def test_barrier_parity(self):
current_price = 100.0
interest_rate = 0.05
vol = 0.2
strike = 120.0
barrier = 150.0
maturity = 1.0
put_up_in_price = util.black_scholes_up_in_put_price(
current_price, interest_rate, vol, strike, barrier, maturity)
put_up_out_price = util.black_scholes_up_out_put_price(
current_price, interest_rate, vol, strike, barrier, maturity)
put_price = util.black_scholes_put_price(current_price, interest_rate,
vol, strike, maturity)
with self.test_session() as session:
put_up_in_price_eval = session.run(put_up_in_price)
put_up_out_price_eval = session.run(put_up_out_price)
put_price_eval = session.run(put_price)
self.assertGreater(put_up_in_price_eval, 0.0)
self.assertGreater(put_up_out_price_eval, 0.0)
self.assertAlmostEqual(put_up_in_price_eval + put_up_out_price_eval,
put_price_eval,
delta=1e-5)
def test_call_put_parity(self):
current_price = 100.0
interest_rate = 0.05
vol = 0.2
strike = 120.0
maturity = 1.0
call_price = util.black_scholes_call_price(current_price,
interest_rate, vol, strike,
maturity)
put_price = util.black_scholes_put_price(current_price, interest_rate,
vol, strike, maturity)
total_price = current_price - strike * tf.exp(
-interest_rate * maturity)
with self.test_session() as session:
call_price_eval = session.run(call_price)
put_price_eval = session.run(put_price)
total_price_eval = session.run(total_price)
self.assertGreater(call_price_eval, 0.0)
self.assertGreater(put_price_eval, 0.0)
self.assertAlmostEqual(call_price_eval - put_price_eval,
total_price_eval,
delta=1e-5)