def test_put_option(self):
spot = 100
strike = 110
risk_free = 0.05
expiry = 1
vol = 0.2
stock = ConstantVolatilityStock(spot, vol)
option = EuropeanStockOption([stock], risk_free, expiry, False, strike)
solver = AnalyticEuropeanStockOptionSolver()
put_value = black_scholes(spot, strike, risk_free, 0, vol, expiry, 'put')
self.assertAlmostEqual(put_value, 10.6753248248)
self.assertAlmostEqual(solver.solve_option_price(option),
10.6753248248)
def test_option_pricing(self):
spot = 100
strike = 110
risk_free = 0.05
expiry = 1
vol = 0.2
stock = ConstantVolatilityStock(spot, vol)
# is_call = True
option = EuropeanStockOption([stock], risk_free, expiry, True, strike)
solver = AnalyticEuropeanStockOptionSolver()
call_value = black_scholes(spot, strike, risk_free, 0, vol, expiry, 'call')
self.assertAlmostEqual(call_value, 6.04008812972)
self.assertAlmostEqual(solver.solve_option_price(option),
6.04008812972)
def test_put_option(self):
spot = 100
strike = 110
risk_free = 0.05
expiry = 1
vol = 0.2
stock = ConstantVolatilityStock(spot, vol)
option = EuropeanStockOption([stock], risk_free, expiry, False, strike)
interval = 0.1
expected = 10.6753248248
lower_bound = expected - interval
upper_bound = expected + interval
solver = NaiveMCOptionSolver(interval)
n_runs = 20
in_bound_count = sum(
1 for _ in xrange(n_runs)
if lower_bound <= solver.solve_option_price(option) <= upper_bound
)
self.assertGreaterEqual(in_bound_count, 0.95*n_runs)
def test_call_option(self):
spot = 100
strike = 110
risk_free = 0.05
expiry = 1
vol = 0.2
stock = ConstantVolatilityStock(spot, vol)
option = EuropeanStockOption([stock], risk_free, expiry, True, strike)
interval = 0.1
expected = 6.04008812972
lower_bound = expected - interval
upper_bound = expected + interval
solver = SimpleLayeredMCOptionSolver(interval)
n_runs = 20
in_bound_count = sum(
1 for _ in xrange(n_runs)
if lower_bound <= solver.solve_option_price(option) <= upper_bound
)
self.assertGreaterEqual(in_bound_count, 0.95*n_runs)
def test_valuation_for_put(self):
stock = ConstantVolatilityStock(10, 1)
sut = EuropeanStockOption([stock], 0.05, 1, False, 10)
self.assertEqual(sut.determine_payoff(6), 4)
self.assertEqual(sut.determine_payoff(15), 0)