Python merton_jump_log_st_chf Examples

Programming Language: Python

Namespace/Package Name: fftoptionlib.characteristic_funs

Method/Function: merton_jump_log_st_chf

Examples at hotexamples.com: 2

Python merton_jump_log_st_chf - 2 examples found. These are the top rated real world Python examples of fftoptionlib.characteristic_funs.merton_jump_log_st_chf extracted from open source projects. You can rate examples to help us improve the quality of examples.

Example #1

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File: test_moment_generating_funs.py Project: yunbosjtu/fftoptionlib

 def test_merton_jump_log_st_mgf_1(self):
     v, S, t, r, q, sigma, jp_lamda, norm_mean, norm_sd = 4, 20.2, 1.5, 0.02, 0.01, 0.2, 0, 0, 0
     res = merton_jump_log_st_mgf(v, t, r, q, S, sigma, jp_lamda, norm_mean,
                                  norm_sd)
     exp_res = merton_jump_log_st_chf(-1j * v, t, r, q, S, sigma, jp_lamda,
                                      norm_mean, norm_sd)
     self.assertAlmostEqual(res, exp_res)

Example #2

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 def test_merton_jump_log_st_chf_1(self):
     v, S, t, r, q, sigma, jp_lamda, norm_mean, norm_sd = 4, 20.2, 1.5, 0.02, 0.01, 0.2, 0, 0, 0
     res = merton_jump_log_st_chf(v, t, r, q, S, sigma, jp_lamda, norm_mean, norm_sd)
     exp_res = 0.5094287369306635 - 0.3512481287698781j
     self.assertAlmostEqual(res, exp_res)