问题描述
我正在创建模拟库,其中一个使用几何几何布朗运动(gbm)。我为它创建了一个类,它有一个函数 update 来更新变量值。下面是 gbm 类的代码:
import numpy as np
from sn_random_numbers_gen import sn_random_numbers
from generic_simulation_class import simulation_class
class geometric_brownian_motion(simulation_class):
#class to generate simiulated paths usinig gbm
# attriibutes: name,mar_env,corr
#methods: update(to update parameters),generate_paths
def __init__(self,name,corr=False):
super().__init__(name,corr)
def update(self,initial_value = None,volatility=None,final_date=None):
if initial_value is not None:
self.initial_value = initial_value
if volatility is not None:
self.volatility = volatility
if final_date is not None:
self.final_date = final_date
def generate_paths(self,fixed_seed = False,day_count = 365):
if self.time_grid is None:
self.generate_time_grid()
M = len(self.time_grid)
J = self.paths
paths = np.zeros((M,J))
paths[0] = self.initial_value
if not self.correlated:
rand = sn_random_numbers((1,M,J),fixed_seed=fixed_seed)
else:
rand = self.random_numbers
short_rate = self.discount_curve.short_rate
for t in range(1,len(self.time_grid)):
if not self.correlated:
ran = rand[t]
else:
ran = np.dot(self.cholesky_matrix,rand[:,t,:])
ran = ran[self.rn_set]
dt = (self.time_grid[t]-self.time_grid[t-1]).days/day_count
paths[t] = paths[t-1]*np.exp((short_rate-0.5*self.volatility**2)*dt + self.volatility*np.sqrt(dt)*ran)
self.instrument_values = paths
这是该类的一个用例(这个用例还调用了我其他一些预定义的类):
import datetime as dt
from dx_frame import *
me_gbm = market_environment('me_gbm',dt.datetime(2020,1,1))
me_gbm.add_constant('initial_value',36)
me_gbm.add_constant('volatility',0.1)
me_gbm.add_constant('final_date',12,31))
me_gbm.add_constant('currency','EUR')
me_gbm.add_constant('frequency','M')
me_gbm.add_constant('paths',10000)
csr = constant_short_rate('csr',0.05)
me_gbm.add_curve('discount_curve',csr)
gbm = geometric_brownian_motion('gbm',me_gbm)
gbm.generate_time_grid()
paths_1 = gbm.get_instrument_values()
gbm.update(volatility=0.5)
paths_2 = gbm.get_instrument_values()
这里调用更新函数来改变可变波动率的值。但是,变量保持不变。由于paths_1和paths_2的值相同(我附上了paths_1和paths_2的图像以供参考)。所有其他功能都可以正常工作。你能帮我理解这个问题吗?
解决方法
更新函数没问题,问题出在 get_instrument_values 上,因为路径不是 none 它不会更新并返回相同的路径。 使用 fixed_seed = False 解决问题