def setUp(self):
self.rho, self.sigma = np.random.uniform(0, 1, size=2)
self.n = np.random.random_integers(3, 25)
self.ybar = np.random.random_integers(0, 10)
self.tol = 1e-10
mc = rouwenhorst(self.n, self.ybar, self.sigma, self.rho)
self.x, self.P = mc.state_values, mc.P
def setUp(self):
self.rho, self.sigma = np.random.uniform(0, 1, size=2)
self.n = np.random.random_integers(3, 25)
self.ybar = np.random.random_integers(0, 10)
self.tol = 1e-12
mc = rouwenhorst(self.n, self.ybar, self.sigma, self.rho)
self.x, self.P = mc.state_values, mc.P
def setup(self):
self.rho, self.sigma = np.random.uniform(0, 1, size=2)
self.n = np.random.randint(3, 26)
self.ybar = np.random.randint(0, 11)
self.tol = 1e-10
mc = rouwenhorst(self.n, self.ybar, self.sigma, self.rho)
self.x, self.P = mc.state_values, mc.P
def test_control_case(self):
n = 3; ybar = 1; sigma = 0.5; rho = 0.8;
mc_rouwenhorst = rouwenhorst(n, ybar, sigma, rho)
mc_rouwenhorst.x, mc_rouwenhorst.P = mc_rouwenhorst.state_values, mc_rouwenhorst.P
sigma_y = np.sqrt(sigma**2 / (1-rho**2))
psi = sigma_y * np.sqrt(n-1)
known_x = np.array([-psi+5.0, 5., psi+5.0])
known_P = np.array([[0.81, 0.18, 0.01], [0.09, 0.82, 0.09], [0.01, 0.18, 0.81]])
self.assertTrue(sum(mc_rouwenhorst.x - known_x) < self.tol and sum(sum(mc_rouwenhorst.P - known_P)) < self.tol)
