def test_low_tau_low_vol(self):
model = HestonModel(100, 0.01, 2.0, 0.01, 0.01, -0.95, 0.05)
option = EuropeanCallOption(0.01, 125)
result = anderson_lake(model, option, self.scheme)
self.assertTrue(result > 0)
self.assertAlmostEqual(result, 0.0, places=100)
def test_otm(self):
model = HestonModel(11, 0.2**2, 2.0, 0.2**2, 0.3, -0.8, 0)
option = EuropeanCallOption(2., 10)
result = anderson_lake(model, option, self.scheme)
expected = 1.7475020828 # result from finite difference method
self.assertAlmostEqual(result, expected, 3)
def test_itm(self):
model = HestonModel(121.17361017736597, 0.1197**2, 1.98937, \
0.108977**2, 0.33147, -0.5, np.log(1.0005))
option = EuropeanCallOption(0.50137, 150)
result = anderson_lake(model, option, self.scheme)
expected = 0.008644233552
self.assertAlmostEqual(result, expected)
def test_atm(self):
model = HestonModel(100, 0.1197**2, 1.98937, 0.108977**2, 0.33147, \
0.0258519, 0)
option = EuropeanCallOption(1, 100)
result = anderson_lake(model, option, self.scheme)
expected = 4.170956582
self.assertAlmostEqual(result, expected)
# -*- coding: utf-8 -*-
# import local modules
from pricers import anderson_lake, anderson_lake_expsinh
from integration import ExpSinhQuadrature, GaussianQuadrature
from models import HestonModel
from options import EuropeanCallOption
# ==============================================================================
# === Example using the simpler function anderson_lake_expsinh
# Define the model
# The parameters are in order:
# forward, initial volatility, kappa, theta, sigma, rho, interest rate
model = HestonModel(100, 0.1197**2, 1.98937, 0.108977**2, 0.33147, 0.0258519,
0)
# Define the call option
# The arguments are in order:
# time to maturity, strike
option = EuropeanCallOption(1, 100)
# Calculate the price (should return 4.171)
price = anderson_lake_expsinh(model, option)
print(f"Price of option using anderson_lake_expsinh: {price}.")
# ==============================================================================
# === Example using the less simple function anderson_lake
# Define the quadrature method the function should use to integrate. Here the
# one suggested in the Anderson-Lake article is used. It is implemented in
# integration.py