nDim)
self.assertAlmostEqual(americanGlobal(nDim, nbSimul, regressor), referenceValue, None, None, accuracyEqual)
def test_americanBasketCanonical1D(self):
# dimension
nDim = 1
nbSimul = 100000
nbDegree = 3
referenceValue = 0.06031
accuracyEqual = 1.
# regressor
regressor = reg.GlobalCanonicalRegression(nbDegree, nDim)
self.assertAlmostEqual(americanGlobal(nDim, nbSimul, regressor), referenceValue, None, None, accuracyEqual)
def test_americanBasketTchebychev1D(self):
# dimension
nDim = 1
nbSimul = 100000
nbDegree = 3
referenceValue = 0.06031
accuracyEqual = 1.
# regressor
regressor = reg.GlobalCanonicalRegression(nbDegree, nDim)
self.assertAlmostEqual(americanGlobal(nDim, nbSimul, regressor), referenceValue, None, None, accuracyEqual)
if __name__ == '__main__':
unittest.main()
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