261 lines
9.2 KiB
C++
261 lines
9.2 KiB
C++
/* @file RealizationSource.test.cpp */
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//#include "time/Time.hpp"
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#include "xo/process/RealizationSource.hpp"
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#include "xo/process/LogNormalProcess.hpp"
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#include "xo/process/BrownianMotion.hpp"
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#include "xo/randomgen/xoshiro256.hpp"
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#include "xo/simulator/Simulator.hpp"
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#include "xo/indentlog/print/printer.hpp"
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#include "xo/indentlog/scope.hpp"
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#include <catch2/catch.hpp>
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namespace xo {
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using xo::sim::Simulator;
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using xo::process::RealizationSourceBase;
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using xo::process::RealizationSource;
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using xo::process::RealizationTracer;
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using xo::process::LogNormalProcess;
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using xo::process::ExpProcess;
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using xo::process::BrownianMotion;
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using xo::rng::xoshiro256ss;
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using xo::reactor::SinkToConsole;
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using xo::ref::rp;
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using xo::time::timeutil;
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using xo::time::seconds;
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using xo::time::utc_nanos;
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//using xo::print::printer;
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using xo::scope;
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using xo::xtag;
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using std::chrono::hours;
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using std::chrono::minutes;
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namespace ut {
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/* TODO: move this to time/utest/ */
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TEST_CASE("time-formatting", "[time][print]") {
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/* TODO: unit test for time conversions */
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constexpr char const * c_self = "TEST_CASE:time-formatting";
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constexpr bool c_logging_enabled = true;
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utc_nanos t0 = timeutil::ymd_hms_usec(20220610 /*ymd*/,
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162905 /*hms*/,
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123456 /*usec*/);
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std::stringstream ss;
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xo::timeutil::print_utc_ymd_hms_usec(t0, ss);
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REQUIRE(ss.str() == "20220610:16:29:05.123456");
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#ifdef NOT_IN_USE
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BrownianMotion bm = BrownianMotion::make(xxx t0,
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xxx dev,
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xxx seed);
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#endif
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} /*TEST_CASE(time-formatting)*/
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/* TODO: move this to simulator/utest/ */
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TEST_CASE("empty-simulation", "[simulation][trivial]") {
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constexpr char const * c_self = "TEST_CASE:empty-simulation";
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constexpr bool c_logging_enabled = true;
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/* arbitrary 'starting time' */
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utc_nanos t0 = timeutil::ymd_hms_usec(20220610 /*ymd*/,
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162905 /*hms*/,
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123456 /*usec*/);
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rp<Simulator> sim = Simulator::make(t0);
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sim->set_loglevel(log_level::chatty);
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REQUIRE(sim->is_exhausted());
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utc_nanos t1 = t0 + hours(1);
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sim->run_until(t1);
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REQUIRE((sim->is_exhausted() || (sim->next_tm() > t1)));
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} /*TEST_CASE(empty-simulation)*/
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/* test simulator with a single source */
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TEST_CASE("sim-brownian-motion", "[process][simulation]") {
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constexpr char const * c_self = "TEST_CASE:sim-brownian-motion";
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constexpr bool c_logging_enabled = false;
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scope log(XO_DEBUG2(c_logging_enabled, c_self));
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/* arbitrary 'starting time' */
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utc_nanos t0 = timeutil::ymd_hms_usec(20220610 /*ymd*/,
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162905 /*hms*/,
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123456 /*usec*/);
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rp<Simulator> sim = Simulator::make(t0);
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sim->set_loglevel(c_logging_enabled
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? log_level::chatty
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: log_level::error);
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REQUIRE(sim->is_exhausted());
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log && log("create brownian motion process 'bm'..");
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ref::rp<BrownianMotion<xoshiro256ss>> bm
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= BrownianMotion<xoshiro256ss>::make(t0,
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0.30 /*sdev -- annualized volatility*/,
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12345678UL /*seed*/);
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log && log("..done");
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log && log("create realization tracer..");
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rp<RealizationTracer<double>> tracer
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= RealizationTracer<double>::make(bm);
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log && log("..done");
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std::vector<std::pair<utc_nanos,double>> sample_v;
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auto sink
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= ([&sample_v]
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(std::pair<utc_nanos,double> const & ev)
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{ sample_v.push_back(ev); });
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log && log("create sim source from tracer..");
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/* what is step dt? */
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rp<RealizationSourceBase<std::pair<utc_nanos, double>, double, decltype(sink)>>
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sim_source
