def test_FinEquityChooserOptionMatlab():
'''https://fr.mathworks.com/help/fininst/chooserbybls.html '''
valueDate = FinDate(1, 6, 2007)
chooseDate = FinDate(31, 8, 2007)
callExpiryDate = FinDate(2, 12, 2007)
putExpiryDate = FinDate(2, 12, 2007)
callStrike = 60.0
putStrike = 60.0
stockPrice = 50.0
volatility = 0.20
interestRate = 0.10
dividendYield = 0.05
model = FinModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
dividendCurve = FinDiscountCurveFlat(valueDate, dividendYield)
chooserOption = FinEquityChooserOption(chooseDate, callExpiryDate,
putExpiryDate, callStrike,
putStrike)
v = chooserOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
v_mc = chooserOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, 20000)
v_matlab = 8.9308
testCases.header("", "", "", "", "", "")
testCases.print("FINANCEPY", v, "MATLAB", v_matlab, "MC", v_mc)
def test_FinEquityChooserOptionDerivicom():
'''http://derivicom.com/support/finoptionsxl/index.html?complex_chooser.htm '''
valueDate = FinDate(1, 1, 2007)
chooseDate = FinDate(1, 2, 2007)
callExpiryDate = FinDate(1, 4, 2007)
putExpiryDate = FinDate(1, 5, 2007)
callStrike = 40.0
putStrike = 35.0
stockPrice = 38.0
volatility = 0.20
interestRate = 0.08
dividendYield = 0.0625
model = FinModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
dividendCurve = FinDiscountCurveFlat(valueDate, dividendYield)
chooserOption = FinEquityChooserOption(chooseDate, callExpiryDate,
putExpiryDate, callStrike,
putStrike)
v = chooserOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
v_mc = chooserOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, 20000)
v_derivicom = 1.0989
testCases.header("", "", "", "", "", "")
testCases.print("FINANCEPY", v, "DERIVICOM", v_derivicom, "MC", v_mc)
def test_FinEquityChooserOptionHaug():
''' Following example in Haug Page 130 '''
valueDate = FinDate(1, 1, 2015)
chooseDate = FinDate(2, 4, 2015)
callExpiryDate = FinDate(1, 7, 2015)
putExpiryDate = FinDate(2, 8, 2015)
callStrike = 55.0
putStrike = 48.0
stockPrice = 50.0
volatility = 0.35
interestRate = 0.10
dividendYield = 0.05
model = FinModelBlackScholes(volatility)
discountCurve = FinDiscountCurveFlat(valueDate, interestRate)
dividendCurve = FinDiscountCurveFlat(valueDate, dividendYield)
chooserOption = FinEquityChooserOption(chooseDate, callExpiryDate,
putExpiryDate, callStrike,
putStrike)
v = chooserOption.value(valueDate, stockPrice, discountCurve,
dividendCurve, model)
v_mc = chooserOption.valueMC(valueDate, stockPrice, discountCurve,
dividendCurve, model, 20000)
v_haug = 6.0508
testCases.header("", "", "", "", "", "")
testCases.print("FINANCEPY", v, "HAUG", v_haug, "MC", v_mc)