example jump change

pfnet-research · Aug 27, 2024 · 875ffc3 · 875ffc3
1 parent b6a5e54
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diff --git a/pfhedge/instruments/primary/kou_jump.py b/pfhedge/instruments/primary/kou_jump.py
@@ -69,11 +69,11 @@ class KouJumpStock(BasePrimary):
         >>> from pfhedge.instruments import KouJumpStock
         >>>
         >>> _ = torch.manual_seed(42)
-        >>> stock = KouJumpStock(device = torch.device('cpu'))
+        >>> stock = KouJumpStock(jump_per_year = 10.0)
         >>> stock.simulate(n_paths=2, time_horizon=5 / 250)
         >>> stock.spot
-        tensor([[1.0000, 0.9868, 0.9934, 0.9999, 0.9893, 0.9906],
-                [1.0000, 0.9956, 1.0050, 1.0121, 1.0227, 1.0369]])
+        tensor([[1.0000, 1.0021, 1.0055, 1.0089, 0.9952, 0.9933],
+                [1.0000, 0.9924, 0.9987, 1.0025, 1.0098, 1.0207]])
         >>> stock.variance
         tensor([[0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400],
                 [0.0400, 0.0400, 0.0400, 0.0400, 0.0400, 0.0400]])

diff --git a/pfhedge/stochastic/kou_jump.py b/pfhedge/stochastic/kou_jump.py
@@ -95,9 +95,9 @@ def generate_kou_jump(
         >>> from pfhedge.stochastic import generate_kou_jump
         >>>
         >>> _ = torch.manual_seed(42)
-        >>> generate_kou_jump(2, 5, device = torch.device('cpu'))
-        tensor([[1.0000, 1.0053, 1.0119, 0.9993, 0.9887],
-                [1.0000, 1.0321, 1.0275, 1.0372, 1.0445]])
+        >>> generate_kou_jump(2, 5, jump_per_year = 0.0)
+        tensor([[1.0000, 1.0016, 1.0044, 1.0073, 0.9930],
+                [1.0000, 1.0282, 1.0199, 1.0258, 1.0292]])
     """
     assert jump_eta_up > 1.0, "jump_eta_up must be larger than 1.0"
     assert jump_eta_down > 0.0, "jump_eta_down must be larger than 0.0"