def test_defaultProcessor_allDefaults(self):
gc = PysparseGaussianCopula(self.p)
gc.thresholds = np.zeros(4)
gc.thresholds += 100.0
num_runs = 10
corrValues = np.zeros(shape=(3, num_runs))
defaults = defaultdict(int)
gc.defaultProcessor(defaults, corrValues)
self.assertEquals(defaults[0], 0)
self.assertEquals(defaults[1], 0)
self.assertEquals(defaults[2], 0)
self.assertEquals(defaults[3], 0)
self.assertEquals(defaults[4], 10)
def test_defaultProcessor_thirdIssuerDefaultsAllTheTime(self):
gc = PysparseGaussianCopula(self.p)
# need to make sure because of issuer set
gc.asset_issuer_map = [0,1,2,0]
gc.thresholds = np.zeros(4)
num_runs = 10
corrValues = np.zeros(shape=(3, num_runs))
corrValues[2, :] -= 1.0 # issuer 1 will default all the time
defaults = defaultdict(int)
gc.defaultProcessor(defaults, corrValues)
self.assertEquals(defaults[0], 0)
self.assertEquals(defaults[1], 10)
self.assertEquals(defaults[2], 0)
self.assertEquals(defaults[3], 0)
self.assertEquals(defaults[4], 0)
def test_defaultProcessor_firstIssuerDefaultsNotAllTheTime(self):
gc = PysparseGaussianCopula(self.p)
# need to make sure because of issuer set
gc.asset_issuer_map = [0,1,2,0]
gc.thresholds = np.zeros(4)
num_runs = 10
corrValues = np.zeros(shape=(3, num_runs))
corrValues[0, :] = np.linspace(-5.0, 4.0, num_runs)
defaults = defaultdict(int)
gc.defaultProcessor(defaults, corrValues)
self.assertEquals(defaults[0], 5)
self.assertEquals(defaults[1], 0)
self.assertEquals(defaults[2], 5) # two assets are linked to issuer 0
self.assertEquals(defaults[3], 0)
self.assertEquals(defaults[4], 0)