def test_UP_AND_IN_CASH_AT_EXPIRY():
stock_price = 95.0
downType = TouchOptionTypes.UP_AND_IN_CASH_AT_EXPIRY
option = EquityOneTouchOption(expiry_date, downType, barrier_level,
payment_size)
v = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
v_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, model, num_steps_per_year,
num_paths)
assert round(v, 5) == 10.86668
assert round(v_mc, 5) == 10.67302
def test_DOWN_AND_OUT_CASH_OR_NOTHING():
stock_price = 105.0
downType = TouchOptionTypes.DOWN_AND_OUT_CASH_OR_NOTHING
option = EquityOneTouchOption(expiry_date, downType, barrier_level,
payment_size)
v = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
v_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, model, num_steps_per_year,
num_paths)
assert round(v, 5) == 4.49627
assert round(v_mc, 5) == 4.44473
def test_DOWN_AND_IN_CASH_AT_HIT():
stock_price = 105.0
downType = TouchOptionTypes.DOWN_AND_IN_CASH_AT_HIT
option = EquityOneTouchOption(expiry_date, downType, barrier_level,
payment_size)
v = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
v_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, model, num_steps_per_year,
num_paths)
assert round(v, 5) == 10.15381
assert round(v_mc, 5) == 10.20050
def test_UP_AND_OUT_ASSET_OR_NOTHING():
stock_price = 95.0
downType = TouchOptionTypes.UP_AND_OUT_ASSET_OR_NOTHING
option = EquityOneTouchOption(expiry_date, downType, barrier_level,
payment_size)
v = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
v_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, model, num_steps_per_year,
num_paths)
assert round(v, 5) == 19.19968
assert round(v_mc, 5) == 20.16362
def test_UP_AND_IN_ASSET_AT_HIT():
stock_price = 95.0
downType = TouchOptionTypes.UP_AND_IN_ASSET_AT_HIT
option = EquityOneTouchOption(expiry_date, downType, barrier_level,
payment_size)
v = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
v_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, model, num_steps_per_year,
num_paths)
assert round(v, 5) == 75.23538
assert round(v_mc, 5) == 73.84206
def test_DOWN_AND_IN_ASSET_AT_EXPIRY():
stock_price = 105.0
downType = TouchOptionTypes.DOWN_AND_IN_ASSET_AT_EXPIRY
option = EquityOneTouchOption(expiry_date, downType, barrier_level,
payment_size)
v = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
v_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, model, num_steps_per_year,
num_paths)
assert round(v, 5) == 66.91760
assert round(v_mc, 5) == 68.84921
def test_EquityOneTouchOption():
# Examples Haug Page 180 Table 4-22
# Agreement not exact at t is not exactly 0.50
valuation_date = Date(1, 1, 2016)
expiry_date = Date(2, 7, 2016)
interest_rate = 0.10
volatility = 0.20
barrier_level = 100.0 # H
model = BlackScholes(volatility)
dividend_yield = 0.03
num_paths = 10000
num_steps_per_year = 252
discount_curve = DiscountCurveFlat(valuation_date, interest_rate)
dividend_curve = DiscountCurveFlat(valuation_date, dividend_yield)
stock_price = 105.0
payment_size = 15.0
testCases.header("================================= CASH ONLY")
downTypes = [
FinTouchOptionPayoffTypes.DOWN_AND_IN_CASH_AT_HIT,
FinTouchOptionPayoffTypes.DOWN_AND_IN_CASH_AT_EXPIRY,
FinTouchOptionPayoffTypes.DOWN_AND_OUT_CASH_OR_NOTHING
]
testCases.header("TYPE", "VALUE", "VALUE_MC")
for downType in downTypes:
option = EquityOneTouchOption(expiry_date, downType, barrier_level,
payment_size)
v = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
v_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, model, num_steps_per_year,
num_paths)
testCases.print("%60s " % downType, "%9.5f" % v, "%9.5f" % v_mc)
stock_price = 95.0
payment_size = 15.0
upTypes = [
FinTouchOptionPayoffTypes.UP_AND_IN_CASH_AT_HIT,
FinTouchOptionPayoffTypes.UP_AND_IN_CASH_AT_EXPIRY,
FinTouchOptionPayoffTypes.UP_AND_OUT_CASH_OR_NOTHING
]
testCases.header("TYPE", "VALUE", "VALUE_MC")
for upType in upTypes:
option = EquityOneTouchOption(expiry_date, upType, barrier_level,
payment_size)
v = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
v_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, model, num_steps_per_year,
num_paths)
testCases.print("%60s " % upType, "%9.5f" % v, "%9.5f" % v_mc)
