def test_price(self):
m = BSEuropeanBinaryOption()
result = m.price(0.0, 0.1, 0.2)
expect = torch.tensor(0.4874)
assert torch.allclose(result, expect, atol=1e-4)
result = m.price(0.0001, 0.1, 0.2)
expect = torch.tensor(0.4880)
assert torch.allclose(result, expect, atol=1e-4)
def test_implied_volatility(self):
# log_moneyness, expiry_time, price
x = torch.tensor([[-0.01, 0.1, 0.40], [-0.01, 0.1, 0.41],
[-0.01, 0.1, 0.42]])
m = BSEuropeanBinaryOption()
iv = m.implied_volatility(x[:, 0], x[:, 1], x[:, 2])
result = BSEuropeanBinaryOption().price(x[:, 0], x[:, 1], iv)
expect = x[:, -1]
assert torch.allclose(result, expect)
def test_example(self):
from pfhedge import Hedger
from pfhedge.instruments import BrownianStock
from pfhedge.instruments import EuropeanBinaryOption
deriv = EuropeanBinaryOption(BrownianStock())
model = BSEuropeanBinaryOption(deriv)
hedger = Hedger(model, model.features())
price = hedger.price(deriv)
assert torch.allclose(price, torch.tensor(0.5004), atol=1e-4)
def test_repr(self):
m = BSEuropeanBinaryOption()
assert repr(m) == "BSEuropeanBinaryOption()"
liability = EuropeanBinaryOption(BrownianStock(), strike=1.1)
m = BSEuropeanBinaryOption(liability)
assert repr(m) == "BSEuropeanBinaryOption(strike=1.1)"
with pytest.raises(ValueError):
# not yet supported
liability = EuropeanBinaryOption(BrownianStock(),
strike=1.1,
call=False)
m = BSEuropeanBinaryOption(liability)
assert repr(m) == "BSEuropeanBinaryOption(call=False, strike=1.1)"
def test_shape(self):
torch.distributions.Distribution.set_default_validate_args(False)
m = BSEuropeanBinaryOption()
self.assert_shape_delta(m)
# self.assert_shape_gamma(m)
self.assert_shape_price(m)
self.assert_shape_forward(m)
def test_gamma(self):
m = BSEuropeanBinaryOption()
result = m.gamma(0.01, 1.0, 0.2).item()
assert np.isclose(result, -1.4645787477493286)
with pytest.raises(ValueError):
# not yet supported
m = BSEuropeanBinaryOption(call=False)
result = m.gamma(0.0, 1.0, 0.2).item()
def test_delta(self):
m = BSEuropeanBinaryOption()
result = m.delta(0.0, 0.1, 0.2)
expect = torch.tensor(6.3047)
assert torch.allclose(result, expect, atol=1e-4)
def test_forward(self):
m = BSEuropeanBinaryOption()
x = torch.tensor([0.0, 0.1, 0.2]).reshape(1, -1)
result = m(x)
expect = torch.tensor(6.3047)
assert torch.allclose(result, expect, atol=1e-4)
def test_features(self):
m = BSEuropeanBinaryOption()
assert m.features() == ["log_moneyness", "expiry_time", "volatility"]
_ = [get_feature(f) for f in m.features()]
def test_error_put(self):
with pytest.raises(ValueError):
# not yet supported
liability = EuropeanBinaryOption(BrownianStock(), call=False)
BSEuropeanBinaryOption(liability)