My OS:. Unfortunately I've made the decision to not actively support this Gist and have left it available for historical reference. The function itself if highly inefficient — to allow the progress bar to dynamically resize with the terminal it must open a subprocess and call a terminal command in this case, tput to get the window size on each iteration. While there may be some way around this problem, I just developed it as a test case in response to a comment on the question posted here.

Sds zigana px9All you'll need to do is update line 26 with the appropriate command. For reference, tput is part of the Linux ncurses package, which is available in most Linux distributions. Hope this helps.

TLDR: instead of playing around with a subprocess or something, just use shutil. Hadn't thought of shutil — nice idea, definitely would speed things up a bit. I'll update it. The upshot is that your IDE handles the return and newline characters differently than the terminal the function was developed in. Skip to content. Instantly share code, notes, and snippets. Code Revisions 5 Stars 3. Embed What would you like to do?

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Eras e chirurgia toracicaShare Copy sharable link for this gist. Learn more about clone URLs. Download ZIP. Python: printProgressBar function with autoresize option. This version of the printProgressBar function implements an optional autoresize argument. It has been updated from a previous version to use the shutil Python module to determine the terminal size. This update should allow it to work on most operating systems and does speed up the autosize feature quite a bit — though it still slows things down quite a bit.

This comment has been minimized. Sign in to view. Copy link Quote reply. What OS are you using? Same error for me too: 'tput' is not recognized as an internal or external command, operable program or batch file. Not working for me. OK man. No prob. Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment.Nice to meet you all. I am new here.

I am currently working on my research on real options analysis using Monte Carlo Simulation with the following steps. Appreciated if anyone please help me with this regarding. Thanks in advanced.

This post was moved to a different board that fits your topic of discussion a bit better. No action is needed on your part; you can continue the conversation as normal here. Turn on suggestions. Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for. Search instead for. Did you mean:. Ground Controller Lvl 1. Message 1 of 2. I am currently working on my research on real options analysis using Monte Carlo Simulation with the following steps - a. AndreaGriffiths Community Manager. Message 2 of 2. Hi Nur-al-ahad, This post was moved to a different board that fits your topic of discussion a bit better.

All forum topics Previous Topic Next Topic. New solutions. Project Development Help and Advice. Volunteer technical writer. APP development suggestions for IoT. Serial to network and back to serial flow. Topic completed. Business location.

Raspberry pi 4 command line help. Find More Solutions. Top Kudoed Posts. Re: Android Studio 3. Re: Volunteer technical writer.In finance, computation efficiency can be directly converted to trading profits sometimes. Quants are facing the challenges of trading off research efficiency with computation efficiency. Using Python can produce succinct research codes, which improves research efficiency.

How to change directx 11 to 9 windows 10However, vanilla Python code is known to be slow and not suitable for production. In this post, I explore how to use Python GPU libraries to achieve the state-of-the-art performance in the domain of exotic option pricing. Options like the Barrier option and Basket option have a complicated structure with no simple analytical solution. The Monte Carlo simulation is an effective way to price them. To get an accurate price with a small variance, you need many simulation paths, which is computationally intensive.

Luckily, each of the simulation paths are independent and you can take advantage of the multiple-core NVIDIA GPU to accelerate the computation within a node or even expand it to multiple servers, if necessary. Using GPU can speed up the computation by orders of magnitude due to the parallelization of the independent paths.

Data scientists must manage the memory explicitly and write a lot of boilerplate code, which posts challenges to code maintenance and production efficiency. Recently, the Deeply Learning Derivatives Ryan et al, paper was introduced to approximate the option pricing model using a deep neural network. By trading off compute time for training with inference time for pricing, it achieves additional order-of-magnitude speedups for options pricing compared to the Monte Carlo simulation on GPUs, which makes live exotic option pricing in production a realistic goal.

This post is organized in two parts with all the code hosted in the gQuant repo on GitHub:.

The method that I introduced in this post does not pose any restrictions on the exotic option types. It works for any option pricing model that can be simulated using Monte Carlo methods. Without loss of generality, you can use the Asian Barrier Option as an example. The source codes and example Jupyter notebooks for this post are hosted in the gQuant repo.

In the following sections, see the Monte Carlo simulation in traditional CUDA code and then the same algorithm implemented in Python with different libraries. The CUDA code is usually long and detailed. In general, it is performing a sequence of the following tasks:. You must perform each step explicitly.This post is part of a larger series on Option Pricing with Python.

In order to get the best out of this article, you should be able to tick the following boxes:. Later articles will build production-ready Finite Difference and Monte Carlo solvers to solve more complicated derivatives. Python has a reputation primarily as a scripting language, functioning as "glue" between other codebases.

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The QuantStart team, however, believe that with tools such as Numpy and SciPy it is perfectly capable of being utilised to price options. However, it is yet another language to learn - so why should you invest the time?

We have listed the primary benefits below:. The articles to follow will concentrate on simplicity, rather than optimisation. We will follow Daniel Duffy 's philosophy of "First we get it working, then we get it right, then we optimise it". To this end, we will initially be focusing on clear and explicit syntax. It should be obvious how we have gone from an algorithm to its implementation, with the minimum of head-scratching.

After we have code working, we can make sure it is producing the correct values. Finally, we can optimise it and put it into production.

