Posted GuoXiaoXiao
by Quality test of Early Exercise
I run the R code in A2 to generate the output of Early Exercise and compare it with the reference value in Quality tool. I found the error is 0.1. Why the error is so large?
I run the R code in A2 to generate the output of Early Exercise and compare it with the reference value in Quality tool. I found the error is 0.1. Why the error is so large?
The STAC-A2 Benchmark suite is the industry standard for testing technology stacks used for compute-intensive analytic workloads involved in pricing and risk management.
Comments
Check paths and timesteps?
Hi, GuoXiaoXiao. The R code uses a very small number of timesteps and paths in order to allow it to run quickly on a laptop. When you ran quality tests, did you set timesteps to 252 and paths to 25,000 (the baseline problem size for STAC-A2)?
In general, please note that the purpose of the R code is to describe the algorithms in STAC-A2. It is not a complete reference implementation (for example, it does not input problem sizes from the STAC-A2 config files).
Cheers,
Peter
Hi Peter,
Hi Peter,
I read the spec. I think for quality test of Early Exercise. It uses the single-asset, timesteps to 100, paths to 10000 and read the model parameter from input_HESTON_1ASSET.csv. I did the same problem sizes setting.
Thanks, GuoXiaoXiao
Ah, right
You're right, I forgot to check the params for that test. So it sounds like you set them correctly. Did you set the strike to 1? If so and you're still getting a lot of error, I'll have to punt to someone else on this list who actually understands the code, since I'm out of my depth.
Thanks,
Peter
yes, the strike is 1. The
yes, the strike is 1. The output for R code is about 0.22 and the reference code is about 0.104.
Thanks, GuoXiaoXiao
Which model is used for Early
Which model is used for Early Exercise Quality test? B-S or Heston?
And what's the parameter for
And what's the parameter for the model?
Quality test of EARLYEX
I just checked the specs, and they say the output of the SUT is compared to a Black-Scholes binomial approximation. The input parameters for the SUT are:
input_HESTON_1ASSETQUAL.csv
input_MATRIX_1ASSETQUAL.csv
input_HESTON_2ASSETQUAL.csv
input_MATRIX_2ASSETQUAL.csv
If you're asking what the input parameters are for the B-S approximation, the best place to look is in the source to the QA tool.
Thanks,
Peter
Hi Peter,
Hi Peter,
where can I find "STAC-A2 Quality Assessment Algorithm Specifications (C code), latest revision" ? Thanks.
Source access
I've dropped you a note to source out acces to that repo.
Thanks
Hi Peter,
Hi Peter,
I have the access to the repo. However, I always cannot pass the exerly exercise quality test. Where can I find a detail descirption about this test? Now I use R algorihtm as my golden.
Please contact me
GuoXiaoXiao, let's set up a time to talk. Please respond to the email I sent so we can take this off the group forum.
Thanks!
Peter
Please contact me
Peter, that's great. Can I reply to webserver@stacresearch.com directly? My emails is zhenhong@xilinx.com.