tests/testthat/test_cf_wiener.R

In pedroguarderas/CFINI: Computational finance routines

library( testthat )

n <- 1e4
t <- seq( 0, 1, length.out = n )
d <- 2
W <- cf_wiener( d, t )

test_that( "Checking simulation", {
  expect_lte( abs( sqrt( t[2] ) - sd( diff( W[,1] ) ) ), 1e-3 )
})