HJM.py 文件源码

def aTest(ks):
    times = np.linspace(0,1,100)
    dt = times[1]-times[0]
    W = sp.randn(100)
    W[0] *=0
    W *= np.sqrt(dt)
    W = np.cumsum(W)*dt
    return [np.sum(np.sin(k*times)*W) for k in ks]