def test_terminal(self):
"""Test terminal value of annuity."""
S = np.linspace(S0 - 10, S0 + 10, 21)
Vo = np.ones(S.shape) * 10
self.assertTrue((Annuity(T, (), 1, 10).terminal(S) == Vo).all())
self.assertTrue((AnnuityI(T, (), 1, 10).terminal(S) == Vo).all())
self.assertTrue((AnnuityI(T, (T, ), 1,
10).terminal(S) == Vo + 1).all())
def test_coupon(self):
"""Test coupon value of annuity."""
payoff = Annuity(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
payoffI = AnnuityI(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
pay = True
for t in np.linspace(0, 1, N + 1):
if pay:
V = 1
else:
V = 0
pay = not pay
self.assertTrue(payoff.coupon(t) == V)
self.assertTrue(payoffI.coupon(t) == 0)
def test_coupon(self):
"""Test coupon value of annuity."""
payoff = Annuity(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
payoffI = AnnuityI(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
pay = True
for t in np.linspace(0, 1, N + 1):
if pay:
V = 1
else:
V = 0
pay = not pay
self.assertTrue(payoff.coupon(t) == V)
self.assertTrue(payoffI.coupon(t) == 0)
def test_transcient(self):
S = np.linspace(S0 - 10, S0 + 10, 21)
V = np.linspace(S0 + 10, S0 - 10, 21)
payoff = Annuity(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
payoffI = AnnuityI(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
pay = True
for t in np.linspace(0, 1, N, endpoint=False):
if pay:
C = 1
else:
C = 0
pay = not pay
self.assertTrue((payoff.transient(t, V, S) == V).all())
self.assertTrue((payoffI.transient(t, V, S) == V + C).all())
self.assertRaises(AssertionError, payoff.transient, T, V, S)
self.assertRaises(AssertionError, payoffI.transient, T, V, S)
def test_transcient(self):
S = np.linspace(S0 - 10, S0 + 10, 21)
V = np.linspace(S0 + 10, S0 - 10, 21)
payoff = Annuity(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
payoffI = AnnuityI(T, np.linspace(0, 1, N // 2 + 1), 1, 10)
pay = True
for t in np.linspace(0, 1, N, endpoint=False):
if pay:
C = 1
else:
C = 0
pay = not pay
self.assertTrue((payoff.transient(t, V, S) == V).all())
self.assertTrue((payoffI.transient(t, V, S) == V + C).all())
self.assertRaises(AssertionError, payoff.transient, T, V, S)
self.assertRaises(AssertionError, payoffI.transient, T, V, S)