GBM Examples Notebook¶

This notebook demonstrates MAE plots and comparisons for GBM samplers.

In [1]:

import sys
from pathlib import Path

# Add the current directory to Python path to import local modules
notebook_dir = Path().resolve()
if str(notebook_dir) not in sys.path:
    sys.path.insert(0, str(notebook_dir))

import sys from pathlib import Path # Add the current directory to Python path to import local modules notebook_dir = Path().resolve() if str(notebook_dir) not in sys.path: sys.path.insert(0, str(notebook_dir))

In [2]:

import matplotlib.pyplot as plt
from matplotlib.ticker import FixedLocator, FixedFormatter

import config as cf
import averaged_mae as am
import plot_util as pu

import matplotlib.pyplot as plt from matplotlib.ticker import FixedLocator, FixedFormatter import config as cf import averaged_mae as am import plot_util as pu

Configuration¶

Toggle debugging for the demo.

In [3]:

cf.is_debug = False

cf.is_debug = False

Standardize figure size across the notebook (width, height) in inches:

In [4]:

FIGSIZE = (6, 4)
plt.rcParams['figure.figsize'] = FIGSIZE

FIGSIZE = (6, 4) plt.rcParams['figure.figsize'] = FIGSIZE

MAE vs Number of Paths in QMCPy and QuantLib¶

In [5]:

replications = 1
am.plot_mae_vs_paths(replications)

replications = 1 am.plot_mae_vs_paths(replications)

In [6]:

replications = 1
am.plot_mae_vs_paths(replications)

replications = 1 am.plot_mae_vs_paths(replications)

In [7]:

replications = 4
am.plot_mae_vs_paths(replications)

replications = 4 am.plot_mae_vs_paths(replications)

MAE vs Number of Time Steps in QMCPy and QuantLib¶

In [8]:

replications = 1
am.plot_mae_vs_steps(replications)

replications = 1 am.plot_mae_vs_steps(replications)

In [9]:

replications = 1
am.plot_mae_vs_steps(replications)

replications = 1 am.plot_mae_vs_steps(replications)

In [10]:

replications = 4
am.plot_mae_vs_steps(replications)

replications = 4 am.plot_mae_vs_steps(replications)