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#!/usr/bin/python3
# Copyright (C) 2019 EDF
# All Rights Reserved
# This code is published under the GNU Lesser General Public License (GNU LGPL)
import numpy as np
import unittest
import random
import StOptGrids
import StOptReg
import StOptTree
import StOptGlobal
import Simulators
import StOptGeners
# unit test for tree
class testTree(unittest.TestCase):
def testContinuation(self):
# Mean Reverting model
mr = 0.3;
sig = 0.6;
# nb grid points
nbStock=4
# step
dt = 1. / 100.
# simulation dates
dates = dt * np.arange(0,16)
# simulaton dates
tree = Simulators.TrinomialTreeOUSimulator(mr, sig, dates)
iFirst = 10
iLast = 14
# nodes at dates 5
points = tree.getPoints(iFirst)
# nodes at last date
pointsNext = tree.getPoints(iLast)
# probabilities
proba = tree.getProbability(iFirst, iLast)
# connection matrix
connectAndProba = tree.calConnected(proba);
# to regress
toTreeress= np.zeros( (nbStock, np.shape(pointsNext)[1]))
for i in range(nbStock):
toTreeress[i,:] = i + pointsNext[0,:]
# grid for storage
grid = StOptGrids.RegularSpaceGrid(np.array([0.]), np.array([1.]), np.array([nbStock - 1]))
# conditional expectation object by trees
tree= StOptTree.Tree(connectAndProba[1],connectAndProba[0])
# conditional expectation taken
valTree = tree.expCondMultiple(toTreeress)
# continuation object
continuation = StOptTree.ContinuationValueTree(grid, tree, toTreeress.transpose())
# interpolation point
ptStock = np.array([0.5*nbStock])
# conditional expectation using continuation object
treeByContinuation = continuation.getValueAtNodes(ptStock);
for i in range(np.shape(points)[1]):
self.assertAlmostEqual(treeByContinuation[i],valTree[int(nbStock / 2), i], 7,"Difference between function and its condition expectation estimated greater than tolerance")
# into a list : two times to test 2 regimes
listToReg = []
listToReg.append(toTreeress.transpose())
listToReg.append(toTreeress.transpose())
#default non compression
archiveToWrite = StOptGeners.BinaryFileArchive("MyArchive", "w");
# continuation value dump
archiveToWrite.dumpGridTreeValue("toStore",1,listToReg,tree,grid)
# read archive
archiveToRead = StOptGeners.BinaryFileArchive("MyArchive","r")
contValues = archiveToRead.readGridTreeValue(1,"toStore")
# interpolate
value =contValues[0].getValues(ptStock)
for i in range(np.shape(points)[1]):
self.assertAlmostEqual(value[i],valTree[int(nbStock / 2), i], 7,"Difference between function and its condition expectation estimated greater than tolerance")
if __name__ == '__main__':
unittest.main()
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