def fill(self, t, req, env):
'''
>>> expiries = [0.1, 0.5, 1.0, 1.5, 2.0, 3.0, 4.0, 5.0]
>>> tenors = [0, 90]
>>> from numpy import zeros
>>> values = zeros((8, 2))
>>> for i in range(8): values[i, 0] = 0.04
>>> for i in range(8): values[i, 1] = 0.04
>>> surf = ppf.market.surface(expiries, tenors, values)
>>> env = ppf.market.environment()
>>> key = "ve.term.eur.hw"
>>> env.add_surface(key, surf)
>>> key = "ve.local.eur.hw"
>>> env.add_surface(key, surf)
>>> key = "cv.mr.eur.hw"
>>> env.add_constant(key, 0.01)
>>> r = ppf.model.hull_white.requestor()
>>> s = state("eur", 11, 3.5)
>>> x = s.fill(1.25, r, env)
>>> for i in range(11): print x[i]
-0.787540762658
-0.630032610127
-0.472524457595
-0.315016305063
-0.157508152532
0.0
0.157508152532
0.315016305063
0.472524457595
0.630032610127
0.787540762658
'''
term_vol = req.term_vol(t, self.__ccy, env)
f = normal_distribution(0, term_vol)
return f.state(self.__stddev, self.__n)
def fill(self, t, req, env):
'''
>>> expiries = [0.1, 0.5, 1.0, 1.5, 2.0, 3.0, 4.0, 5.0]
>>> tenors = [0, 90]
>>> from numpy import zeros
>>> values = zeros((8, 2))
>>> for i in range(8): values[i, 0] = 0.04
>>> for i in range(8): values[i, 1] = 0.04
>>> surf = ppf.market.surface(expiries, tenors, values)
>>> env = ppf.market.environment()
>>> key = "ve.term.eur.hw"
>>> env.add_surface(key, surf)
>>> key = "ve.local.eur.hw"
>>> env.add_surface(key, surf)
>>> key = "cv.mr.eur.hw"
>>> env.add_constant(key, 0.01)
>>> r = ppf.model.hull_white.requestor()
>>> s = state("eur", 11, 3.5)
>>> x = s.fill(1.25, r, env)
>>> for i in range(11): print x[i]
-0.787540762658
-0.630032610127
-0.472524457595
-0.315016305063
-0.157508152532
0.0
0.157508152532
0.315016305063
0.472524457595
0.630032610127
0.787540762658
'''
term_vol = req.term_vol(t, self.__ccy, env)
f = normal_distribution(0, term_vol)
return f.state(self.__stddev, self.__n)
def incremental_distribution(self, t, T, req, env):
term_voltT = self.__incremental_vol(t, T, req, env)
return normal_distribution(0, term_voltT)
def incremental_fill(self, t, T, req, env):
term_voltT = self.__incremental_vol(t, T, req, env)
f = normal_distribution(0, term_voltT)
return f.state(self.__stddev, self.__n)
def incremental_distribution(self, t, T, req, env):
term_voltT = self.__incremental_vol(t, T, req, env)
return normal_distribution(0, term_voltT)
def incremental_fill(self, t, T, req, env):
term_voltT = self.__incremental_vol(t, T, req, env)
f = normal_distribution(0, term_voltT)
return f.state(self.__stddev, self.__n)
