def test_euler_maruyama(self):
rnd.random_state(np.random.RandomState(seed=42), force=True)
W = proc.WienerProcess.create_2d(mean1=-.5, mean2=3., sd1=3., sd2=4., cor=.5)
em = sim.EulerMaruyama(process=W)
t, v = next(em)
npt.assert_almost_equal(t, 0.)
npt.assert_almost_equal(v, npu.col(0.0, 0.0))
t, v = next(em)
npt.assert_almost_equal(t, 1.)
npt.assert_almost_equal(v, npu.col(0.9901425, 3.5144667))
def test_run(self):
rnd.random_state(np.random.RandomState(seed=42), force=True)
W = proc.WienerProcess.create_2d(mean1=.25, mean2=.5, sd1=3., sd2=4., cor=.5)
em = sim.EulerMaruyama(process=W)
df = sim.run(em, nstep=10)
pdt.assert_frame_equal(df, pd.DataFrame(data=[
[0.000000, 0.000000],
[1.740142, 1.014467],
[3.933208, 8.085774],
[3.480748, 7.306393],
[8.468386, 13.623291],
[7.309963, 15.063825],
[6.169710, 13.023654],
[7.145597, 7.379782],
[2.220843, 2.482125],
[-0.567650, 2.045047]],
index=[0.0, 1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0]))