.. DO NOT EDIT.
.. THIS FILE WAS AUTOMATICALLY GENERATED BY SPHINX-GALLERY.
.. TO MAKE CHANGES, EDIT THE SOURCE PYTHON FILE:
.. "auto_ch9\ch9_HestonRepro.py"
.. LINE NUMBERS ARE GIVEN BELOW.

.. only:: html

    .. note::
        :class: sphx-glr-download-link-note

        :ref:`Go to the end <sphx_glr_download_auto_ch9_ch9_HestonRepro.py>`
        to download the full example code.

.. rst-class:: sphx-glr-example-title

.. _sphx_glr_auto_ch9_ch9_HestonRepro.py:


====================================================================================================
9.09 Heston Process - Reproducibility
====================================================================================================
We reproduce here the figure 9.10 and 9.11 of the book.
We show a reproducibility test for a Heston process as well as a comparison of the generated noise with a generative method.
Utilitary functions can be found next to this file.

.. GENERATED FROM PYTHON SOURCE LINES 11-13

Necessary Imports
------------------------

.. GENERATED FROM PYTHON SOURCE LINES 13-34

.. code-block:: Python


    import os 
    import sys 

    from matplotlib import pyplot as plt

    try:
        CURRENT_DIR = os.path.dirname(os.path.abspath(__file__))
    except NameError:
        CURRENT_DIR = os.getcwd()
    data_path = os.path.join(CURRENT_DIR, "data")
    PARENT_DIR = os.path.abspath(os.path.join(CURRENT_DIR, ".."))
    sys.path.insert(0, PARENT_DIR)

    from utils.ch9.heston import *

    fig_test_reproductibility_Heston()
    plt.show()

    table = fig_compare_distributions_Heston()
    print(table)
    plt.show()


.. rst-class:: sphx-glr-horizontal


    *

      .. image-sg:: /auto_ch9/images/sphx_glr_ch9_HestonRepro_001.png
         :alt: ch9 HestonRepro
         :srcset: /auto_ch9/images/sphx_glr_ch9_HestonRepro_001.png
         :class: sphx-glr-multi-img

    *

      .. image-sg:: /auto_ch9/images/sphx_glr_ch9_HestonRepro_002.png
         :alt: ch9 HestonRepro
         :srcset: /auto_ch9/images/sphx_glr_ch9_HestonRepro_002.png
         :class: sphx-glr-multi-img


.. rst-class:: sphx-glr-script-out

 .. code-block:: none

                                      Mean          Variance         Skewness       Kurtosis     KS test
    HestonDiffLog lat.:0  0.00011(-0.0001)     -0.045(0.043)  9.8e-05(0.0001)         0.8(1)   0.6(0.05)
    HestonCondMap lat.:0     -0.016(-0.01)      0.048(0.064)         1.1(1.1)     0.06(0.03)  0.96(0.05)
    HestonCondMap lat.:1  -1.6e-16(-0.069)  -1.2e-15(-0.066)        0.5(0.49)  -0.037(-0.28)  0.19(0.05)





.. rst-class:: sphx-glr-timing

   **Total running time of the script:** (0 minutes 13.809 seconds)


.. _sphx_glr_download_auto_ch9_ch9_HestonRepro.py:

.. only:: html

  .. container:: sphx-glr-footer sphx-glr-footer-example

    .. container:: sphx-glr-download sphx-glr-download-jupyter

      :download:`Download Jupyter notebook: ch9_HestonRepro.ipynb <ch9_HestonRepro.ipynb>`

    .. container:: sphx-glr-download sphx-glr-download-python

      :download:`Download Python source code: ch9_HestonRepro.py <ch9_HestonRepro.py>`

    .. container:: sphx-glr-download sphx-glr-download-zip

      :download:`Download zipped: ch9_HestonRepro.zip <ch9_HestonRepro.zip>`


.. only:: html

 .. rst-class:: sphx-glr-signature

    `Gallery generated by Sphinx-Gallery <https://sphinx-gallery.github.io>`_