def get_price(self, otype=OptionType.PUT, spot=50,
strike=52, rate=0.05, expiry=2, vol=0.3, steps=1):
'''European option, spot price 50, strike price 52,
risk free interest rate 5%, expiry 2 years, volatility 30%
'''
bt = BinomialTree(spot, strike, rate, expiry, vol, steps=steps)
return bt.get_option_price(otype)
def test_basic(self):
'''European option, spot price 50, strike price 52, risk free interest rate 5%
expiry 2 years, volatility 30%
'''
bt = BinomialTree(50, 52, 0.05, 2, 0.3, steps=100)
self.assertEqual(6.7781, # steps = 100
bt.get_option_price(OptionType.PUT))
def test_basic(self):
'''European option, spot price 50, strike price 52, risk free interest rate 5%
expiry 2 years, volatility 30%
'''
bt = BinomialTree(50, 52, 0.05, 2, 0.3, steps=100)
self.assertEqual(
6.7781, # steps = 100
bt.get_option_price(OptionType.PUT))
def get_price(self,
otype=OptionType.PUT,
spot=50,
strike=52,
rate=0.05,
expiry=2,
vol=0.3,
steps=1):
'''European option, spot price 50, strike price 52,
risk free interest rate 5%, expiry 2 years, volatility 30%
'''
bt = BinomialTree(spot, strike, rate, expiry, vol, steps=steps)
return bt.get_option_price(otype)
