public void normalDensity()
{
double mu = 0.0;
double sigma = 1;
double x = 0.0;
double y = 0.0;
double t = 1.0;
double s = 0.0;
double actual = new NormalDensity(
mu, sigma).density(s, t, x, y) * Math.Sqrt(Math.PI * 2);
double expected = Normal.PDF(
0, 1, (y - x - mu * (t - s)) / (sigma * Math.Sqrt(t - s)))
* Math.Sqrt(Math.PI * 2);
Assert.AreEqual(expected, actual, 1e-8);
mu = 0.0;
sigma = 1;
x = 0.0;
y = 0.0;
t = 1.0;
s = 0.0;
actual = new NormalDensity(
mu, sigma).density(s, t, x, y) * Math.Sqrt(Math.PI * 2);
expected = Normal.PDF(
0, 1, (y - x - mu * (t - s)) / (sigma * Math.Sqrt(t - s)))
* Math.Sqrt(Math.PI * 2);
Assert.AreEqual(expected, actual, 1e-8);
}
public void NormalDistribution_NonStandardNormal_ReturnsCorrectValues()
{
double mu = .5;
double sigma = 2;
NormalDensity normalDensity = new NormalDensity(mu, sigma);
double tolerance = 1e-6;
var output1 = normalDensity.N(0);
double expectedOutput1 = 0.193334058;
Assert.AreEqual(expectedOutput1, output1, tolerance);
var output2 = normalDensity.N(1);
double expectedOutput2 = 0.193334058;
Assert.AreEqual(expectedOutput2, output2, tolerance);
var output3 = normalDensity.N(-1);
double expectedOutput3 = 0.150568716;
Assert.AreEqual(expectedOutput3, output3, tolerance);
}
public void NormalDistribution_StandardNormal_ReturnsCorrectValues()
{
double mu = 0;
double sigma = 1;
NormalDensity normalDensity = new NormalDensity(mu, sigma);
double tolerance = 1e-6;
var output1 = normalDensity.N(0);
double expectedOutput1 = 0.39894228;
Assert.AreEqual(expectedOutput1, output1, tolerance);
var output2 = normalDensity.N(1);
double expectedOutput2 = 0.241970725;
Assert.AreEqual(expectedOutput2, output2, tolerance);
var output3 = normalDensity.N(-1);
double expectedOutput3 = 0.241970725;
Assert.AreEqual(expectedOutput3, output3, tolerance);
}
