diff --git a/pfhedge/instruments/primary/kou_jump.py b/pfhedge/instruments/primary/kou_jump.py index 8bd11695..7a42944d 100644 --- 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 index f5f20d37..be440667 100644 --- 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"