def test_random_requests():
""" Draw a whole host of random requests to ensure that the function
works for all admissible values.
"""
for _ in range(100):
# Generate random request.
alpha, shape, technique, int_options = generate_random_request()
# Perform calculation.
eupy.get_baseline_lognormal(alpha, shape, technique, int_options)
def test_invalid_request():
""" Test that assertions are raised in case of a flawed request.
"""
with pytest.raises(AssertionError):
# Generate random request.
alpha, shape, technique, int_options = generate_random_request()
# Invalidate request.
technique = 'gaussian_quadrature'
# Parameters outside defined ranges.
eupy.get_baseline_lognormal(alpha, shape, technique, int_options)
def test_closed_form_naive():
""" Test whether the results line up with a closed form solution for the
special case, where alpha is set to zero. This function test the naive
monte carlo implementation.
"""
# This unit test shows that the naive Monte Carlo implementation does not
# line up with a closed form solution. However, we want to ensure a
# successful run of the testing battery in our continous integration
# workflow. On the slides, this test is presented and discussed without
# the capture.
with pytest.raises(AssertionError):
for _ in range(10):
# Generate random request.
alpha, shape, _, int_options = generate_random_request()
# Set options favourable.
int_options['naive_mc']['num_draws'] = 1000
int_options['naive_mc']['implementation'] = 'fast'
# Restrict to special case.
alpha, shape = 0.0, 0.001
# Calculate closed form solution and simulate special case.
closed_form = lognorm.mean(shape)
simulated = eupy.get_baseline_lognormal(alpha, shape, 'naive_mc',
int_options)
# Test equality.
np.testing.assert_almost_equal(closed_form, simulated, decimal=3)
def test_regression():
""" This regression test ensures that the code does not change during
refactoring without noticing.
"""
# Set seed to avoid dependence of seed.
np.random.seed(123)
# Generate random request.
alpha, shape, technique, int_options = generate_random_request()
# Perform calculation.
rslt = eupy.get_baseline_lognormal(alpha, shape, technique, int_options)
# Ensure equivalence with expected results up to numerical precision.
np.testing.assert_almost_equal(rslt, 0.21990743996551923)
def test_closed_form_quad():
""" Test whether the results line up with a closed form solution for the
special case, where alpha is set to zero. This function test the
quadrature implementation.
"""
for _ in range(10):
# Generate random request.
alpha, shape, _, int_options = generate_random_request()
# Restrict to special case.
alpha, shape = 0.0, 0.001
# Calculate closed form solution and simulate special case.
closed_form = lognorm.mean(shape)
simulated = eupy.get_baseline_lognormal(alpha, shape, 'quad',
int_options)
# Test equality.
np.testing.assert_almost_equal(closed_form, simulated, decimal=3)
def test_naive_implementations():
""" Test whether the results from the fast and slow implementation of the
naive monte carlo integration are identical.
"""
technique = 'naive_mc'
for _ in range(10):
# Generate random request.
alpha, shape, _, int_options = generate_random_request()
# Loop over alternative implementations.
baseline = None
for implementation in ['fast', 'slow']:
int_options['naive_mc']['implementation'] = implementation
rslt = eupy.get_baseline_lognormal(alpha, shape, technique,
int_options)
if baseline is None:
baseline = rslt
# Test equality.
np.testing.assert_almost_equal(baseline, rslt)
"""
# project library
from eupy import get_baseline_lognormal
""" Specify Request
"""
# Utility Function
alpha = 0.01
# Distribution of Returns
shape = 0.01
# Integration techniques
technique = 'naive_mc'
int_options = dict()
if technique == 'naive_mc':
int_options['naive_mc'] = dict()
int_options['naive_mc']['implementation'] = 'fast'
int_options['naive_mc']['num_draws'] = 100000
int_options['naive_mc']['seed'] = 123
""" Calculate expected utility
"""
rslt = get_baseline_lognormal(alpha, shape, technique, int_options)
print(' Expected Utility {}'.format(rslt))
