def test_integrate_expected_vaue_function(self):
leg1 = {}
leg1['option'] = {
'type': 'Call',
'strike': 100,
'price': 5
}
leg1['direction'] = 'Long'
option_position = [
leg1
]
pdf = lambda x: 1.0 / 15.0 # uniform
result = integrate.quad(
lambda x: option_position_metrics.expected_value_function(
x, option_position, pdf),
105,
115)
self.assertAlmostEqual(3.3333, result[0], 4)
leg1['direction'] = 'Short'
expected_result = -3.3333
actual_result = integrate.quad(
lambda x: option_position_metrics.expected_value_function(
x, option_position, pdf),
105,
115)
self.assertAlmostEqual(expected_result, actual_result[0], 4)
def test_expected_value_function(self):
pdf = lambda x: 1.0 / 15.0 # uniform
leg1 = {}
leg1['option'] = {'type': 'Call', 'strike': 100, 'price': 5}
leg1['direction'] = 'Long'
option_position = [leg1]
asset_price = 115
expected_result = 2.0 / 3.0
actual_result = option_position_metrics.expected_value_function(
asset_price, option_position, pdf)
self.assertAlmostEqual(expected_result, actual_result, 4)
leg1['direction'] = 'Short'
expected_result = -2.0 / 3.0
actual_result = option_position_metrics.expected_value_function(
asset_price, option_position, pdf)
self.assertAlmostEqual(expected_result, actual_result, 4)
def test_integrate_expected_vaue_function(self):
leg1 = {}
leg1['option'] = {'type': 'Call', 'strike': 100, 'price': 5}
leg1['direction'] = 'Long'
option_position = [leg1]
pdf = lambda x: 1.0 / 15.0 # uniform
result = integrate.quad(
lambda x: option_position_metrics.expected_value_function(
x, option_position, pdf), 105, 115)
self.assertAlmostEqual(3.3333, result[0], 4)
leg1['direction'] = 'Short'
expected_result = -3.3333
actual_result = integrate.quad(
lambda x: option_position_metrics.expected_value_function(
x, option_position, pdf), 105, 115)
self.assertAlmostEqual(expected_result, actual_result[0], 4)
def test_expected_value_function(self):
pdf = lambda x: 1.0 / 15.0 # uniform
leg1 = {}
leg1['option'] = {
'type': 'Call',
'strike': 100,
'price': 5
}
leg1['direction'] = 'Long'
option_position = [
leg1
]
asset_price = 115
expected_result = 2.0 / 3.0
actual_result = option_position_metrics.expected_value_function(asset_price, option_position, pdf)
self.assertAlmostEqual(expected_result, actual_result, 4)
leg1['direction'] = 'Short'
expected_result = -2.0 / 3.0
actual_result = option_position_metrics.expected_value_function(asset_price, option_position, pdf)
self.assertAlmostEqual(expected_result, actual_result, 4)
