示例#1
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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)
示例#2
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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)
示例#3
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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)
示例#4
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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)
示例#5
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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)
示例#6
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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)
示例#7
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文件: run.py 项目: softEcon/eupy
"""


# 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))