def test_greeks(self):
"""
From Matlab help for blsdelta, blsgamma
"""
c, p = blsprice(spot=50,
strike=50,
risk_free_rate=.1,
time=0.25,
volatility=.3,
option_type=('Call', 'Put'),
calc='delta')
matlab_c = 0.5955
matlab_p = -0.4045
self.assertAlmostEqual(c, matlab_c, 3)
self.assertAlmostEqual(p, matlab_p, 3)
g = blsprice(spot=50,
strike=50,
risk_free_rate=.12,
time=0.25,
volatility=.3,
option_type='Call',
calc='gamma')
matlab_g = 0.0512
self.assertAlmostEqual(g, matlab_g, 3)
def test_blsprice(self):
"""
from maltab documentation of blsprice
"""
p = blsprice(spot=585,
strike=600,
risk_free_rate=.05,
time=1 / 4.,
volatility=.25,
option_type=('Call', 'Put'),
dividend=0.045)
self.assertAlmostEqual(p[0], 22.6716, 3)
self.assertAlmostEqual(p[1], 36.7626, 3)
v = blsimpv(p,
spot=585,
strike=600,
risk_free_rate=.05,
time=1 / 4.,
option_type=('Call', 'Put'),
dividend=0.045)
self.assertAlmostEqual(v[0], .25, 3)
self.assertAlmostEqual(v[1], .25, 3)
def test_blsprice(self):
from quantlib.settings import Settings
from quantlib.time.api import today
Settings.instance().evaluation_date = today()
call_value = blsprice(100.0, 97.0, 0.1, 0.25, 0.5)
self.assertAlmostEquals(call_value, 12.61, 2)
def test_blsprice(self):
from quantlib.settings import Settings
from quantlib.time.api import today
Settings.instance().evaluation_date = today()
call_value = blsprice(100.0, 97.0, 0.1, 0.25, 0.5)
self.assertAlmostEquals(call_value, 12.61, 2)
def test_greeks(self):
"""
From Matlab help for blsdelta, blsgamma
"""
c, p = blsprice(
spot=50, strike=50, risk_free_rate=0.1, time=0.25, volatility=0.3, option_type=("Call", "Put"), calc="delta"
)
matlab_c = 0.5955
matlab_p = -0.4045
self.assertAlmostEqual(c, matlab_c, 3)
self.assertAlmostEqual(p, matlab_p, 3)
g = blsprice(
spot=50, strike=50, risk_free_rate=0.12, time=0.25, volatility=0.3, option_type="Call", calc="gamma"
)
matlab_g = 0.0512
self.assertAlmostEqual(g, matlab_g, 3)
def test_blsprice(self):
"""
from maltab documentation of blsprice
"""
p = blsprice(spot=585, strike=600, risk_free_rate=.05,
time=1 / 4., volatility=.25,
option_type=('Call', 'Put'),
dividend=0.045)
self.assertAlmostEquals(p[0], 22.6716, 3)
self.assertAlmostEquals(p[1], 36.7626, 3)
v = blsimpv(p, spot=585, strike=600, risk_free_rate=.05,
time=1 / 4.,
option_type=('Call', 'Put'),
dividend=0.045)
self.assertAlmostEquals(v[0], .25, 3)
self.assertAlmostEquals(v[1], .25, 3)
def test_blsprice(self):
Settings.instance().evaluation_date = today()
call_value = blsprice(100.0, 97.0, 0.1, 0.25, 0.5)
self.assertAlmostEquals(call_value, 12.61, 2)
