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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 american(p_nDim, p_nbSimul, p_nMesh, p_bRotate) :
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)
# mesh
nbMesh = np.zeros(p_nDim, dtype=np.int32) + p_nMesh
# regressor
regressor = reg.LocalLinearRegression(nbMesh,p_bRotate)
# bermudean value
value = amer.resolution(simulator, payoff, regressor)
return value
# test cases
class testAmericanOptionTest(unittest.TestCase):
def test_americanBasket1D(self):
# dimension
nDim = 1
nbSimul = 500000
nbMesh = 16
referenceValue = 0.06031
accuracyEqual = 0.13
self.assertAlmostEqual(american(nDim, nbSimul, nbMesh, False), referenceValue, None, None, accuracyEqual)
def test_americanBasket2D(self):
# dimension
nDim = 2
nbSimul = 1000000
nbMesh = 16
referenceValue = 0.03882
accuracyEqual = 0.4
self.assertAlmostEqual(american(nDim, nbSimul, nbMesh, False), referenceValue, None, None, accuracyEqual)
self.assertAlmostEqual(american(nDim, nbSimul, nbMesh, True), referenceValue, None, None, accuracyEqual)
def test_americanBasket3D(self):
# dimension
nDim = 3
nbSimul = 2000000
nbMesh = 10
referenceValue = 0.02947
accuracyEqual = 0.5
self.assertAlmostEqual(american(nDim, nbSimul, nbMesh,False), referenceValue, None, None, accuracyEqual)
self.assertAlmostEqual(american(nDim, nbSimul, nbMesh,True), referenceValue, None, None, accuracyEqual)
def test_americanBasket4D(self):
# dimension
nDim = 4
nbSimul = 2000000
nbMesh = 6
referenceValue = 0.02404
accuracyEqual = 1.
self.assertAlmostEqual(american(nDim, nbSimul, nbMesh,False), referenceValue, None, None, accuracyEqual)
if __name__ == '__main__':
unittest.main()
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