Esempio n. 1
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 def test_terminal(self):
     """Test terminal value of annuity."""
     S = np.linspace(S0 - 10, S0 + 10, 21)
     Vo = np.ones(S.shape) * 10
     self.assertTrue((Annuity(T, (), 1, 10).terminal(S) == Vo).all())
     self.assertTrue((AnnuityI(T, (), 1, 10).terminal(S) == Vo).all())
     self.assertTrue((AnnuityI(T, (T, ), 1,
                               10).terminal(S) == Vo + 1).all())
Esempio n. 2
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 def test_coupon(self):
     """Test coupon value of annuity."""
     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 + 1):
         if pay:
             V = 1
         else:
             V = 0
         pay = not pay
         self.assertTrue(payoff.coupon(t) == V)
         self.assertTrue(payoffI.coupon(t) == 0)
Esempio n. 3
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 def test_coupon(self):
     """Test coupon value of annuity."""
     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 + 1):
         if pay:
             V = 1
         else:
             V = 0
         pay = not pay
         self.assertTrue(payoff.coupon(t) == V)
         self.assertTrue(payoffI.coupon(t) == 0)
Esempio n. 4
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 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)
Esempio n. 5
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 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)