| """Run the standalone model on synthetic data or your own supplied JSON.""" |
| import argparse |
| import csv |
| import json |
| from pathlib import Path |
| from model import evaluate |
|
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|
|
| def main(): |
| parser = argparse.ArgumentParser(description=__doc__) |
| parser.add_argument('--input', type=Path, default=Path(__file__).parent/'examples/sample_input.json') |
| parser.add_argument('--output', type=Path, default=Path('example_result.json')) |
| parser.add_argument('--csv', type=Path, default=Path('example_rollovers.csv')) |
| parser.add_argument('--rate', type=float, default=.04, help='Continuously compounded annual rate, e.g. .04') |
| args = parser.parse_args() |
| result = evaluate(json.loads(args.input.read_text()), rate=args.rate) |
| args.output.write_text(json.dumps(result, indent=2)+'\n') |
| rows = sorted((r for r in result['rows'] if r['strategy']=='Roll then close'), |
| key=lambda r: (r['total_pl_usd'] is not None, r['total_pl_usd'] or 0), reverse=True) |
| fields = ['rank','expiry','strike','estimated_total_position_profit_usd', |
| 'net_rollover_credit_usd','net_rollover_debit_usd', |
| 'probability_beating_close','sale_floor_pass_rate','expire_option_cash_only_usd'] |
| with args.csv.open('w', encoding='utf-8-sig', newline='') as stream: |
| writer = csv.DictWriter(stream, fieldnames=fields); writer.writeheader() |
| for i, row in enumerate(rows, 1): |
| funding=row['roll_funding'] |
| writer.writerow(dict(rank=i if row['total_pl_usd'] is not None else None, |
| expiry=row['expiry'], strike=row['strike'], |
| estimated_total_position_profit_usd=row['total_pl_usd'], |
| net_rollover_credit_usd=funding['net_credit_usd'], |
| net_rollover_debit_usd=funding['net_debit_usd'], |
| probability_beating_close=row['probability_beating_close'], |
| sale_floor_pass_rate=row['sale_floor_pass_rate'], |
| expire_option_cash_only_usd=row['expire_worthless']['total_pl_usd'])) |
| close=next(r for r in result['rows'] if r['strategy']=='Close now') |
| print(f"Synthetic example: close-now total P/L USD {close['total_pl_usd']:.2f}") |
| print(f"Matching rollovers: {len(rows)}; excluded: {result['excluded']}") |
| for row in rows: |
| value=row['total_pl_usd'] |
| print(f"{row['expiry']} strike {row['strike']}: total P/L {value}") |
| print(f'Wrote {args.output} and {args.csv}') |
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|
|
| if __name__ == '__main__': |
| main() |
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|
