PicklingError in 00_dx_quickstart, 06_dx and 13_dx notebooks

[finmod]

Running dx-master locally on Windows 8.2, Anaconda 2.4.1 and python 2.7, the following error arises at ln[34]

---

PicklingError Traceback (most recent call last)
in ()
----> 1 port.get_values()

C:\Users\Denis\Finmod\dx-master\dx\dx_valuation.pyc in get_values(self, fixed_seed)
905 if self.parallel is True:
906 self.underlying_objects =
--> 907 simulate_parallel(self.underlying_objects.values())
908 results = value_parallel(self.valuation_objects.values())
909 # iterate over all positions in portfolio

C:\Users\Denis\Finmod\dx-master\dx\dx_valuation.pyc in simulate_parallel(objs, fixed_seed)
1130 for o in objs:
1131 procs.append(mp.Process(target=worker, args=(o, output)))
-> 1132 [pr.start() for pr in procs]
1133 [pr.join() for pr in procs]
1134 results = [output.get() for o in objs]

C:\Users\Denis\Anaconda3\envs\py27\lib\multiprocessing\process.pyc in start(self)
128 else:
129 from .forking import Popen
--> 130 self._popen = Popen(self)
131 _current_process._children.add(self)
132

C:\Users\Denis\Anaconda3\envs\py27\lib\multiprocessing\forking.pyc in init(self, process_obj)
275 try:
276 dump(prep_data, to_child, HIGHEST_PROTOCOL)
--> 277 dump(process_obj, to_child, HIGHEST_PROTOCOL)
278 finally:
279 del Popen._tls.process_handle

C:\Users\Denis\Anaconda3\envs\py27\lib\multiprocessing\forking.pyc in dump(obj, file, protocol)
197
198 def dump(obj, file, protocol=None):
--> 199 ForkingPickler(file, protocol).dump(obj)
200
201 #

C:\Users\Denis\Anaconda3\envs\py27\lib\pickle.pyc in dump(self, obj)
222 if self.proto >= 2:
223 self.write(PROTO + chr(self.proto))
--> 224 self.save(obj)
225 self.write(STOP)
226

C:\Users\Denis\Anaconda3\envs\py27\lib\pickle.pyc in save(self, obj)
329
330 # Save the reduce() output and finally memoize the object
--> 331 self.save_reduce(obj=obj, *rv)
332
333 def persistent_id(self, obj):

C:\Users\Denis\Anaconda3\envs\py27\lib\pickle.pyc in save_reduce(self, func, args, state, listitems, dictitems, obj)
423
424 if state is not None:
--> 425 save(state)
426 write(BUILD)
427

C:\Users\Denis\Anaconda3\envs\py27\lib\pickle.pyc in save(self, obj)
284 f = self.dispatch.get(t)
285 if f:
--> 286 f(self, obj) # Call unbound method with explicit self
287 return
288

C:\Users\Denis\Anaconda3\envs\py27\lib\pickle.pyc in save_dict(self, obj)
653
654 self.memoize(obj)
--> 655 self._batch_setitems(obj.iteritems())
656
657 dispatch[DictionaryType] = save_dict

C:\Users\Denis\Anaconda3\envs\py27\lib\pickle.pyc in _batch_setitems(self, items)
685 for k, v in tmp:
686 save(k)
--> 687 save(v)
688 write(SETITEMS)
689 elif n:

C:\Users\Denis\Anaconda3\envs\py27\lib\pickle.pyc in save(self, obj)
284 f = self.dispatch.get(t)
285 if f:
--> 286 f(self, obj) # Call unbound method with explicit self
287 return
288

C:\Users\Denis\Anaconda3\envs\py27\lib\pickle.pyc in save_global(self, obj, name, pack)
752 raise PicklingError(
753 "Can't pickle %r: it's not found as %s.%s" %
--> 754 (obj, module, name))
755 else:
756 if klass is not obj:

PicklingError: Can't pickle <function worker at 0x0000000020680668>: it's not found as dx.dx_valuation.worker

The same arises in 06-dx-prtfolio-parallel notebook and 13_dx_quite_ complex_portfolio notebook, in short everytime port.et_values or port.Get_statistics is used.

In addition, the recently updated vc.vega('gbm1') in 04_dx_valuation notebook and others produces this error:

---

TypeError Traceback (most recent call last)
in ()
----> 1 vc.vega('gbm1')

C:\Users\Denis\Finmod\dx-master\dx\dx_valuation.pyc in vega(self, key, interval)
513 def vega(self, key, interval=0.01):
514 if len(self.instrument_values) == 0:
--> 515 self.get_instrument_values()
516 asset = self.underlying_objects[key]
517 if interval < asset.volatility / 50.:

C:\Users\Denis\Finmod\dx-master\dx\dx_valuation.pyc in get_instrument_values(self, fixed_seed)
471 for obj in self.underlying_objects.values():
472 if obj.instrument_values is None:
--> 473 obj.generate_paths(fixed_seed=fixed_seed)
474
475 def update(self, key=None, initial_value=None, volatility=None,

C:\Users\Denis\Finmod\dx-master\dx\dx_models.pyc in generate_paths(self, fixed_seed, day_count)
186 ran = np.dot(self.cholesky_matrix, rand[:, t, :])
187 ran = ran[self.rn_set]
--> 188 dt = (self.time_grid[t] - self.time_grid[t - 1]).days / day_count
189 # difference between two dates as year fraction
190 rt = (forward_rates[t - 1] + forward_rates[t]) / 2

TypeError: unsupported operand type(s) for -: 'datetime.datetime' and 'float'

Thank you for your attention.

[yhilpisch]

Fixed the vega bug. Cannot replicate the pickling errors (works under Ubuntu as desired). The multiprocessing module might not work as desired under Windows. Setting parallel=False should circumvent the problem even if it does not solve it.

[finmod]

Thank you Yves for your prompt intervention. Superb work.

From: Yves Hilpisch [mailto:notifications@github.com]
Sent: Friday, January 8, 2016 1:40 PM
To: yhilpisch/dx dx@noreply.github.com
Cc: finmod denis.richard@dr.com
Subject: Re: [dx] PicklingError in 00_dx_quickstart, 06_dx and 13_dx notebooks (#2)

Fixed the vega bug. Cannot replicate the pickling errors (works under Ubuntu as desired). The multiprocessing module might not work as desired under Windows. Setting parallel=False should circumvent the problem even if it does not solve it.

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