def test_ex7_put(self):
self.params['q'] = 10.
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(4.994692417102769, price, places=15)
def test_call_price_case3(self):
self.params['spot'] = 110.
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
tree_price = utils.call(self.method, self.params)
rebate = self.option_property['upper_rebate']
self.assertAlmostEqual(tree_price, rebate, places=15)
def test_put_price_case2(self):
self.params['spot'] = 100.
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(price, 7.273463970405533, places=9)
def test_ex6_put(self):
self.params['q'] = -10.
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(9.990549279751074, price, places=15)
def test_ex2_put(self):
self.params['vol'] = 1e-3
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(0.036087902879740126, price, places=15)
def test_ex5_put(self):
self.params['r'] = 10.
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(9.082179025578567, price, places=15)
def test_ex4_put(self):
self.params['r'] = -10.0
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(5.549751796764291, price, places=15)
def test_ex3_put(self):
self.params['vol'] = 10.
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(7.499925463157357, price, places=15)
def test_ex13_call(self):
self.params['vol'] = 10
self.params['r'] = 10
self.params['q'] = 10
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(7.492552470854562, price, places=15)
def test_ex12_call(self):
self.params['vol'] = 10
self.params['r'] = 10.
self.params['q'] = 0.
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(7.517572769502204, price, places=15)
def test_call_price_case2(self):
self.params['spot'] = 100.
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
tree_price = utils.call(self.method, self.params)
black_price = utils.call('qlOptionCalcBlack', self.params)
eps = self.params['spot'] * 1e-3
self.assertAlmostEqual(tree_price, black_price, delta=eps)
def test_ex11_call(self):
self.params['vol'] = 10
self.params['r'] = -10.
self.params['q'] = 0.
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(7.482397755413479, price, places=15)
def test_call_price_case1(self):
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
self.params['spot'] = 90.
price = utils.call(self.method, self.params)
self.assertAlmostEqual(price,
self.option_property['lower_rebate'],
places=9)
def test_put_price_case3(self):
self.params['spot'] = 110.
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(price,
self.option_property['upper_rebate'],
places=9)
def test_ex10_put(self):
self.params['vol'] = 1e-6
self.params['r'] = -10.
self.params['q'] = 0.
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(5.555555555555555, price, places=15)
def test_ex1_call(self):
self.params['vol'] = 0.0
# self.option_property['upper_rebate'] = 0
# self.option_property['lower_rebate'] = 0
# self.params['valDate'] = '2017-08-07T00:00:00'
# self.params['r'] = 0.1
# self.option_property['rebate_type'] = 'pay_at_expiry'
# self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(0.0, price, places=15)
def test_lower_limit_case3(self):
self.option_property['lower_barrier'] = 0.1
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
double_knock_out_price = utils.call(self.method, self.params)
self.option_property['barrier'] = self.option_property['upper_barrier']
self.option_property['rebate_amount'] = self.option_property[
'upper_rebate']
self.option_property['direction'] = 'up_and_out'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
knock_out_price = utils.call(self.method, self.params)
self.assertAlmostEqual(double_knock_out_price,
knock_out_price,
places=9)
def test_ex2_call(self):
self.params['vol'] = 1e-4
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(0.003608790436758738, price, places=15)
def test_call_price_case2(self):
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
self.params['spot'] = 100.
price = utils.call(self.method, self.params)
self.assertAlmostEqual(7.269179953568781, price, places=9)
