In [11]:

    

import numpy as np
import timeit
from option_models import normal
from option_models import bsm


    

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### only run this when you changed the class definition
import imp
imp.reload(normal)
imp.reload(bsm)


    

    
Out[2]:





<module 'option_models.bsm' from 'D:\\Mega\\PHBS\\2017 M1 ASP\\SABRmodel_Base\\option_models\\bsm.py'>

In [6]:

    

n_vec = 10000
strike = np.random.rand(n_vec)*200
spot = 100
texp = 1
vol = np.random.rand(n_vec)*10


    

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start_time = timeit.default_timer()
price_vec = normal.price(strike, spot, texp, vol)
elapsed = timeit.default_timer() - start_time
print(elapsed)


    

    




0.012746952558359226

In [9]:

    

price_loop = np.zeros(strike.size)
start_time = timeit.default_timer()
for ind in range(strike.size):
    price_loop[ind] = normal.price(strike[ind], spot, texp, vol[ind])

elapsed = timeit.default_timer() - start_time
print(elapsed)


    

    




1.4413929842040716

In [10]:

    

price_vec - price_loop


    

    
Out[10]:





array([ 0.,  0.,  0., ...,  0.,  0.,  0.])

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