def test_simulate_heston_2(self):
s0 = SimpleQuote(100.0)
v0 = 0.05
kappa = 5.0
theta = 0.05
sigma = 1.0e-4
rho = 0.0
process = HestonProcess(self.risk_free_ts, self.dividend_ts, s0, v0, kappa, theta, sigma, rho)
model = HestonModel(process)
nbPaths = 4
nbSteps = 100
horizon = 1
seed = 12345
res = simulateHeston(model, nbPaths, nbSteps, horizon, seed)
self.assertAlmostEqual(res[1, -1], 152.50, delta=0.1)
def test_simulate_heston_2(self):
s0 = SimpleQuote(100.0)
v0 = 0.05
kappa = 5.0
theta = 0.05
sigma = 1.0e-4
rho = 0.0
process = HestonProcess(self.risk_free_ts, self.dividend_ts, s0, v0,
kappa, theta, sigma, rho)
model = HestonModel(process)
nbPaths = 4
nbSteps = 100
horizon = 1
seed = 12345
res = simulateHeston(model, nbPaths, nbSteps, horizon, seed)
self.assertAlmostEqual(res[1, -1], 152.50, delta=.1)
def test_simulate_heston_1(self):
settings = self.settings
settlement_date = today()
settings.evaluation_date = settlement_date
# simulate Heston paths
paths = 4
steps = 10
horizon = 1
seed = 12345
model = HestonModel(self.heston_process)
res = simulateHeston(model, paths, steps, horizon, seed)
time = res[0, :]
time_expected = np.arange(0, 1.1, 0.1)
simulations = res[1:, :].T
np.testing.assert_array_almost_equal(time, time_expected, decimal=4)
def test_simulate_heston_1(self):
settings = self.settings
settlement_date = today()
settings.evaluation_date = settlement_date
# simulate Heston paths
paths = 4
steps = 10
horizon = 1
seed = 12345
model = HestonModel(self.heston_process)
res = simulateHeston(model, paths, steps, horizon, seed)
time = res[0, :]
time_expected = np.arange(0, 1.1, .1)
simulations = res[1:, :].T
np.testing.assert_array_almost_equal(time, time_expected, decimal=4)
# The simulation
# --------------
#
# The *simulate* function is not part of Quantlib. It has been added
# to the pyQL interface (see folder quantlib/sim). This illustrates
# how to create extensions to Quantlib and expose them to python.
# <codecell>
import pylab as pl
from quantlib.sim.simulate import simulateHeston
# simulate and plot Heston paths
paths = 20
steps = 100
horizon = 2
seed = 12345
model = HestonModel(process)
res = simulateHeston(model, paths, steps, horizon, seed)
time = res[0, :]
simulations = res[1:, :].T
pl.plot(time, simulations)
pl.xlabel('Time')
pl.ylabel('Stock Price')
pl.title('Heston Process Simulation')
pl.show()
# The simulation
# --------------
#
# The *simulate* function is not part of Quantlib. It has been added to the pyQL interface (see folder quantlib/sim). This illustrates how to crerate extensions to Quantlib and expose them to python.
# <codecell>
import pylab as pl
from quantlib.sim.simulate import simulateHeston
# simulate and plot Heston paths
paths = 2
steps = 100
horizon = 2
seed = 12345
model = HestonModel(process)
res = simulateHeston(model, paths, steps, horizon,
seed, antithetic=True)
time = res[0,:]
simulations = res[1:, :].T
pl.plot(time, simulations)
pl.xlabel('Time')
pl.ylabel('Stock Price')
pl.title('Heston Process Simulation')
pl.show()
# <markdowncell>
# The simulation
# --------------
#
# The *simulate* function is not part of Quantlib. It has been added to the pyQL interface (see folder quantlib/sim). This illustrates how to crerate extensions to Quantlib and expose them to python.
# <codecell>
import pylab as pl
from quantlib.sim.simulate import simulateHeston
# simulate and plot Heston paths
paths = 2
steps = 100
horizon = 2
seed = 12345
model = HestonModel(process)
res = simulateHeston(model, paths, steps, horizon, seed, antithetic=True)
time = res[0, :]
simulations = res[1:, :].T
pl.plot(time, simulations)
pl.xlabel('Time')
pl.ylabel('Stock Price')
pl.title('Heston Process Simulation')
show()
