def test_point_case3(self):
self.option_property['strike'] = 0.00001
self.option_property['type'] = 'call'
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
call_price = utils.call(self.method, self.params)
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
put_price = utils.call(self.method, self.params)
df_r = math.exp(-self.params['r'] * 0.9993155373)
df_q = math.exp(-self.params['q'] * 0.9993155373)
d1 = (math.log(self.params['spot'] / self.option_property['strike']) +
0.9993155373 *
(self.params['r'] +
(self.params['vol']**2.) * 0.5)) / (self.params['vol'] *
math.sqrt(0.9993155373))
d2 = d1 - self.params['vol'] * math.sqrt(0.9993155373)
self.assertAlmostEqual(
self.params['spot'] * df_q * norm.cdf(d1) -
self.option_property['strike'] * df_r * norm.cdf(d2),
call_price,
places=10)
self.assertAlmostEqual(
self.option_property['strike'] * df_r * norm.cdf(-d2) -
self.params['spot'] * df_q * norm.cdf(-d1),
put_price,
places=10)
def test_call_price_case2(self):
self.params['spot'] = 95.
self.option_property['direction'] = 'down_and_out'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
black_out_price = utils.call('qlOptionCalcBlack', self.params)
pde_out_price = utils.call('qlOptionCalcPDE', self.params)
self.option_property['direction'] = 'down_and_in'
self.params['instrument'] = instruments.knock_in_continuous(
self.option_property)
black_in_price = utils.call('qlOptionCalcBlack', self.params)
pde_in_price = utils.call('qlOptionCalcPDE', self.params)
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
black_euro_price = utils.call('qlOptionCalcBlack', self.params)
pde_euro_price = utils.call('qlOptionCalcPDE', self.params)
rebate = self.option_property['rebate_amount']
r = self.params['r']
eps = self.params['spot'] * 1e-5
self.assertAlmostEqual(pde_euro_price - pde_out_price +
rebate * exp(-r * 0.9993),
pde_in_price,
delta=eps)
def test_limit_case4(self):
self.option_property['strike'] = 1e-11
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
put_price = utils.call(self.method, self.params)
self.assertAlmostEqual(put_price, 0., places=10)
def test_ex_case1(self):
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
self.params['vol'] = 0.0
pde_price = utils.call(self.method, self.params)
black_price = utils.call('qlOptionCalcBlack', self.params)
eps = self.params['spot'] * 1e-4
self.assertAlmostEqual(pde_price, black_price, delta=eps)
def test_call_price_case1(self):
self.params['instrument'] = instruments.knock_in_continuous(self.option_property)
self.params['spot'] = 90.
price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(self.option_property)
vanilla_price = utils.call(self.method, self.params)
self.assertAlmostEqual(vanilla_price, price, places=9)
def test_put_price_case3(self):
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
self.params['spot'] = 200.
pde_price = utils.call(self.method, self.params)
black_price = utils.call('qlOptionCalcBlack', self.params)
eps = self.params['spot'] * 1e-5
self.assertAlmostEqual(pde_price, black_price, delta=eps)
def test_limit_case3(self):
self.params['spot'] = 1e-11
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
put_price = utils.call(self.method, self.params)
self.assertAlmostEqual(put_price,
self.option_property['strike'] *
math.exp(-0.9993155373 * self.params['r']),
places=10)
def test_exotic_case18(self):
self.params['valDate'] = '2017-08-08T00:00:00'
self.option_property['strike'] = 77.
self.option_property['type'] = 'call'
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
call_price = utils.call(self.method, self.params)
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
put_price = utils.call(self.method, self.params)
self.assertAlmostEqual(
call_price,
max(self.params['spot'] - self.option_property['strike'], 0.),
places=10)
self.assertAlmostEqual(
put_price,
max(self.option_property['strike'] - self.params['spot'], 0.),
places=10)
def test_call_price_case1(self):
self.params['q'] = 0
self.params['instrument'] = instruments.vanilla_american(
self.option_property)
american_price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
european_price = utils.call(self.method, self.params)
self.assertAlmostEqual(american_price, european_price, places=15)
def test_down_limit_call(self):
self.option_property['barrier'] = 0.01
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
tree_price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
vanilla_price = utils.call(self.method, self.params)
eps = self.params['spot'] * 1e-5
self.assertAlmostEqual(tree_price, vanilla_price, delta=eps)
def test_barrier_lower_limit_case1(self):
self.option_property['barrier'] = 0.01
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
knock_out_price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
vanilla_price = utils.call(self.method, self.params)
self.assertAlmostEqual(knock_out_price, vanilla_price, places=9)
def test_in_out_parity(self):
self.option_property['rebate_amount'] = 0.
self.params['instrument'] = instruments.knock_in_continuous(self.option_property)
in_price = utils.call(self.method, self.params)
self.option_property['direction'] = 'down_and_out'
self.params['instrument'] = instruments.knock_out_continuous(self.option_property)
out_price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(self.option_property)
vanilla_price = utils.call(self.method, self.params)
self.assertAlmostEqual(out_price+in_price-vanilla_price, 0.0, places=9)
def test_barrier_upper_limit_case2(self):
self.option_property['barrier'] = 1000.
self.option_property['direction'] = 'up_and_out'
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
knock_out_price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
vanilla_price = utils.call(self.method, self.params)
self.assertAlmostEqual(knock_out_price, vanilla_price, places=9)
def test_exotic_case3(self):
self.params['vol'] = 0.
self.params['spot'] = 1.
self.option_property['type'] = 'call'
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
call_price = utils.call(self.method, self.params)
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
put_price = utils.call(self.method, self.params)
df_r = math.exp(-self.params['r'] * 0.9993155373)
df_q = math.exp(-self.params['q'] * 0.9993155373)
self.assertAlmostEqual(call_price,
max(
0, self.params['spot'] * df_q -
self.option_property['strike'] * df_r),
places=10)
self.assertAlmostEqual(put_price,
max(
self.option_property['strike'] * df_r -
self.params['spot'] * df_q, 0),
places=10)
def test_exotic_case2(self):
self.params['vol'] = 0.
self.params['valDate'] = '2017-01-01T00:00:00'
self.option_property['type'] = 'call'
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
call_price = utils.call(self.method, self.params)
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
put_price = utils.call(self.method, self.params)
df_r = math.exp(-self.params['r'] * 219. / 365.25)
df_q = math.exp(-self.params['q'] * 219. / 365.25)
self.assertAlmostEqual(call_price,
max(
0, self.params['spot'] * df_q -
self.option_property['strike'] * df_r),
places=10)
self.assertAlmostEqual(put_price,
max(
self.option_property['strike'] * df_r -
self.params['spot'] * df_q, 0),
places=10)
def test_parity(self):
self.option_property['rebate_amount'] = 0
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
knock_out_price = utils.call(self.method, self.params)
self.option_property['direction'] = 'down_and_in'
self.params['instrument'] = instruments.knock_in_continuous(
self.option_property)
knock_in_price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
vanilla_price = utils.call(self.method, self.params)
self.assertAlmostEqual(knock_out_price + knock_in_price,
vanilla_price,
delta=0)
