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)