def test_vega(self):
call_vega = BSPrice_Analytical(*self.input, True)['derivatives'][1]
put_vega = BSPrice_Analytical(*self.input, False)['derivatives'][1]
self.assertAlmostEqual(call_vega,
differentiate(BSPrice, *self.input, True)[1],
places=3)
self.assertAlmostEqual(put_vega,
differentiate(BSPrice, *self.input, False)[1],
places=3)
self.assertAlmostEqual(call_vega,
BSPrice_SAD(*self.input,
True)['derivatives'][1],
places=8)
self.assertAlmostEqual(put_vega,
BSPrice_SAD(*self.input,
False)['derivatives'][1],
places=8)
self.assertAlmostEqual(call_vega,
BSPrice_AAD(*self.input,
True)['derivatives'][1],
places=8)
self.assertAlmostEqual(put_vega,
BSPrice_AAD(*self.input,
False)['derivatives'][1],
places=8)
def test_rho(self):
call_rho = BSPrice_Analytical(*self.input, True)['derivatives'][4]
put_rho = BSPrice_Analytical(*self.input, False)['derivatives'][4]
self.assertAlmostEqual(call_rho,
differentiate(BSPrice, *self.input, True)[4],
places=3)
self.assertAlmostEqual(put_rho,
differentiate(BSPrice, *self.input, False)[4],
places=3)
self.assertAlmostEqual(call_rho,
BSPrice_SAD(*self.input,
True)['derivatives'][4],
places=8)
self.assertAlmostEqual(put_rho,
BSPrice_SAD(*self.input,
False)['derivatives'][4],
places=8)
self.assertAlmostEqual(call_rho,
BSPrice_AAD(*self.input,
True)['derivatives'][4],
places=8)
self.assertAlmostEqual(put_rho,
BSPrice_AAD(*self.input,
False)['derivatives'][4],
places=8)
def test_theta(self):
call_theta = -1 * BSPrice_Analytical(*self.input,
True)['derivatives'][3]
put_theta = -1 * BSPrice_Analytical(*self.input,
False)['derivatives'][3]
self.assertAlmostEqual(call_theta,
differentiate(BSPrice, *self.input, True)[3],
places=3)
self.assertAlmostEqual(put_theta,
differentiate(BSPrice, *self.input, False)[3],
places=3)
self.assertAlmostEqual(call_theta,
BSPrice_SAD(*self.input,
True)['derivatives'][3],
places=8)
self.assertAlmostEqual(put_theta,
BSPrice_SAD(*self.input,
False)['derivatives'][3],
places=8)
self.assertAlmostEqual(call_theta,
BSPrice_AAD(*self.input,
True)['derivatives'][3],
places=8)
self.assertAlmostEqual(put_theta,
BSPrice_AAD(*self.input,
False)['derivatives'][3],
places=8)
def test(self):
def t_fun(x, y):
return x**4 + y**3
derivatives = differentiate(t_fun, self.x, self.y, epsilon=self.eps)
self.assertAlmostEqual(4 * self.x**3, derivatives[0], places=1)
self.assertAlmostEqual(3 * self.y**2, derivatives[1], places=1)
def test_Kpoint(self):
call_KPoint = differentiate(BSPrice, *self.input, True)[2]
self.assertAlmostEqual(call_KPoint,
BSPrice_SAD(*self.input,
True)['derivatives'][2],
places=4)
self.assertAlmostEqual(call_KPoint,
BSPrice_AAD(*self.input,
True)['derivatives'][2],
places=4)
def forward_bump_derivatives():
for i in range(0, option.__len__()):
price = differentiate(BSPrice, *option[i])