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)
def test_moneyness(self):
"""Test conversion to moneyness."""
price, strike, riskfree, time = 1, 1, 0, .5
moneyness = lfmoneyness(price, strike, riskfree, time)
self.assertEqual(moneyness, 0)
price, riskfree, time = 1, 0, .5
strike = [1, np.e]
moneyness = lfmoneyness(price, strike, riskfree, time)
np.testing.assert_array_equal(moneyness, np.array([0, 1]))
strike, riskfree, time = 1, 0, .5
price = [1, np.e]
moneyness = lfmoneyness(price, strike, riskfree, time)
np.testing.assert_array_equal(moneyness, np.array([0, -1]))