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(self):
liability = EuropeanOption(BrownianStock())
liability.simulate()
module = torch.nn.Linear(2, 1)
x1, x2 = Moneyness(), ExpiryTime()
f = ModuleOutput(module, [x1, x2]).of(liability)
result = f[0]
expect = module(torch.cat([x1[0], x2[0]], 1))
assert torch.allclose(result, expect)
result = f[1]
expect = module(torch.cat([x1[1], x2[1]], 1))
assert torch.allclose(result, expect)
result = f[2]
expect = module(torch.cat([x1[2], x2[2]], 1))
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()
