Created
October 16, 2019 16:31
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Test speed of BAW option pricing calculations in Cython.
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| try: | |
| from setuptools import setup | |
| except ImportError: | |
| from distutils.core import setup | |
| import pyximport; pyximport.install() | |
| import baw, cybaw | |
| from time import time | |
| from collections import namedtuple | |
| from random import choice, uniform | |
| from pprint import pprint | |
| def test(): | |
| bounds = namedtuple('bounds', ['min', 'max']) | |
| pricing_inputs = namedtuple('pricing_inputs', ['greek', 'type','spot', 'strike', 'years', 'interest', 'carry', 'volatility']) | |
| OPTIONS_TO_PRICE = 10000 | |
| greek_choice = ('p', 'd', 'g', 'v', 't') | |
| type_choice = ('c', 'p') | |
| spot_bounds = bounds(min = 95, max = 105) | |
| strike_bounds = bounds(min = 90, max = 110) | |
| year_bounds = bounds(min = 1 / 12.0, max = 4.0) | |
| interest_bounds = bounds(min = 0.000, max = 0.025) | |
| carry_bounds = bounds(min = 0.000, max = 0.000) | |
| volatility_bounds = bounds(min = 0.025, max = 0.075) | |
| to_price = [] | |
| for i in range(OPTIONS_TO_PRICE): | |
| t_greek = choice(greek_choice) | |
| t_type = choice(type_choice) | |
| t_spot = uniform(spot_bounds.min, spot_bounds.max) | |
| t_strike = uniform(strike_bounds.min, strike_bounds.max) | |
| t_years = uniform(year_bounds.min, year_bounds.max) | |
| t_interest = uniform(interest_bounds.min, interest_bounds.max) | |
| t_carry = uniform(carry_bounds.min, carry_bounds.max) | |
| t_volatility = uniform(volatility_bounds.min, volatility_bounds.max) | |
| t_inputs = pricing_inputs( | |
| greek = t_greek, | |
| type = t_type, | |
| spot = t_spot, | |
| strike = t_strike, | |
| years = t_years, | |
| interest = t_interest, | |
| carry = t_carry, | |
| volatility = t_volatility | |
| ) | |
| to_price.append(t_inputs) | |
| t = time() | |
| for pinp in to_price: | |
| # pprint(dict(pinp._asdict())) | |
| baw.greeks_WhaleyApproximation( | |
| pinp.greek, | |
| pinp.type, | |
| pinp.spot, | |
| pinp.strike, | |
| pinp.years, | |
| pinp.interest, | |
| pinp.carry, | |
| pinp.volatility | |
| ) | |
| pure_py_ms = 1000* (time() - t) | |
| print "\nPYTHON BAW = %0.0f ms" % (pure_py_ms,) | |
| t = time() | |
| for pinp in to_price: | |
| cybaw.greeks_WhaleyApproximation( | |
| pinp.greek, | |
| pinp.type, | |
| pinp.spot, | |
| pinp.strike, | |
| pinp.years, | |
| pinp.interest, | |
| pinp.carry, | |
| pinp.volatility | |
| ) | |
| cython_ms = 1000* (time() - t) | |
| print "\nCYTHON CYBAW = %0.0f ms" % (cython_ms,) | |
| print "\nSPEEDUP = %0.0f\n" % (pure_py_ms / cython_ms) | |
| if __name__ == '__main__': | |
| test() | |
| # import cProfile | |
| # cProfile.run('test()', sort='time') |
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