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#!/usr/bin/python3
# Copyright (C) 2016 EDF
# All Rights Reserved
# This code is published under the GNU Lesser General Public License (GNU LGPL)
import math
import numpy as np
import unittest
import StOptGrids
import StOptGlobal
import Utils
import Simulators as sim
import Optimizers as opt
# unit test mean reverting and gas
#################################
class MeanRevertingAndGas(unittest.TestCase):
def test_(self):
# grids of times values
time = StOptGrids.OneDimRegularSpaceGrid(0,1./10,10)
# values
values = []
iPeriod = 52
for i in range(11):
values.append(2. + math.sin(math.pi * i * iPeriod) / 10.)
# future curve
fut = Utils.FutureCurve(time,values)
# mean revering simulator
sigma = np.zeros(1) + 0.2 # volatility
mr = np.zeros(1) + 0.05 # mean reverting
T =1. # maturity
nbStep = 10 # number of time steps
nbSimul =100 # number of simulations
bForward =1 # forward simulation
r= 0. # interest rate
simulator = sim.MeanRevertingSimulator(fut,sigma,mr,r,T,nbStep,nbSimul,bForward)
# get number of simulation
print(simulator.getNbSimul())
if __name__ == '__main__':
unittest.main()
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