upstream/ipython Files · docs/examples/kernel/mcdriver.py

Cleaned up release tools directory....

Cleaned up release tools directory. Converted almost all to python scripts and made toollib to collect common functions and avoid repetition. Properly commented and documented what each script does. The run_ipy_in_profiler one seems broken, I'm not sure what to do with it. We need to either fix it or remove it later, but it's not critical for 0.10.

Brian E Granger - - Load All Authors

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        Brian E Granger
    
Adding examples from ipython1-dev to docs/examples/kernel.  These ...

              r1337
            
      #!/usr/bin/env python

      # encoding: utf-8

      """Run a Monte-Carlo options pricer in parallel."""

        Brian E Granger
    
Fixed most of the examples.  A few still don't work, but this is a start.

              r1338
            
      from IPython.kernel import client

        Brian E Granger
    
Adding examples from ipython1-dev to docs/examples/kernel.  These ...

              r1337
            
      import numpy as N

      from mcpricer import MCOptionPricer

      tc = client.TaskClient()

      rc = client.MultiEngineClient()

      # Initialize the common code on the engines

      rc.run('mcpricer.py')

        Brian E Granger
    
Minor changes to the mcdriver.py example.

              r1339
            
      # Push the variables that won't change 

      #(stock print, interest rate, days and MC paths)

        Brian E Granger
    
Adding examples from ipython1-dev to docs/examples/kernel.  These ...

              r1337
            
      rc.push(dict(S=100.0, r=0.05, days=260, paths=10000))

      task_string = """\

      op = MCOptionPricer(S,K,sigma,r,days,paths)

      op.run()

      vp, ap, vc, ac = op.vanilla_put, op.asian_put, op.vanilla_call, op.asian_call

      """

      # Create arrays of strike prices and volatilities

        Brian E Granger
    
Minor changes to the mcdriver.py example.

              r1339
            
      K_vals = N.linspace(90.0,100.0,5)

      sigma_vals = N.linspace(0.0, 0.2,5)

        Brian E Granger
    
Adding examples from ipython1-dev to docs/examples/kernel.  These ...

              r1337
            
      # Submit tasks

      taskids = []

      for K in K_vals:

          for sigma in sigma_vals:

        Brian E Granger
    
The refactoring of the Task system is nearly complete.  Now there are...

              r1395
            
              t = client.StringTask(task_string, 

        Brian E Granger
    
Adding examples from ipython1-dev to docs/examples/kernel.  These ...

              r1337
            
                  push=dict(sigma=sigma,K=K),

                  pull=('vp','ap','vc','ac','sigma','K'))

              taskids.append(tc.run(t))

      print "Submitted tasks: ", taskids

      # Block until tasks are completed

      tc.barrier(taskids)

      # Get the results

      results = [tc.get_task_result(tid) for tid in taskids]

      # Assemble the result

      vc = N.empty(K_vals.shape[0]*sigma_vals.shape[0],dtype='float64')

      vp = N.empty(K_vals.shape[0]*sigma_vals.shape[0],dtype='float64')

      ac = N.empty(K_vals.shape[0]*sigma_vals.shape[0],dtype='float64')

      ap = N.empty(K_vals.shape[0]*sigma_vals.shape[0],dtype='float64')

      for i, tr in enumerate(results):

          ns = tr.ns

          vc[i] = ns.vc

          vp[i] = ns.vp

          ac[i] = ns.ac

          ap[i] = ns.ap

      vc.shape = (K_vals.shape[0],sigma_vals.shape[0])

      vp.shape = (K_vals.shape[0],sigma_vals.shape[0])

      ac.shape = (K_vals.shape[0],sigma_vals.shape[0])

      ap.shape = (K_vals.shape[0],sigma_vals.shape[0])

      def plot_options(K_vals, sigma_vals, prices):

          """Make a contour plot of the option prices."""

          import pylab

          pylab.contourf(sigma_vals, K_vals, prices)

          pylab.colorbar()

          pylab.title("Option Price")

          pylab.xlabel("Volatility")

          pylab.ylabel("Strike Price")

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Brian E Granger Adding examples from ipython1-dev to docs/examples/kernel. These ...	r1337	#!/usr/bin/env python
		# encoding: utf-8
		"""Run a Monte-Carlo options pricer in parallel."""

Brian E Granger Fixed most of the examples. A few still don't work, but this is a start.	r1338	from IPython.kernel import client
Brian E Granger Adding examples from ipython1-dev to docs/examples/kernel. These ...	r1337	import numpy as N
		from mcpricer import MCOptionPricer


		tc = client.TaskClient()
		rc = client.MultiEngineClient()

		# Initialize the common code on the engines
		rc.run('mcpricer.py')

Brian E Granger Minor changes to the mcdriver.py example.	r1339	# Push the variables that won't change
		#(stock print, interest rate, days and MC paths)
Brian E Granger Adding examples from ipython1-dev to docs/examples/kernel. These ...	r1337	rc.push(dict(S=100.0, r=0.05, days=260, paths=10000))

		task_string = """\
		op = MCOptionPricer(S,K,sigma,r,days,paths)
		op.run()
		vp, ap, vc, ac = op.vanilla_put, op.asian_put, op.vanilla_call, op.asian_call
		"""

		# Create arrays of strike prices and volatilities
Brian E Granger Minor changes to the mcdriver.py example.	r1339	K_vals = N.linspace(90.0,100.0,5)
		sigma_vals = N.linspace(0.0, 0.2,5)
Brian E Granger Adding examples from ipython1-dev to docs/examples/kernel. These ...	r1337
		# Submit tasks
		taskids = []
		for K in K_vals:
		for sigma in sigma_vals:
Brian E Granger The refactoring of the Task system is nearly complete. Now there are...	r1395	t = client.StringTask(task_string,
Brian E Granger Adding examples from ipython1-dev to docs/examples/kernel. These ...	r1337	push=dict(sigma=sigma,K=K),
		pull=('vp','ap','vc','ac','sigma','K'))
		taskids.append(tc.run(t))

		print "Submitted tasks: ", taskids

		# Block until tasks are completed
		tc.barrier(taskids)

		# Get the results
		results = [tc.get_task_result(tid) for tid in taskids]

		# Assemble the result
		vc = N.empty(K_vals.shape[0]*sigma_vals.shape[0],dtype='float64')
		vp = N.empty(K_vals.shape[0]*sigma_vals.shape[0],dtype='float64')
		ac = N.empty(K_vals.shape[0]*sigma_vals.shape[0],dtype='float64')
		ap = N.empty(K_vals.shape[0]*sigma_vals.shape[0],dtype='float64')
		for i, tr in enumerate(results):
		ns = tr.ns
		vc[i] = ns.vc
		vp[i] = ns.vp
		ac[i] = ns.ac
		ap[i] = ns.ap
		vc.shape = (K_vals.shape[0],sigma_vals.shape[0])
		vp.shape = (K_vals.shape[0],sigma_vals.shape[0])
		ac.shape = (K_vals.shape[0],sigma_vals.shape[0])
		ap.shape = (K_vals.shape[0],sigma_vals.shape[0])


		def plot_options(K_vals, sigma_vals, prices):
		"""Make a contour plot of the option prices."""
		import pylab
		pylab.contourf(sigma_vals, K_vals, prices)
		pylab.colorbar()
		pylab.title("Option Price")
		pylab.xlabel("Volatility")
		pylab.ylabel("Strike Price")