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| author | Shivesh Mandalia <shivesh.mandalia@outlook.com> | 2020-03-22 17:02:29 +0000 |
|---|---|---|
| committer | Shivesh Mandalia <shivesh.mandalia@outlook.com> | 2020-03-22 17:02:29 +0000 |
| commit | 92375e2d232538c72e9dfe7d6f067dfcc7e5979f (patch) | |
| tree | 4bea2694d7dc509b4f85c323639683f4734a0b37 | |
| parent | 954f69610607a06d5b2c9c5a7719260a26d7cf44 (diff) | |
| download | MCOptionPricing-92375e2d232538c72e9dfe7d6f067dfcc7e5979f.tar.gz MCOptionPricing-92375e2d232538c72e9dfe7d6f067dfcc7e5979f.zip | |
update examples
| -rw-r--r-- | utils/engine.py | 2 | ||||
| -rw-r--r-- | utils/path.py | 4 |
2 files changed, 3 insertions, 3 deletions
diff --git a/utils/engine.py b/utils/engine.py index e8d2b1f..e64d599 100644 --- a/utils/engine.py +++ b/utils/engine.py @@ -51,7 +51,7 @@ class PricingEngine: >>> payoff = AsianArithmeticPayOff(option_right='Call', K=110) >>> engine = PricingEngine(payoff=payoff, path=path) >>> print(engine.price(T=range(4))) - 2.1462567745518335 + MCResult(price=12.003704847790525, stderr=0.2327352760696234) """ payoff: BasePayoff diff --git a/utils/path.py b/utils/path.py index 6855b7f..2fbb48f 100644 --- a/utils/path.py +++ b/utils/path.py @@ -43,9 +43,9 @@ class PathGenerator: >>> from utils.path import PathGenerator >>> path = PathGenerator(S=100., r=0.1, div=0.01, vol=0.3) >>> print(path.generate(T=range(4))) - [100.0, 91.11981160354563, 94.87596210593794, 117.44132223235353] + [100.0, 100.33539853588853, 122.76017088387074, 142.29540684005462] >>> print(path.generate(T=range(4))) - [100.0, 68.73668230722738, 71.43490333826567, 70.70833180133955] + [100.0, 73.03094019139712, 77.37310245438943, 66.54240939439934] """ S: float |