FEATURE: refactoring monte carlo

Author: chemardes

pdesolvers/optionspricing/market_data.py

@@ -4,7 +4,6 @@
 class HistoricalStockData:
     def __init__(self, ticker):
         self.__stock_data = None
-        self.__options = None
         self.__ticker = ticker
 
     def fetch_stock_data(self, start_date, end_date):

pdesolvers/optionspricing/monte_carlo.py

@@ -28,11 +28,13 @@ def __init__(self, option_type: OptionType, S0, strike_price, r, sigma, T, time_
         self.__time_steps = time_steps
         self.__sim = sim
         self.__S = None
+        self.__run = False
         self.__duration = 0.0
 
     def get_monte_carlo_option_price(self):
 
         S = self.simulate_gbm()
+        self.__run = True
 
         if self.__option_type == OptionType.EUROPEAN_CALL:
             payoff = np.maximum(S[:, -1] - self.__strike_price, 0)
@@ -72,7 +74,7 @@ def simulate_gbm(self):
                 S[i,j] = S[i, j-1] * np.exp((self.__r - 0.5*self.__sigma**2)*dt + self.__sigma * (B[i, j] - B[i, j - 1]))
 
         end = time.perf_counter()
-        self.duration = end - start
+        self.__duration = end - start
 
         self.__S = S
         return self.__S
@@ -104,4 +106,7 @@ def plot(self):
         plt.show()
 
     def get_execution_time(self):
+        if not self.__run:
+            raise RuntimeError("Execution time is not available because the simulation has not been run yet.")
+
         return self.__duration

pdesolvers/tests/test_options_pricing.py

@@ -81,4 +81,13 @@ def test_check_simulate_gbm_initial_values(self, mc_pricing_params):
 
         results = test_mc.simulate_gbm()
 
-        assert (results[:,0] == mc_pricing_params['S0']).all()
+        assert (results[:,0] == mc_pricing_params['S0']).all()
+
+    def test_check_get_execution_time_raises_exception_when_no_simulation_is_run(self, mc_pricing_params):
+
+        test_mc = MonteCarloPricing(
+            OptionType.EUROPEAN_CALL, **mc_pricing_params
+        )
+
+        with pytest.raises(RuntimeError, match="Execution time is not available because the simulation has not been run yet."):
+            test_mc.get_execution_time()