pass runs parameter as days per quarter.

pass `runs` parameter as days per quarter. no default in price_dividend_ratio_random_walk
sbenthall · Feb 6, 2024 · e7ee9d4 · e7ee9d4
1 parent b9eeabb
commit e7ee9d4
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Showing 3 changed files with 5 additions and 5 deletions.
diff --git a/sharkfin/markets/ammps.py b/sharkfin/markets/ammps.py
@@ -31,8 +31,8 @@ def __init__(self,
         seed=None,
         queue_name='',
         host='localhost',
-        dividend_growth_rate = 1.000628,
-        dividend_std = 0.011988,
+        dividend_growth_rate = 1.000203,
+        dividend_std = 0.011983,
         price_to_dividend_ratio = 60 / 0.05,
         rng = None,
         macro_price_field = None,

diff --git a/sharkfin/utilities.py b/sharkfin/utilities.py
@@ -125,7 +125,7 @@ def combine_lognormal_rates(ror1, std1, ror2, std2):
 
 
 def price_dividend_ratio_random_walk(
-    DiscFac, CRRA, dividend_growth_rate, dividend_std, days_per_quarter=90
+    DiscFac, CRRA, dividend_growth_rate, dividend_std, days_per_quarter
 ):
     ## From Equation 30 from the C. Carroll Lucas asset pricing notes:
     ## http://www.econ2.jhu.edu/people/ccarroll/public/lecturenotes/AssetPricing/LucasAssetPrice.pdf

diff --git a/simulate/run_any_simulation.py b/simulate/run_any_simulation.py
@@ -254,7 +254,7 @@ def env_param(name, default):
 
     # General market arguments
     market_class_name = str(args.market)
-
+    days_per_quater = runs
     population_name = str(args.population)
     pop_CRRA = float(args.pop_CRRA)
     pop_DiscFac = float(args.pop_DiscFac)
@@ -334,7 +334,7 @@ def env_param(name, default):
         "dividend_std": dividend_std,
         "rng": rng,
         "price_to_dividend_ratio": price_dividend_ratio_random_walk(
-            pop_DiscFac, pop_CRRA, dividend_growth_rate, dividend_std
+            pop_DiscFac, pop_CRRA, dividend_growth_rate, dividend_std, days_per_quater
         ),
     }