def test_eu_call_opt_with_mp(self):
'''Run the same test but in multiprocess mode
'''
mc = MonteCarlo(50, 52, 0.05, 2, 0.3)
self.assertAlmostEqual(
6.7601, mc.run(OptionType.PUT, 300000, 4),
1) # 4 processes seems to be the fastest on a quad-core pc
def test_eu_call_opt(self):
'''2-year European put option, spot price 50, strike 52
risk-free rate 5%, volatility 30%
'''
mc = MonteCarlo(50, 52, 0.05, 2, 0.3)
self.assertAlmostEqual(6.7601, mc.run(OptionType.PUT, 300000, 0),
1) # single process
def test_eu_call_opt_with_mp(self):
'''Run the same test but in multiprocess mode
'''
mc = MonteCarlo(50, 52, 0.05, 2, 0.3)
self.assertAlmostEqual(6.7601, mc.run(OptionType.PUT, 300000, 4), 1) # 4 processes seems to be the fastest on a quad-core pc
def test_eu_call_opt(self):
'''2-year European put option, spot price 50, strike 52
risk-free rate 5%, volatility 30%
'''
mc = MonteCarlo(50, 52, 0.05, 2, 0.3)
self.assertAlmostEqual(6.7601, mc.run(OptionType.PUT, 300000, 0), 1) # single process