def test_simulate_hullwhite(self):
paths = 100
steps = 10
horizon = 1
seed = 12345
grid = TimeGrid(horizon, steps)
res = simulate_process(self.hullwhite_process, paths, grid, seed, True)
self.assertAlmostEqual(res[-1, :].mean(), 0.1001516)
def test_simulate_hullwhite(self):
paths = 100
steps = 10
horizon = 1
seed = 12345
grid = TimeGrid(horizon, steps)
res = simulate_process(self.hullwhite_process, paths, grid, seed, True)
self.assertAlmostEqual(res[-1,:].mean(), 0.1001516)
def test_simulate_bates(self):
paths = 4
steps = 10
horizon = 1
seed = 12345
grid = TimeGrid(horizon, steps)
res = simulate_process(self.bates_process, paths, grid, seed)
time = list(grid)
time_expected = np.arange(0, 1.1, .1)
np.testing.assert_array_almost_equal(time, time_expected, decimal=4)
def test_simulate_bates(self):
paths = 4
steps = 10
horizon = 1
seed = 12345
grid = TimeGrid(horizon, steps)
res = simulate_process(self.bates_process, paths, grid, seed)
time = list(grid)
time_expected = np.arange(0, 1.1, .1)
np.testing.assert_array_almost_equal(time, time_expected, decimal=4)
def test_simulate_heston_2(self):
s0 = SimpleQuote(100.0)
v0 = 0.05
kappa = 5.0
theta = 0.05
sigma = 1.0e-4
rho = 0.0
process = HestonProcess(self.risk_free_ts, self.dividend_ts, s0, v0,
kappa, theta, sigma, rho)
nbPaths = 4
nbSteps = 100
horizon = 1
seed = 12345
grid = TimeGrid(horizon, nbSteps)
res = simulate_process(process, nbPaths, grid, seed)
self.assertAlmostEqual(res[-1, 0], 152.50, delta=.1)
def test_simulate_heston_1(self):
settings = self.settings
settlement_date = today()
settings.evaluation_date = settlement_date
# simulate Heston paths
paths = 4
steps = 10
horizon = 1
seed = 12345
grid = TimeGrid(horizon, steps)
res = simulate_process(self.heston_process, paths, grid, seed)
time = list(grid)
time_expected = np.arange(0, 1.1, .1)
np.testing.assert_array_almost_equal(time, time_expected, decimal=4)
def test_simulate_heston_1(self):
settings = self.settings
settlement_date = today()
settings.evaluation_date = settlement_date
# simulate Heston paths
paths = 4
steps = 10
horizon = 1
seed = 12345
grid = TimeGrid(horizon, steps)
res = simulate_process(self.heston_process, paths, grid, seed)
time = list(grid)
time_expected = np.arange(0, 1.1, .1)
np.testing.assert_array_almost_equal(time, time_expected, decimal=4)
def test_simulate_heston_2(self):
s0 = SimpleQuote(100.0)
v0 = 0.05
kappa = 5.0
theta = 0.05
sigma = 1.0e-4
rho = 0.0
process = HestonProcess(self.risk_free_ts,
self.dividend_ts, s0, v0,
kappa, theta, sigma, rho)
nbPaths = 4
nbSteps = 100
horizon = 1
seed = 12345
grid = TimeGrid(horizon, nbSteps)
res = simulate_process(process, nbPaths, grid, seed)
self.assertAlmostEqual(res[-1, 0], 152.50, delta=.1)
