def test_vol_types(self):
"""Test correctness of types."""
moneyness, maturity, premium, call = 0, .3, .05, True
vol = imp_vol(moneyness, maturity, premium, call)
self.assertIsInstance(vol, np.ndarray)
self.assertEqual(vol.shape, (1,))
moneyness, maturity, premium, call = [-.1, .1], .3, .05, True
vol = imp_vol(moneyness, maturity, premium, call)
self.assertIsInstance(vol, np.ndarray)
self.assertEqual(vol.shape, (2,))
def test_vol_values(self):
"""Test values of implied volatility."""
premium = .024
price = 1
strike = 1
riskfree = .02
maturity = 30/365
call = True
moneyness = lfmoneyness(price, strike, riskfree, maturity)
vol = imp_vol(moneyness, maturity, premium, call)
self.assertAlmostEqual(float(vol), .2, 2)
strike = [1, .95]
premium = [.024, .057]
moneyness = lfmoneyness(price, strike, riskfree, maturity)
vol = imp_vol(moneyness, maturity, premium, call)
np.testing.assert_array_almost_equal(vol, [.2, .2], 2)
