def test_option_price_call_american_binomial(self):
S = 100
K = 100
r = 0.10
sigma = 0.25
time = 1.0
steps = 100
test_val = Amop.option_price_call_american_binomial(S, K, r, sigma, time, steps)
self.assertEqual(str(round(test_val, 4)), "14.9505")
# Test 2
S = 72
K = 72
r = 0.05
sigma = 0.40
time = 0.5
steps = 200
test_val = Amop.option_price_call_american_binomial(S, K, r, sigma, time, steps)
self.assertEqual(str(round(test_val, 5)), "8.90719")
def test_option_price_put_american_binomial(self):
S = 100
K = 100
r = 0.10
sigma = 0.25
time = 1.0
steps = 100
test_val = Amop.option_price_put_american_binomial(S, K, r, sigma, time, steps)
self.assertEqual(str(round(test_val, 5)), "6.54691")
# Test 2
S = 72
K = 72
r = 0.05
sigma = 0.40
time = 0.5
steps = 200
test_val = Amop.option_price_put_american_binomial(S, K, r, sigma, time, steps)
self.assertEqual(str(round(test_val, 5)), "7.29582")
def test_option_price_put_american_proportional_dividends_binomial(self):
S = 100
K = 100
r = 0.10
sigma = 0.25
time = 1.0
steps = 100
dividend_times = [0.25, 0.75]
dividend_yields = [0.025, 0.025]
test_val = Amop.option_price_put_american_proportional_dividends_binomial(S,
K, r, sigma, time, steps, dividend_times, dividend_yields)
self.assertEqual(str(round(test_val, 5)), "7.99971")
def test_option_price_put_american_discrete_dividends_binomial(self):
S = 100
K = 100
r = 0.10
sigma = 0.25
time = 1.0
steps = 100
dividend_times = [0.25, 0.75]
dividend_amounts = [2.5, 2.5]
test_val = Amop.option_price_put_american_discrete_dividends_binomial(S, K,
r, sigma, time, steps, dividend_times, dividend_amounts)
self.assertEqual(str(round(test_val, 5)), "8.11801")
def cost(self, sigma):
self.Ctv = Amop.option_price_call_american_binomial(self.S, self.K, self.rate, sigma, self.time, self.amop_steps) if (self.Cmp > 0 ) else 0
self.Ptv = Amop.option_price_put_american_binomial(self.S, self.K, self.rate, sigma, self.time, self.amop_steps) if (self.Pmp > 0) else 0
cost = (self.Ctv - self.Cmp) ** 2 + (self.Ptv - self.Pmp) ** 2
return cost