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btime back to main scope, other wwise it doesnt work
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src/Hedgehog2.jl

Lines changed: 22 additions & 26 deletions
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@@ -8,31 +8,27 @@ include("pricing_methods.jl")
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include("delta_methods.jl")
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"""Example code with benchmarks"""
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function example()
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# Define market data and payoff
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market_inputs = BlackScholesInputs(0.01, 1, 0.4)
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payoff = VanillaEuropeanCall(1, 1)
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pricer = Pricer(market_inputs, payoff, BlackScholesMethod())
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println(pricer())
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# Analytical Delta
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analytical_delta_calc = DeltaCalculator(pricer, BlackScholesAnalyticalDelta())
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println(analytical_delta_calc())
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# AD Delta
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ad_delta_calc = DeltaCalculator(pricer, ADDelta())
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println(ad_delta_calc())
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println("Benchmarking pricer:")
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@btime pricer()
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# Run benchmarks
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println("Benchmarking Analytical Delta:")
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@btime analytical_delta_calc()
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println("Benchmarking AD Delta:")
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@btime ad_delta_calc()
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end
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example()
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# Define market data and payoff
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market_inputs = BlackScholesInputs(0.01, 1, 0.4)
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payoff = VanillaEuropeanCall(1, 1)
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pricer = Pricer(market_inputs, payoff, BlackScholesMethod())
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println(pricer())
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# Analytical Delta
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analytical_delta_calc = DeltaCalculator(pricer, BlackScholesAnalyticalDelta())
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println(analytical_delta_calc())
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# AD Delta
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ad_delta_calc = DeltaCalculator(pricer, ADDelta())
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println(ad_delta_calc())
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# println("Benchmarking pricer:")
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@btime pricer()
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# Run benchmarks
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println("Benchmarking Analytical Delta:")
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@btime analytical_delta_calc()
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println("Benchmarking AD Delta:")
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@btime ad_delta_calc()
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end

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