def test_02_MonteCarlo(self):
"""
Varying the time step size
"""
Asset = 100.0
Strike = 100.0
InterestRate = 0.05
Volatility = 0.2
Expiration = 1.0
NumberAssetStep = 100
TimeStep = Expiration / NumberAssetStep
NumbreOfSimulation = 10000
listOfValuesList = []
for i in range(0, 10):
"""
Price with Black and Scholes and Monte Carlo and print the differences
"""
BS = BlackScholes(Asset, Strike, InterestRate, Volatility,
Expiration)
BS.price()
MC = MonteCarlo(Asset, Strike, InterestRate, Volatility,
Expiration, TimeStep, NumberAssetStep,
NumbreOfSimulation)
MC.price()
err = BS.getPrice() - MC.getPrice()
self.assertGreater(BS.getPrice(), 0.0)
valuesList = [
Asset, Strike, InterestRate, Volatility, Expiration, TimeStep,
NumberAssetStep, NumbreOfSimulation,
BS.getPrice(),
MC.getPrice(), err,
math.fabs(err / BS.getPrice())
]
listOfValuesList.append(valuesList)
NumberAssetStep += 100
TimeStep = Expiration / NumberAssetStep
headerList = [
'Asset', 'Strike', 'IntRate', 'Vol', 'Expiration', 'TimeStep',
'NumberAssetStep', 'NumbreOfSimulation', 'BSPrice', 'MCPrice',
'ErrorWithBS', 'ErrWithBSPer'
]
writeToFile("binaryCallMCPriceTest2.csv", headerList)
for valuesList in listOfValuesList:
writeToFile("binaryCallMCPriceTest2.csv", valuesList)
