几何布朗运动 GBM in Python

"""
gbm_sim.py
"""
import numpy as np 
class GBM(object):
    '''
    classdocs
    '''


    def __init__(self, count_path=10, years=1):
        S0 = 100.
        r = 0.05
        sigma = 0.50
        T = 1
        N = 252*years
        i = count_path  
        
        self.path_ = self.gen_paths(S0, r, sigma, T, N, i)
    
    def get_path(self):
        return self.path_
    
    def gen_paths(self, S0, r, sigma, T, M, I):
        """
        Yves Hilpisch - Python for Finance
        """
        np.random.seed(3773)
        dt = float(T) / M
        paths = np.zeros((M + 1, I), np.float64)
        paths[0] = S0
        for t in range(1, M + 1):
            rand = np.random.standard_normal(I)
            paths[t] = paths[t - 1] * np.exp((r - 0.5 * sigma ** 2) * dt +
                                             sigma * np.sqrt(dt) * rand)
        return paths

"""
run.py
"""
import pandas as pd
import matplotlib.pyplot as plt

from forecasting.gbm_sim import GBM

if __name__ == '__main__':
    pN = 5
    yN = 1
    gbm = GBM(
            count_path=pN,
            years = yN
        ).get_path()
    
    df = pd.DataFrame.from_records(gbm)
    df.plot(title=f'{pN} Geometric Brownian Motions ({yN} Years)')
    plt.show()