def test_bs_prices(self):
"""Test accuracy of back and forth BS conversion."""
count = int(1e3)
maturity = 30/365
call = True
sigma = np.random.uniform(.05, .8, count)
moneyness = np.random.uniform(-.1, .1, count)
premium = blackscholes_norm(moneyness, maturity, sigma, call)
vol = impvol_bisection(moneyness, maturity, premium, call)
np.testing.assert_array_almost_equal(vol, sigma, 3)
def test_pandas(self):
"""Test with pandas input."""
count = int(1e3)
maturity = 30/365
call = True
sigma = np.random.uniform(.05, .8, count)
moneyness = np.random.uniform(-.1, .1, count)
premium = blackscholes_norm(moneyness, maturity, sigma, call)
table = pd.DataFrame({'premium': premium, 'moneyness': moneyness})
table['maturity'] = maturity
table['call'] = call
table['imp_vol'] = impvol_table(table)
self.assertIsInstance(table, pd.DataFrame)
np.testing.assert_array_almost_equal(table['imp_vol'].values, sigma, 3)
dct = {'premium': premium, 'moneyness': moneyness,
'maturity': maturity, 'call': call}
dct['imp_vol'] = impvol_table(dct)
self.assertIsInstance(dct, dict)
np.testing.assert_array_almost_equal(dct['imp_vol'], sigma, 3)