python-Mcmc，,Python pan

python-Mcmc，,Python pan

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 = 1.010 r = 0.0511 sigma = 0.212 M = 5013 dt = T / M14 I = 25000015 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]) / I29 30 tpy = time() - t031 print "European Option Vlue %7.3f" % C032 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 = 10510 T = 1.011 r = 0.0512 sigma = 0.213 M = 5014 dt = T / M15 I = 25000016 17 S = np.zeros((M+1,I))18 S[0] = S019 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)) / I24 25 tpy = time() - t026 print "European Option Vlue %7.3f" % C027 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 = 10510 T = 1.011 r = 0.0512 sigma = 0.213 M = 5014 dt = T / M15 I = 25000016 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] = S019 20 print maximum(S[-1]-K,0)21 22 C0 = math.exp(-r * T) * sum(maximum(S[-1]-K,0)) / I23 24 tpy = time() - t025 print "European Option Vlue %7.3f" % C026 print "Duration in Seconds %7.3f" % tpy

python-Mcmc