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Fix argument order in the numpy, numba and parallel Monte Carlo wrappers #281

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Merged
domokane merged 1 commit into from
Sep 27, 2026
Merged

Fix argument order in the numpy, numba and parallel Monte Carlo wrappers #281

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8 changes: 4 additions & 4 deletions financepy/products/equity/equity_vanilla_option.py
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Original file line number Diff line number Diff line change
Expand Up @@ -399,10 +399,10 @@ def value_mc_numpy_only(
s0,
t_exp,
self.strike_price,
self.opt_type_value,
r,
q,
vol,
self.opt_type_value,
num_paths,
seed,
use_sobol,
Expand Down Expand Up @@ -441,10 +441,10 @@ def value_mc_numba_only(
s0,
t_exp,
self.strike_price,
self.opt_type_value,
r,
q,
vol,
self.opt_type_value,
num_paths,
seed,
use_sobol,
Expand Down Expand Up @@ -483,10 +483,10 @@ def value_mc_numba_parallel(
s0,
t_exp,
self.strike_price,
self.opt_type_value,
r,
q,
vol,
self.opt_type_value,
num_paths,
seed,
use_sobol,
Expand Down Expand Up @@ -527,10 +527,10 @@ def value_mc_numpy_numba(
s0,
t_exp,
self.strike_price,
self.opt_type_value,
r,
q,
vol,
self.opt_type_value,
num_paths,
seed,
use_sobol,
Expand Down
26 changes: 26 additions & 0 deletions tests/unit/test_FinEquityVanillaOption.py
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Original file line number Diff line number Diff line change
Expand Up @@ -126,3 +126,29 @@ def test_vanna():


test_call_option()


########################################################################################


def test_monte_carlo_variants_agree_with_analytic():
"""Every Monte Carlo implementation prices the same call within sampling error
of the closed form. The numpy, numba and parallel wrappers used to pass the
option type in the position of the interest rate and returned NaN."""
analytic = call_option.value(
value_date, stock_price, discount_curve, dividend_curve, model
)
variants = {
"value_mc": 200_000,
"value_mc_numpy_only": 200_000,
"value_mc_numba_only": 200_000,
"value_mc_numpy_numba": 200_000,
"value_mc_numba_parallel": 200_000,
"value_mc_nonumba_nonumpy": 20_000,
}
for name, num_paths in variants.items():
value = getattr(call_option, name)(
value_date, stock_price, discount_curve, dividend_curve, model, num_paths, 4242
)
assert math.isfinite(value), name
assert abs(value - analytic) < 0.20, (name, value, analytic)
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