def test_implied_volatility(self):
self.assertAlmostEquals(0.30, Option.imply_volatility(10.10, opt_type=OptionType.PUT, spot0=90, strike=100, mat=1.0 / 12,
riskless_rate=0.10), delta=0.01)
self.assertAlmostEquals(0.52, Option.imply_volatility(2.25, opt_type=OptionType.CALL, spot0=90, strike=100, mat=1.0 / 12,
riskless_rate=0.10), delta=0.01)
premium = 10.10
opt_kwargs = {
'opt_type': OptionType.PUT,
'spot0': 90,
'strike': 100,
'mat': 1.0 / 12,
'riskless_rate': 0.10,
}
self.assertAlmostEquals(0.30, Option.imply_volatility(premium, **opt_kwargs), delta=0.01)
opt_kwargs['vol'] = Option.imply_volatility(premium, **opt_kwargs)
self.assertAlmostEquals(premium, Option(**opt_kwargs).run_model(model=OptionModel.BINOMIAL_TREE)[OptionMeasure.VALUE], delta=0.01)
def test_implied_volatility(self):
self.assertAlmostEquals(0.30,
Option.imply_volatility(
10.10,
opt_type=OptionType.PUT,
spot0=90,
strike=100,
mat=1.0 / 12,
riskless_rate=0.10),
delta=0.01)
self.assertAlmostEquals(0.52,
Option.imply_volatility(
2.25,
opt_type=OptionType.CALL,
spot0=90,
strike=100,
mat=1.0 / 12,
riskless_rate=0.10),
delta=0.01)
premium = 10.10
opt_kwargs = {
'opt_type': OptionType.PUT,
'spot0': 90,
'strike': 100,
'mat': 1.0 / 12,
'riskless_rate': 0.10,
}
self.assertAlmostEquals(0.30,
Option.imply_volatility(premium, **opt_kwargs),
delta=0.01)
opt_kwargs['vol'] = Option.imply_volatility(premium, **opt_kwargs)
self.assertAlmostEquals(
premium,
Option(**opt_kwargs).run_model(
model=OptionModel.BINOMIAL_TREE)[OptionMeasure.VALUE],
delta=0.01)
