So, I was working on some basic finance, trying to simulate a number of random stock price paths, when I encountered this inscrutable bug in the code.
My code so far:
# Imports.
%matplotlib inline
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from math import *
# Error-producing section - randnorm holds a 10x10 vector of normally distributed
# random numbers, used in calculating my price path.
sims = 5
intervals = 5
r=.02
T=1
sigma=.15
randnorm = [[np.random.normal() for x in range(10)] for y in range(10)]
# print(randnorm)
for i in range(sims):
for j in range(1,intervals):
paths[i][j] = paths[i][j-1] * exp((r - .5*sigma**2)*(T/intervals) + sqrt(T/intervals)*randnorm[i][j-1])
print(paths[0][1])
I knew something was wrong with my previous code, so I tried debugging by printing in each loop, and I get this,
0.5937221173702402
0.5937221173702402
0.5937221173702402
0.5937221173702402
1.4849274521869171
1.4849274521869171
1.4849274521869171
1.4849274521869171
0.860018700453769
0.860018700453769
0.860018700453769
0.860018700453769
1.0709782525755074
1.0709782525755074
1.0709782525755074
1.0709782525755074
0.7184834195858915
0.7184834195858915
0.7184834195858915
0.7184834195858915
What gives? I seriously do not know where I could be wrong here. It's not my random numbers, which are all different, or an index issue.
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