def test_simulate_bates(self):
model = BatesModel(self.bates_process)
paths = 4
steps = 10
horizon = 1
seed = 12345
res = simulateBates(model, paths, steps, horizon, seed)
time = res[0, :]
time_expected = np.arange(0, 1.1, 0.1)
simulations = res[1:, :].T
np.testing.assert_array_almost_equal(time, time_expected, decimal=4)
def test_simulate_bates(self):
model = BatesModel(self.bates_process)
paths = 4
steps = 10
horizon = 1
seed = 12345
res = simulateBates(model, paths, steps, horizon, seed)
time = res[0, :]
time_expected = np.arange(0, 1.1, .1)
simulations = res[1:, :].T
np.testing.assert_array_almost_equal(time, time_expected, decimal=4)
plot(time, simulations)
show()
ival = {
'v0': v0,
'kappa': 3.7,
'theta': v0,
'sigma': 1.0,
'rho': -.6,
'lambda': .1,
'nu': -.5,
'delta': 0.3
}
spot = SimpleQuote(1200)
proc_bates = BatesProcess(risk_free_ts, dividend_ts, spot, ival['v0'],
ival['kappa'], ival['theta'], ival['sigma'],
ival['rho'], ival['lambda'], ival['nu'],
ival['delta'])
model_bates = BatesModel(proc_bates)
res_bates = simulateBates(model_bates, paths, steps, horizon, seed)
time = res_bates[0, :]
simulations = res_bates[1:, :].T
figure()
plot(time, simulations)
show()
res = simulateHeston(model, paths, steps, horizon, seed)
time = res[0, :]
simulations = res[1:, :].T
figure()
plot(time, simulations)
show()
ival = {'v0': v0, 'kappa': 3.7, 'theta': v0,
'sigma': 1.0, 'rho': -.6, 'lambda': .1,
'nu':-.5, 'delta': 0.3}
spot = SimpleQuote(1200)
proc_bates = BatesProcess(
risk_free_ts, dividend_ts, spot, ival['v0'], ival['kappa'],
ival['theta'], ival['sigma'], ival['rho'],
ival['lambda'], ival['nu'], ival['delta'])
model_bates = BatesModel(proc_bates)
res_bates = simulateBates(model_bates, paths, steps, horizon, seed)
time = res_bates[0, :]
simulations = res_bates[1:, :].T
figure()
plot(time, simulations)
show()
