def testCalibrateAndSimulateAndPlot(self):
allData = self.allObservedData[:]
allOptimizedSchwartzParams, allOptimizedSeasonalParams, allRhos, correlationMatrix, simCorrelations, simulatedPrices = calibrate(allData, niter=100, path_count=50000)
print("allOptimizedSchwartzParams:", repr(allOptimizedSchwartzParams), "allOptimizedSeasonalParams:", repr(allOptimizedSeasonalParams), "allRhos:", repr(allRhos), "correlationMatrix:", repr(correlationMatrix), "simCorrelations:", repr(simCorrelations))
plot_simulated_prices(allData, simulatedPrices)
def testSimulate(self):
months = self.allObservedData[0]['months']
observation_date = self.allObservedData[0]['observation_date']
simulatedPrices = simulate_prices(observation_date, months, self.allOptimizedParams,
self.allOptimizedSeasonalFactors, self.allRhos, path_count=100000)
plot_simulated_prices(self.allObservedData, simulatedPrices)
def testCalibrateAndSimulateAndPlot(self):
allData = self.allObservedData[:]
allOptimizedSchwartzParams, allOptimizedSeasonalParams, allRhos, correlationMatrix, simCorrelations, simulatedPrices = calibrate(
allData, niter=100, path_count=50000)
print("allOptimizedSchwartzParams:", repr(allOptimizedSchwartzParams),
"allOptimizedSeasonalParams:", repr(allOptimizedSeasonalParams),
"allRhos:", repr(allRhos), "correlationMatrix:",
repr(correlationMatrix), "simCorrelations:",
repr(simCorrelations))
plot_simulated_prices(allData, simulatedPrices)
def testSimulate(self):
months = self.allObservedData[0]['months']
observation_date = self.allObservedData[0]['observation_date']
simulatedPrices = simulate_prices(observation_date,
months,
self.allOptimizedParams,
self.allOptimizedSeasonalFactors,
self.allRhos,
path_count=100000)
plot_simulated_prices(self.allObservedData, simulatedPrices)
