revamp multiasset

* rearrangement of class * moved NormSpread class to NormBasket.init_spread * moved BsmBasketLowerBound to BsmBasketChoi2018.init_lowerbound()
jaesmine · May 27, 2022 · dfff7d1 · dfff7d1
1 parent 9c1bd63
commit dfff7d1
Show file tree

Hide file tree

Showing 7 changed files with 241 additions and 294 deletions.
diff --git a/pyfeng/__init__.py b/pyfeng/__init__.py
@@ -19,17 +19,13 @@
     BsmSpreadKirk,
     BsmSpreadBjerksund2014,
     NormBasket,
-    NormSpread,
     BsmBasketLevy1992,
     BsmMax2,
     BsmBasketMilevsky1998,
-    BsmBasket1Bm,
-    BsmBasketLowerBound,
+    BsmBasket1Bm, BsmBasketChoi2018,
     BsmBasketJsu,
 )
 
-from .multiasset_sumbsm import BsmBasketChoi2018
-
 from .multiasset_mc import BsmNdMc, NormNdMc
 
 # Asset Allocation

diff --git a/pyfeng/asian.py b/pyfeng/asian.py
@@ -10,11 +10,12 @@
 import mpmath as m
 import sympy
 from scipy.misc import derivative
+import pyfeng.multiasset as ma
 from . import opt_abc as opt
 from . import nsvh
 
 
-class BsmAsianJsu(opt.OptMaABC):
+class BsmAsianJsu(ma.OptMaABC):
     """
 
     Johnson's SU distribution approximation for Asian option pricing under the BSM model.