MLMC example problem

piers-hinds · May 2, 2023 · b907976 · b907976
1 parent ce6ab46
commit b907976
Showing 1 changed file with 16 additions and 0 deletions.
diff --git a/sde_mc/problem.py b/sde_mc/problem.py
@@ -90,6 +90,22 @@ def default_params(cls, steps, device):
  return LevyRainbow(1, 1, 0.5, 2, 0.02, 0.3, 0.2, 0.001, 2, 1, 1, 3, steps, device)
 
 
+class LevyRainbowMLMC(Problem):
+ def __init__(self, c_minus, c_plus, alpha, mu, r, sigma, f, epsilon, dim, spot, strike, maturity, steps, device):
+ if not torch.is_tensor(spot):
+ spot = torch.ones(dim) * spot
+ exptest = ExpExampleLevy(c_minus, c_plus, alpha, mu, r, sigma, f, epsilon, dim)
+ expsde = LevySde(exptest, spot, device=device)
+ solver = JumpEulerSolver(expsde, maturity, steps, device=device, exact_jumps=True)
+ csr = ConstantShortRate(r)
+ option = Rainbow(strike)
+ super().__init__(solver, csr, option)
+
+ @classmethod
+ def default_params(cls, steps, device):
+ return LevyRainbow(1, 1, 0.5, 2, 0.02, 0.3, 0.2, 0.001, 2, 1, 1, 3, steps, device)
+
+
 class LevyCall(Problem):
  def __init__(self, c_minus, c_plus, alpha, mu, r, sigma, f, epsilon, spot, strike, maturity, steps, device):
  chol_corr = torch.tensor([[1.]], device=device)