I have the following code which works perfect:
from __future__ import division
from math import log, sqrt
from scipy.stats import norm
from datetime import datetime
#Default values used for testing
s1 = 10; s2 = 20
sigma1 = 1.25; sigma2 = 1.45
t = 0.5; rho = 0.89
rate=0.05; y=0; k0 = 0.000001
sigma = lambda sig1=sigma1, sig2=sigma2, corr=rho: sqrt(sig1**2+sig2**2 -2*corr*sig1*sig2)
m_d1 = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho: (log(stock1/stock2)+1/2*sigma()**2*time)/(sigma()*sqrt(time))
m_d2 = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho: m_d1() -sigma()*sqrt(time)
m_delta1 = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho: norm.cdf(m_d1())
m_delta2 = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho: -norm.cdf(m_d2())
m_gamma11 = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho: norm.pdf(m_d1())/(stock1*sigma()*sqrt(time))
m_gamma22 = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho: norm.pdf(m_d2())/(stock2*sigma()*sqrt(time))
m_gamma12 = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho:-norm.pdf(m_d1())/(stock2*sigma()*sqrt(time))
m_theta = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho: -stock1*sigma()*norm.pdf(m_d1())/(2*sqrt(time))
m_vega1 = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho: stock1*sqrt(t)*norm.pdf(m_d1())*((sig1-(corr*sig2))/sigma())
m_vega2 = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho: stock1*sqrt(t)*norm.pdf(m_d1())*((sig2-(corr*sig1))/sigma())
m_correlation = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho: -stock1*sqrt(t)*norm.pdf(m_d1())*((sig1*sig2)/sigma())
m_margrabe = lambda stock1=s1, stock2=s2, sig1=sigma1, sig2=sigma2, time=t, corr=rho: stock1*norm.cdf(m_d1())-stock2*norm.cdf(m_d2())
print "Margrabe = "+str(m_margrabe()) + "\n"
print "THE GREEKS \n"
print "Delta Asset 1 = "+str(m_delta1())
print "Delta Stock 2 = "+str(m_delta2()) +"\n"
print "Gamma Asset 11 = "+str(m_gamma11())
print "Gamma Stock 12 = "+str(m_gamma12())
print "Gamma Stock 22 = "+str(m_gamma22()) + "\n"
print "Theta = "+str(m_theta()) +"\n"
print "Vega sigma 1 = "+str(m_vega1())
print "Vega sigma 2 = "+str(m_vega2()) + "\n"
print "Correlation = "+str(m_correlation()) + "\n"
It works perfect, but now I want to see how long my computer takes to run this program. So after googling the problem I found 2 alternatives:
1) from timeit import Timer . and in the part where I print the results, I added:
print "Margrabe = "+str(m_margrabe()) +"\n"
t1 = Timer(lambda: m_margrabe()).timeit(number=1)
print "THE GREEKS \n"
print "Delta Asset 1 = "+str(m_delta1())
t2 = Timer(lambda: m_delta1()).timeit(number=1)
print "Delta Stock 2 = "+str(m_delta2()) +"\n"
t3 = Timer(lambda: m_delta2()).timeit(number=1)
print "Gamma Asset 11 = "+str(m_gamma11())
t4 = Timer(lambda: m_gamma11()).timeit(number=1)
print "Gamma Stock 12 = "+str(m_gamma12())
t5 = Timer(lambda: m_gamma12()).timeit(number=1)
print "Gamma Stock 22 = "+str(m_gamma22()) +"\n"
t6 = Timer(lambda: m_gamma22()).timeit(number=1)
print "Theta = "+str(m_theta()) + "\n"
t7 = Timer(lambda: m_theta()).timeit(number=1)
print "Vega sigma 1 = "+str(m_vega1())
t8 = Timer(lambda: m_vega1()).timeit(number=1)
print "Vega sigma 2 = "+str(m_vega2()) +"\n"
t9 = Timer(lambda: m_vega2()).timeit(number=1)
print "Correlation = "+str(m_correlation()) + "\n"
t10 = Timer(lambda: m_correlation()).timeit(number=1)
print "Running Time = " + str(t1+t2+t3+t4+t5+t6+t7+t8+t9+t10)
this works fine: I get Running Time = 0.00682769470029
2)from datetime import datetime and:
startTime = datetime.now()
# Same code as before"
print(datetime.now()-startTime)
This also works fine and i get: 0:00:00.010000
My question is: Why are both methods different? Why do I get a different result? Is there a way to do this "calculating the running time" in one line?
Thank you
UPDATE:
def printit():
print "Margrabe = "+str(m_margrabe()) + "\n"
print "THE GREEKS \n"
print "Delta Asset 1 = "+str(m_delta1())
print "Delta Stock 2 = "+str(m_delta2()) +"\n"
print "Gamma Asset 11 = "+str(m_gamma11())
print "Gamma Stock 12 = "+str(m_gamma12())
print "Gamma Stock 22 = "+str(m_gamma22()) + "\n"
print "Theta = "+str(m_theta()) +"\n"
print "Vega sigma 1 = "+str(m_vega1())
print "Vega sigma 2 = "+str(m_vega2()) + "\n"
print "Correlation = "+str(m_correlation()) + "\n"
if __name__=='__main__':
printit()
So on i can type (my file is saved as time1.py)
python -m timeit -s "import time1; time1.main()"
but i get an error: "Attribute Error: 'module' object has no attribute 'main'
You don't need to instrument or change anything in your program to measure it. From the command line,
python -m timeit -s "import mymodule; mymodule.main()"
will tell you the running time of your module's main(). Modify the statement to measure exactly what you need.
The difference between the result from timeit and datetime is presumably because of low precision supported by datetime, but it is supposed to have microsecond precision so I cannot say for sure. At any rate, timeit is the right tool for the job at hand.