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= RealizationSourceBase<std::pair<utc_nanos, double>, double, decltype(sink)>::make(tracer,
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std::chrono::seconds(1) /*ev_interval_dt*/,
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sink);
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log && log("..done");
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log && log("add sim source to simulator..");
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sim->add_source(sim_source);
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log&& log("..done");
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utc_nanos t1 = t0 + minutes(1);
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log && log("run sim..");
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sim->run_until(t1);
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log && log("..done");
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log && log("verify sample_v..");
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/* 1-minute simulation with 1-second samples */
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REQUIRE(sample_v.size() == 61);
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utc_nanos sample_t0 = sample_v[0].first;
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for(size_t i = 0; i < sample_v.size(); ++i) {
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REQUIRE(sample_v[i].first == t0 + seconds(i));
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}
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log && log("..done");
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//lscope.log(xtag("sample_v.size", sample_v.size()));
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} /*TEST_CASE("sim-brownian-motion")*/
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TEST_CASE("sim-brownian-motion-with-sink", "[process][simulation]") {
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constexpr char const * c_self = "TEST_CASE:sim-brownian-motion-with-sink";
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constexpr bool c_logging_enabled = false;
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scope log(XO_DEBUG2(c_logging_enabled, c_self));
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utc_nanos t0 = timeutil::ymd_hms_usec(20220718 /*ymd*/,
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120000 /*hms*/,
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0 /*usec*/);
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auto bm
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= BrownianMotion<xoshiro256ss>::make(t0,
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0.50 /*annualized volatility*/,
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65431123UL /*seed*/);
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auto tracer
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= RealizationTracer<double>::make(bm);
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auto realization
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= RealizationSource<std::pair<utc_nanos, double>, double>::make(tracer,
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std::chrono::seconds(1) /*ev_interval_dt*/);
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rp<SinkToConsole<std::pair<utc_nanos, double>>> sink
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= new SinkToConsole<std::pair<utc_nanos, double>>();
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realization->attach_sink(sink);
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} /*TEST_CASE(sim-brownian-motion-with-sink)*/
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TEST_CASE("sim-lognormal", "[process][simulation]") {
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constexpr char const * c_self = "TEST_CASE:sim-lognormal";
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constexpr bool c_logging_enabled = false;
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scope log(XO_LITERAL(log_level::never, c_self, ""));
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/* arbitrary 'starting time' */
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utc_nanos t0 = timeutil::ymd_hms_usec(20220610 /*ymd*/,
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162905 /*hms*/,
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123456 /*usec*/);
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rp<Simulator> sim = Simulator::make(t0);
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sim->set_loglevel(c_logging_enabled
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? log_level::chatty
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: log_level::error);
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REQUIRE(sim->is_exhausted());
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rp<ExpProcess> ebm
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(LogNormalProcess::make<xoshiro256ss, uint64_t>
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(t0,
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1.0 /*x0*/,
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0.30 /*sdev -- annualized volatility*/,
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12345678UL /*seed*/));
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/* recover the exponentiated process, for testing */
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//StochasticProcess<double> * bm = ebm->exponent_process();
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rp<RealizationTracer<double>> tracer
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= RealizationTracer<double>::make(ebm.get());
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/* will be: samples from log-normal brownian motion */
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std::vector<std::pair<utc_nanos,double>> sample_v;
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/* collect process samples as sim runs */
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auto sink
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= ([&sample_v]
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(std::pair<utc_nanos,double> const & ev)
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{ sample_v.push_back(ev); });
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rp<RealizationSourceBase<std::pair<utc_nanos, double>, double, decltype(sink)>>
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sim_source
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= RealizationSourceBase<std::pair<utc_nanos, double>, double, decltype(sink)>::make(tracer,
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std::chrono::seconds(1) /*ev_interval_dt*/,
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sink);
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sim->add_source(sim_source);
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utc_nanos t1 = t0 + minutes(1);
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sim->run_until(t1);
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/* 1-minute simulation with 1-second samples */
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REQUIRE(sample_v.size() == 61);
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utc_nanos sample_t0 = sample_v[0].first;
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for(size_t i = 0; i < sample_v.size(); ++i) {
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REQUIRE(sample_v[i].first == t0 + seconds(i));
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/* exponentiated process will have strictly +ve values */
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REQUIRE(sample_v[i].second > 0.0);
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}
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log && log(xtag("sample_v.size", sample_v.size()));
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} /*TEST_CASE("sim-lognormal")*/
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} /*namespace ut*/
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} /*namespace xo*/
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/* end RealizationSource.test.cpp */
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