Nothing
test.r.sim <- function(){
obj <- schwartz2f(s0 = 60, delta0 = 0.2, alpha = 0.1)
traj <- sapply(1:2000, function(dummy, obj)simstate(5, 0.3, obj)[5,],
obj = obj)
end.points <- rstate(2000, 0.3, obj)
abs.diff <- abs(rowMeans(traj) - colMeans(rstate(2000, 0.3, obj)))
checkTrue(abs.diff[1] < 1, "spot: simstate must converge to rstate")
checkTrue(abs.diff[2] < .05, "convenience yield: simstate must converge to rstate")
}
test.mean <- function(){
## library(schwartz97)
## library(RUnit)
obj <- schwartz2f(mu = 0, alpha = 0, delta0 = 0, s0 = 1)
checkTrue(mean(obj, 1.5)[1] < 1, "Mean must be < 1!")
checkTrue(mean(obj, 1.5)[2] == 0, "Mean must be == 0!")
obj <- schwartz2f(mu = 0, alpha = -1, delta0 = 0, s0 = 1)
checkTrue(mean(obj, 0.5)[1] > 1, "Mean must be > 1!")
checkTrue(mean(obj, 0.5)[2] < 0, "Mean must be < 0!")
checkTrue(mean(schwartz2f(alpha = 0.2))[1] <
mean(schwartz2f(alpha = 0.1))[1],
"First mean must be smaller than second!")
checkTrue(mean(schwartz2f(sigmaE = 0.2))[1] <
mean(schwartz2f(sigmaE = 0.1))[1],
"First mean must be smaller than second!")
checkTrue(mean(schwartz2f(mu = 0.1))[1] <
mean(schwartz2f(mu = 0.2))[1],
"First mean must be smaller than second!")
}
test.vcov <- function(){
obj.1 <- schwartz2f(kappa = 1)
obj.2 <- schwartz2f(kappa = 2)
checkTrue(vcov(obj.1)[2,2] > vcov(obj.2)[2,2],
"Faster decay rate of conv. yield should result in less volatility of the conv.yield!")
obj.1 <- schwartz2f(kappa = 1, rho = 0)
obj.2 <- schwartz2f(kappa = 2, rho = 0)
checkTrue(vcov(obj.1)[1,1] > vcov(obj.2)[1,1],
"Faster decay rate of conv. yield should result in less volatility in the spot!")
}
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