class BlackScholesOption_test(unittest.TestCase):
def setUp(self):
v = 0.04
r = 0.06
k = 99.0
spot = 100.0
t = 1.0
self.dt = 1.0 / 150.0
BS = BlackScholesOption(spot=spot,
strike=k,
interest_rate=r,
variance=v,
tenor=t)
self.F = BlackScholesFiniteDifferenceEngine(BS,
spot_max=5000.0,
nspots=150,
spotdensity=1.0,
force_exact=True,
flip_idx_spot=False)
self.F.init()
self.FG = FDG.FiniteDifferenceEngineADI()
self.FG.from_host_FiniteDifferenceEngine(self.F)
def test_implicit(self):
t, dt = self.F.option.tenor, self.dt
for o in self.F.operators.values():
assert o.is_tridiagonal()
V = self.FG.solve_implicit(t / dt, dt,
self.F.grid.domain[-1])[self.F.idx]
ans = self.F.option.analytical
# print "Spot:", self.F.option.spot
# print "Price:", V, ans, V - ans
npt.assert_allclose(V, ans, rtol=0.001)
def test_douglas(self):
t, dt = self.F.option.tenor, self.dt
V = self.FG.solve_douglas(t / dt, dt,
self.F.grid.domain[-1])[self.F.idx]
ans = self.F.option.analytical
# print "Spot:", self.F.option.spot
# print "Price:", V, ans, V - ans
npt.assert_allclose(V, ans, rtol=0.001)
def test_smooth(self):
t, dt = self.F.option.tenor, self.dt
for o in self.F.operators.values():
assert o.is_tridiagonal()
V = self.FG.solve_smooth(t / dt, dt,
self.F.grid.domain[-1])[self.F.idx]
ans = self.F.option.analytical
# print "Spot:", self.F.option.spot
# print "Price:", V, ans, V - ans
npt.assert_allclose(V, ans, rtol=0.001)
class BlackScholesOption_test(unittest.TestCase):
def setUp(self):
v = 0.04
r = 0.06
k = 99.0
spot = 100.0
t = 1.0
self.dt = 1.0/150.0
BS = BlackScholesOption(spot=spot, strike=k, interest_rate=r, variance=v, tenor=t)
self.F = BlackScholesFiniteDifferenceEngine( BS
, spot_max=5000.0
, nspots=150
, spotdensity=1.0
, force_exact=True
, flip_idx_spot=False
)
self.F.init()
self.FG = FDG.FiniteDifferenceEngineADI()
self.FG.from_host_FiniteDifferenceEngine(self.F)
def test_implicit(self):
t, dt = self.F.option.tenor, self.dt
for o in self.F.operators.values():
assert o.is_tridiagonal()
V = self.FG.solve_implicit(t/dt, dt, self.F.grid.domain[-1])[self.F.idx]
ans = self.F.option.analytical
# print "Spot:", self.F.option.spot
# print "Price:", V, ans, V - ans
npt.assert_allclose(V, ans, rtol=0.001)
def test_douglas(self):
t, dt = self.F.option.tenor, self.dt
V = self.FG.solve_douglas(t/dt, dt, self.F.grid.domain[-1])[self.F.idx]
ans = self.F.option.analytical
# print "Spot:", self.F.option.spot
# print "Price:", V, ans, V - ans
npt.assert_allclose(V, ans, rtol=0.001)
def test_smooth(self):
t, dt = self.F.option.tenor, self.dt
for o in self.F.operators.values():
assert o.is_tridiagonal()
V = self.FG.solve_smooth(t/dt, dt, self.F.grid.domain[-1])[self.F.idx]
ans = self.F.option.analytical
# print "Spot:", self.F.option.spot
# print "Price:", V, ans, V - ans
npt.assert_allclose(V, ans, rtol=0.001)
def setUp(self):
v = 0.04
r = 0.06
k = 99.0
spot = 100.0
t = 1.0
self.dt = 1.0 / 150.0
BS = BlackScholesOption(spot=spot,
strike=k,
interest_rate=r,
variance=v,
tenor=t)
self.F = BlackScholesFiniteDifferenceEngine(BS,
spot_max=5000.0,
nspots=150,
spotdensity=1.0,
force_exact=True,
flip_idx_spot=False)
self.F.init()
self.FG = FDG.FiniteDifferenceEngineADI()
self.FG.from_host_FiniteDifferenceEngine(self.F)
def setUp(self):
v = 0.04
r = 0.06
k = 99.0
spot = 100.0
t = 1.0
self.dt = 1.0/150.0
BS = BlackScholesOption(spot=spot, strike=k, interest_rate=r, variance=v, tenor=t)
self.F = BlackScholesFiniteDifferenceEngine( BS
, spot_max=5000.0
, nspots=150
, spotdensity=1.0
, force_exact=True
, flip_idx_spot=False
)
self.F.init()