It has already been outlined that the reader is to be familiar with the Black-Scholes formula for the pricing of European Vanilla Calls and Puts. This is the cumulative distribution function of the standard normal distribution. In addition, we would like to have closed form solutions for the "Greeks", which are the option price sensitivities to the underlying variables and parameters.

For this reason we also need the formula for the probability density function of the standard normal distribution which is given below:.

Our task is now to utilise Python to implement these functions and provide us with values for the closed-form solution to the price of a European Vanilla Call or Put with their associated sensitivities. Open a new Python file in your favourite IDE and name it statistics. This function is fairly self-explanatory.

## American Option Pricing with QuantLib and Python

The next function to code up is the CDF of the normal distribution. The method utilised The Wikipedia article on the Normal Distribution sheds more light on this and other methods.

Here is the Python listing for the algorithm:. We now have the two statistical functions necessary for calculating the closed-form options prices for European vanilla calls and puts.

It should reside in the same file directory as the statistics. The code for this function is provided below:. This concludes the coding of formulae for the statistical distribution functions in statistics. At this stage it is prudent to check that the formulae produce the correct results and satisfy the known bounds on the prices such as Put-Call Parity.

That will be the subject of a future article.

Arcade stickJoin the Quantcademy membership portal that caters to the rapidly-growing retail quant trader community and learn how to increase your strategy profitability. How to find new trading strategy ideas and objectively assess them for your portfolio using a Python-based backtesting engine.

How to implement advanced trading strategies using time series analysis, machine learning and Bayesian statistics with R and Python. The Quantcademy Join the Quantcademy membership portal that caters to the rapidly-growing retail quant trader community and learn how to increase your strategy profitability. Find Out More.A python program to implement the discrete binomial option pricing model.

A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep Galerkin method. Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied volatility, Greeks hedging.

Pricing Asian options using finite difference schemes in Python. Implementation of Monte Carlo simulations and Black-Scholes method to calculate prices for American and European options respectively.

European option pricing using DEJD model. Bayer, Friz, Gulisashvili, Horvath, Stemper Short-time near-the-money skew in rough fractional volatility models. Small projects for Quantitative Financial Applications. Beginner level python codes. Option pricing using the Binomial-tree, Monte Carlo method and Partial differential equation. Add a description, image, and links to the option-pricing topic page so that developers can more easily learn about it.

Curate this topic. To associate your repository with the option-pricing topic, visit your repo's landing page and select "manage topics. Learn more. Skip to content. Here are 18 public repositories matching this topic Language: Python Filter by language. Sort options. Star Code Issues Pull requests. A nimble options backtesting library for Python.

### option-pricing

Updated Sep 14, Python. Quantitative Finance tools. Updated Aug 28, Python. Updated Aug 31, Python. Updated Aug 29, Python.This CQF elective is about machine learning and deep learning with Python applied to finance. It starts with techniques to retrieve financial data from open data sources and covers Python packages like NumPy, pandas, scikit-learn and TensorFlow.

It provides the basis to further explore these recent developments in data science to improve traditional financial tasks such as the pricing of American options or the prediction of future stock market movements. Download and install Miniconda 3. Deep learning is a subset of machine learning, which is a subset of AI. That is, all machine learning counts as AI, but not all AI counts as machine learning.

For example, symbolic logic rules engines, expert systems and knowledge graphs as well as evolutionary algorithms and Baysian statistics could all be described as AI, and none of them are machine learning. They interpret sensory data through a kind of machine perception, labeling or clustering raw input. The patterns they recognize are numerical, contained in vectors, into which all real-world data, be it images, sound, text or time series, must be translated. It finds correlations.

This is known as supervised learning. Any labels that humans can generate, any outcomes you care about and which correlate to data, can be used to train a neural network. Here some resources to get a first overview of basic machine learning concepts and logistic regression for classification:.

Hi Yves, thanks for the great session. There is a small bug in the paths function.

Bliss os hdmi audioI think it should be something like this:. Skip to content. Instantly share code, notes, and snippets. Code Revisions 11 Stars 33 Forks Embed What would you like to do? Embed Embed this gist in your website. Share Copy sharable link for this gist. Learn more about clone URLs. Download ZIP. Machine Learning for Finance Dr. Yves J. May Abstract This CQF elective is about machine learning and deep learning with Python applied to finance. Sorry, something went wrong. This comment has been minimized.

Sign in to view. Copy link Quote reply. Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment. You signed in with another tab or window.GitHub is home to over 40 million developers working together to host and review code, manage projects, and build software together.

If nothing happens, download GitHub Desktop and try again. If nothing happens, download Xcode and try again. If nothing happens, download the GitHub extension for Visual Studio and try again. Before the discrete events happen, there are usually some abnormalities on the theoretically "convex" vol surface. Very often at the ATM part we will see some small bumps. This package provide you a simple way to use combination of Heston and jump model to calibrate these exotic shape.

You can download the library to easily compute all kinds of Heston model variation. Currently the package support the pricing of:. The complex integral shift constant in the formula is set to be 1. It is recommended that you can choose StepSize to be 0. After download latest GSLextract the.

RiccardoeschimeseSkip to content. Dismiss Join GitHub today GitHub is home to over 40 million developers working together to host and review code, manage projects, and build software together. Sign up. No description, website, or topics provided. Branch: master. Find file. Sign in Sign up.

Go back. Launching Xcode If nothing happens, download Xcode and try again.

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