def test_model_cache(self):
opt = Option(opt_type=OptionType.CALL,
spot0=90,
strike=100,
mat=3.0 / 12,
vol=0.35,
riskless_rate=0.10,
yield_=0.025)
self.assertEquals(0, len(opt.model_cache))
self.assertAlmostEquals(
3.19,
opt.run_model(
model=OptionModel.BINOMIAL_TREE)[OptionMeasure.VALUE],
delta=0.01)
self.assertEquals([OptionModel.BINOMIAL_TREE], opt.model_cache.keys())
self.assertAlmostEquals(
3.19,
opt.run_model(
model=OptionModel.BINOMIAL_TREE)[OptionMeasure.VALUE],
delta=0.01)
opt.model_cache[OptionModel.BINOMIAL_TREE][OptionMeasure.VALUE] = 42.42
self.assertAlmostEquals(
42.42,
opt.run_model(
model=OptionModel.BINOMIAL_TREE)[OptionMeasure.VALUE],
delta=0.01)
opt.vol = 0.55
self.assertAlmostEquals(
6.76,
opt.run_model(
model=OptionModel.BINOMIAL_TREE)[OptionMeasure.VALUE],
delta=0.01)
def test_model_cache(self):
opt = Option(opt_type=OptionType.CALL, spot0=90, strike=100, mat=3.0 / 12,
vol=0.35, riskless_rate=0.10, yield_=0.025)
self.assertEquals(0, len(opt.model_cache))
self.assertAlmostEquals(3.19, opt.run_model(model=OptionModel.BINOMIAL_TREE)[OptionMeasure.VALUE], delta=0.01)
self.assertEquals([OptionModel.BINOMIAL_TREE], opt.model_cache.keys())
self.assertAlmostEquals(3.19, opt.run_model(model=OptionModel.BINOMIAL_TREE)[OptionMeasure.VALUE], delta=0.01)
opt.model_cache[OptionModel.BINOMIAL_TREE][OptionMeasure.VALUE] = 42.42
self.assertAlmostEquals(42.42, opt.run_model(model=OptionModel.BINOMIAL_TREE)[OptionMeasure.VALUE], delta=0.01)
opt.vol = 0.55
self.assertAlmostEquals(6.76, opt.run_model(model=OptionModel.BINOMIAL_TREE)[OptionMeasure.VALUE], delta=0.01)