###########################################################################
stock_price = 105.0
testCases.banner("================= ASSET ONLY")
downTypes = [
FinTouchOptionPayoffTypes.DOWN_AND_IN_ASSET_AT_HIT,
FinTouchOptionPayoffTypes.DOWN_AND_IN_ASSET_AT_EXPIRY,
FinTouchOptionPayoffTypes.DOWN_AND_OUT_ASSET_OR_NOTHING
]
testCases.header("TYPE", "VALUE", "VALUE_MC")
for downType in downTypes:
option = EquityOneTouchOption(expiry_date, downType, barrier_level)
v = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
v_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, model, num_steps_per_year,
num_paths)
testCases.print("%60s " % downType, "%9.5f" % v, "%9.5f" % v_mc)
stock_price = 95.0
upTypes = [
FinTouchOptionPayoffTypes.UP_AND_IN_ASSET_AT_HIT,
FinTouchOptionPayoffTypes.UP_AND_IN_ASSET_AT_EXPIRY,
FinTouchOptionPayoffTypes.UP_AND_OUT_ASSET_OR_NOTHING
]
for upType in upTypes:
option = EquityOneTouchOption(expiry_date, upType, barrier_level)
v = option.value(valuation_date, stock_price, discount_curve,
dividend_curve, model)
v_mc = option.value_mc(valuation_date, stock_price, discount_curve,
dividend_curve, model, num_steps_per_year,
num_paths)
testCases.print("%60s " % upType, "%9.5f" % v, "%9.5f" % v_mc)
def test_FinFXOneTouchOption():
# Examples Haug Page 180 Table 4-22
# Agreement not exact at t is not exactly 0.50
valuation_date = Date(1, 1, 2016)
expiry_date = Date(2, 7, 2016)
volatility = 0.20
barrier_level = 1.0 # H
model = BlackScholes(volatility)
domesticRate = 0.10
foreignRate = 0.03
num_paths = 20000
num_steps_per_year = 252
domCurve = DiscountCurveFlat(valuation_date, domesticRate)
forCurve = DiscountCurveFlat(valuation_date, foreignRate)
spot_fx_rate = 1.050
payment_size = 1.5
testCases.header("================================= CASH ONLY")
downTypes = [
FinTouchOptionPayoffTypes.DOWN_AND_IN_CASH_AT_HIT,
FinTouchOptionPayoffTypes.DOWN_AND_IN_CASH_AT_EXPIRY,
FinTouchOptionPayoffTypes.DOWN_AND_OUT_CASH_OR_NOTHING
]
testCases.header("TYPE", "VALUE", "VALUE_MC")
for downType in downTypes:
option = EquityOneTouchOption(expiry_date, downType, barrier_level,
payment_size)
v = option.value(valuation_date, spot_fx_rate, domCurve, forCurve,
model)
v_mc = option.value_mc(valuation_date, spot_fx_rate, domCurve,
forCurve, model, num_steps_per_year, num_paths)
testCases.print("%60s " % downType, "%9.5f" % v, "%9.5f" % v_mc)
spot_fx_rate = 0.950
payment_size = 1.5
upTypes = [
FinTouchOptionPayoffTypes.UP_AND_IN_CASH_AT_HIT,
FinTouchOptionPayoffTypes.UP_AND_IN_CASH_AT_EXPIRY,
FinTouchOptionPayoffTypes.UP_AND_OUT_CASH_OR_NOTHING
]
testCases.header("TYPE", "VALUE", "VALUE_MC")
for upType in upTypes:
option = EquityOneTouchOption(expiry_date, upType, barrier_level,
payment_size)
v = option.value(valuation_date, spot_fx_rate, domCurve, forCurve,
model)
v_mc = option.value_mc(valuation_date, spot_fx_rate, domCurve,
forCurve, model, num_steps_per_year, num_paths)
testCases.print("%60s " % upType, "%9.5f" % v, "%9.5f" % v_mc)
###########################################################################
spot_fx_rate = 1.050
testCases.banner("================= ASSET ONLY")
downTypes = [
FinTouchOptionPayoffTypes.DOWN_AND_IN_ASSET_AT_HIT,
FinTouchOptionPayoffTypes.DOWN_AND_IN_ASSET_AT_EXPIRY,
FinTouchOptionPayoffTypes.DOWN_AND_OUT_ASSET_OR_NOTHING
]
testCases.header("TYPE", "VALUE", "VALUE_MC")
for downType in downTypes:
option = EquityOneTouchOption(expiry_date, downType, barrier_level)
v = option.value(valuation_date, spot_fx_rate, domCurve, forCurve,
model)
v_mc = option.value_mc(valuation_date, spot_fx_rate, domCurve,
forCurve, model, num_steps_per_year, num_paths)
testCases.print("%60s " % downType, "%9.5f" % v, "%9.5f" % v_mc)
spot_fx_rate = 0.950
upTypes = [
FinTouchOptionPayoffTypes.UP_AND_IN_ASSET_AT_HIT,
FinTouchOptionPayoffTypes.UP_AND_IN_ASSET_AT_EXPIRY,
FinTouchOptionPayoffTypes.UP_AND_OUT_ASSET_OR_NOTHING
]
for upType in upTypes:
option = EquityOneTouchOption(expiry_date, upType, barrier_level)
v = option.value(valuation_date, spot_fx_rate, domCurve, forCurve,
model)
v_mc = option.value_mc(valuation_date, spot_fx_rate, domCurve,
forCurve, model, num_steps_per_year, num_paths)
testCases.print("%60s " % upType, "%9.5f" % v, "%9.5f" % v_mc)