Python AnnuityI.transient Exemples

Exemple #1

Fichier : test_payoff.py Projet : tshih-tw/amf_research

 def test_transcient(self):
     S = np.linspace(S0 - 10, S0 + 10, 21)
     V = np.linspace(S0 + 10, S0 - 10, 21)
     payoff = Annuity(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
     payoffI = AnnuityI(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
     pay = True
     for t in np.linspace(0, 1, N, endpoint=False):
         if pay:
             C = 1
         else:
             C = 0
         pay = not pay
         self.assertTrue((payoff.transient(t, V, S) == V).all())
         self.assertTrue((payoffI.transient(t, V, S) == V + C).all())
     self.assertRaises(AssertionError, payoff.transient, T, V, S)
     self.assertRaises(AssertionError, payoffI.transient, T, V, S)

Exemple #2

Fichier : test_payoff.py Projet : DragonSA/amf_research

 def test_transcient(self):
     S = np.linspace(S0 - 10, S0 + 10, 21)
     V = np.linspace(S0 + 10, S0 - 10, 21)
     payoff = Annuity(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
     payoffI = AnnuityI(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
     pay = True
     for t in np.linspace(0, 1, N, endpoint=False):
         if pay:
             C = 1
         else:
             C = 0
         pay = not pay
         self.assertTrue((payoff.transient(t, V, S) == V).all())
         self.assertTrue((payoffI.transient(t, V, S) == V + C).all())
     self.assertRaises(AssertionError, payoff.transient, T, V, S)
     self.assertRaises(AssertionError, payoffI.transient, T, V, S)