docs/examples/kernel/mcdriver.py

#!/usr/bin/env python
# encoding: utf-8
"""Run a Monte-Carlo options pricer in parallel."""

from IPython.kernel import client
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')

# Push the variables that won't change 
#(stock print, interest rate, days and MC paths)
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
K_vals = N.linspace(90.0,100.0,5)
sigma_vals = N.linspace(0.0, 0.2,5)

# Submit tasks
taskids = []
for K in K_vals:
    for sigma in sigma_vals:
        t = client.StringTask(task_string, 
            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")