diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 15 |
1 files changed, 1 insertions, 14 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index a714ae17..e4b08364 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -10,10 +10,10 @@ from .sabr import sabr from .utils import GHquad, build_table from .index import g, ForwardIndex, CreditIndex from .db import _engine +from .utils import memoize from yieldcurve import roll_yc from pandas.tseries.offsets import BDay -from functools import wraps from pyisda.flat_hazard import pv_vec from scipy.optimize import brentq from scipy.integrate import simps @@ -36,19 +36,6 @@ def calib(S0, fp, exercise_date, exercise_date_settle, index.fixed_rate * 1e-4) return np.inner(pv, w) - fp -def memoize(f): - @wraps(f) - def cached_f(*args, **kwargs): - obj = args[0] - key = (f.__name__, hash(obj)) - if key in obj._cache: - return obj._cache[key] - else: - v = f(*args, **kwargs) - obj._cache[key] = v - return v - return cached_f - def ATMstrike(index, exercise_date): """computes the at-the-money strike. |
