def test_dtype(self, dtype):
liability = EuropeanOption(BrownianStock(dtype=dtype))
assert liability.dtype == dtype
liability.simulate()
assert liability.payoff().dtype == dtype
liability = EuropeanOption(BrownianStock()).to(dtype=dtype)
liability.simulate()
assert liability.payoff().dtype == dtype
def test_compute_pnl(self):
torch.manual_seed(42)
deriv = EuropeanOption(BrownianStock())
hedger = Hedger(Naked(), ["zero"])
pnl = hedger.compute_pnl(deriv)
payoff = deriv.payoff()
assert torch.allclose(pnl, -payoff)
result = hedger.compute_pnl(deriv)
expect = -deriv.payoff()
assert torch.allclose(result, expect)
def test_parity(self, volatility, strike, maturity, n_paths, init_price):
"""
Test put-call parity.
"""
stock = BrownianStock(volatility)
co = EuropeanOption(stock, strike=strike, maturity=maturity, call=True)
po = EuropeanOption(stock,
strike=strike,
maturity=maturity,
call=False)
co.simulate(n_paths=n_paths, init_price=init_price)
po.simulate(n_paths=n_paths, init_price=init_price)
s = stock.prices[-1, :]
c = co.payoff()
p = po.payoff()
assert ((c - p) == s - strike).all()
def test_compute_loss(self):
torch.manual_seed(42)
deriv = EuropeanOption(BrownianStock())
hedger = Hedger(Naked(),
["log_moneyness", "expiry_time", "volatility"])
result = hedger.compute_loss(deriv)
expect = EntropicRiskMeasure()(-deriv.payoff())
assert torch.allclose(result, expect)
def test_payoff(self):
liability = EuropeanOption(BrownianStock(), strike=2.0)
liability.underlier.prices = torch.tensor([
[1.0, 1.0, 1.0, 1.0],
[1.0, 1.0, 1.0, 1.0],
[1.9, 2.0, 2.1, 3.0],
])
result = liability.payoff()
expect = torch.tensor([0.0, 0.0, 0.1, 1.0])
assert torch.allclose(result, expect)
