exaple fix for old torch

pfnet-research · Aug 27, 2024 · b6a5e54 · b6a5e54
1 parent 703f0d8
commit b6a5e54
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diff --git a/pfhedge/instruments/primary/kou_jump.py b/pfhedge/instruments/primary/kou_jump.py
@@ -72,7 +72,7 @@ class KouJumpStock(BasePrimary):
         >>> stock = KouJumpStock(device = torch.device('cpu'))
         >>> stock.simulate(n_paths=2, time_horizon=5 / 250)
         >>> stock.spot
-        tensor([[1.0000, 1.0018, 1.0084, 1.0150, 1.0044, 1.0056],
+        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]])
         >>> stock.variance
         tensor([[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
@@ -96,7 +96,7 @@ def generate_kou_jump(
         >>>
         >>> _ = torch.manual_seed(42)
         >>> generate_kou_jump(2, 5, device = torch.device('cpu'))
-        tensor([[1.0000, 1.0053, 1.0119, 0.9271, 0.9174],
+        tensor([[1.0000, 1.0053, 1.0119, 0.9993, 0.9887],
                 [1.0000, 1.0321, 1.0275, 1.0372, 1.0445]])
     """
     assert jump_eta_up > 1.0, "jump_eta_up must be larger than 1.0"