python-Mcmc

墨蓝 2021-11-19 14:08 205阅读 0赞

Python pandas的效率比较：

1 from time import time
     2 from math import exp,sqrt,log
     3 from random import gauss,seed
     4 seed(20000)
     5 t0 = time()
     6 
     7 S0 = 100
     8 K = 105
     9 T = 1.0
    10 r = 0.05
    11 sigma = 0.2
    12 M = 50
    13 dt = T / M
    14 I = 250000
    15 
    16 S = []
    17 for i in range(I):
    18     path = []
    19     for t in range(M + 1):
    20         if(t == 0):
    21             path.append(S0)
    22         else:
    23             z = gauss(0.0,1.0)
    24             St = path[t-1] * exp((r - 0.5 * sigma ** 2) * dt + sigma * sqrt(dt) * z)
    25             path.append(St)
    26     S.append(path)
    27 
    28 C0 = exp(-r * T) * sum([max(path[-1]-K,0) for path in S]) / I
    29 
    30 tpy = time() - t0
    31 print "European Option Vlue %7.3f" % C0
    32 print "Duration in Seconds %7.3f" % tpy

引用numpy

1 import math
     2 import numpy as np
     3 from time import time
     4 
     5 np.random.seed(20000)
     6 t0 = time()
     7 
     8 S0 = 100
     9 K = 105
    10 T = 1.0
    11 r = 0.05
    12 sigma = 0.2
    13 M = 50
    14 dt = T / M
    15 I = 250000
    16 
    17 S = np.zeros((M+1,I))
    18 S[0] = S0
    19 for t in range(1,M+1):
    20     z = np.random.standard_normal(I)
    21     S[t] = S[t-1] * np.exp((r - 0.5 * sigma ** 2) * dt + sigma * math.sqrt(dt) * z)
    22 
    23 C0 = math.exp(-r * T) * np.sum(np.maximum(S[-1]-K,0)) / I
    24 
    25 tpy = time() - t0
    26 print "European Option Vlue %7.3f" % C0
    27 print "Duration in Seconds %7.3f" % tpy

1 import math
     2 from numpy import *
     3 from time import time
     4 
     5 random.seed(20000)
     6 t0 = time()
     7 
     8 S0 = 100
     9 K = 105
    10 T = 1.0
    11 r = 0.05
    12 sigma = 0.2
    13 M = 50
    14 dt = T / M
    15 I = 250000
    16 
    17 S = S0 * exp(cumsum((r - 0.5 * sigma ** 2) * dt + sigma * math.sqrt(dt) * random.standard_normal((M+1,I)), axis=0))
    18 S[0] = S0
    19 
    20 print maximum(S[-1]-K,0)
    21 
    22 C0 = math.exp(-r * T) * sum(maximum(S[-1]-K,0)) / I
    23 
    24 tpy = time() - t0
    25 print "European Option Vlue %7.3f" % C0
    26 print "Duration in Seconds %7.3f" % tpy

转载于:https://www.cnblogs.com/wn19910213/p/5103830.html

python-Mcmc

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