def test_blackscholes_stock_call(self):
bs_stock_call_data1 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '0.5434',
'Risk-Free Rate': '-0.0045',
'Days To Expiry': '305.1700',
'Strike': '0.7103',
'Option Type': 'Call',
'Model Type': 'BlackScholes',
'Market Price': '-0.01'
}
bs_stock_call_data2 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '0.5434',
'Risk-Free Rate': '-0.0045',
'Days To Expiry': '305.1700',
'Strike': '0.7103',
'Option Type': 'Call',
'Model Type': 'BlackScholes',
'Market Price': '0.09794149'
}
bs_stock_call_data3 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '0.5434',
'Risk-Free Rate': '-0.0045',
'Days To Expiry': '305.1700',
'Strike': '0.7103',
'Option Type': 'Call',
'Model Type': 'BlackScholes',
'Market Price': '0.55'
}
# would require sigma < 0
self.assertTrue(
isnan(
tc.BlackScholes(
bs_stock_call_data1).implied_volatility_stock()))
# sigma exists
self.assertTrue(
isclose(
tc.BlackScholes(
bs_stock_call_data2).implied_volatility_stock(),
0.758711204696251))
# would require sigma > 1000, which is above the limit that I chose
self.assertTrue(
isnan(
tc.BlackScholes(
bs_stock_call_data3).implied_volatility_stock()))
def test_blackscholes_future_put(self):
bs_future_put_data1 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '0.1855',
'Risk-Free Rate': '-0.0000',
'Days To Expiry': '279.5115',
'Strike': '0.2021',
'Option Type': 'Put',
'Model Type': 'BlackScholes',
'Market Price': '0.000103566'
}
bs_future_put_data2 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '0.1855',
'Risk-Free Rate': '-0.0000',
'Days To Expiry': '279.5115',
'Strike': '0.2021',
'Option Type': 'Put',
'Model Type': 'BlackScholes',
'Market Price': '0.050103566'
}
bs_future_put_data3 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '0.1855',
'Risk-Free Rate': '-0.0000',
'Days To Expiry': '279.5115',
'Strike': '0.2021',
'Option Type': 'Put',
'Model Type': 'BlackScholes',
'Market Price': '0.250103566'
}
# no sigma exists to satisfy equation
self.assertTrue(
isnan(
tc.BlackScholes(
bs_future_put_data1).implied_volatility_stock()))
# sigma exists
self.assertTrue(
isclose(
tc.BlackScholes(
bs_future_put_data2).implied_volatility_stock(),
0.6178494422980207))
# would require sigma > 1000, which is above the limit that I chose
self.assertTrue(
isnan(
tc.BlackScholes(
bs_future_put_data3).implied_volatility_stock()))
def test_blackscholes_future_call(self):
bs_future_call_data1 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '1.3315',
'Risk-Free Rate': '-0.0007',
'Days To Expiry': '377.3859',
'Strike': '1.4348',
'Option Type': 'Call',
'Model Type': 'BlackScholes',
'Market Price': '-0.01'
}
bs_future_call_data2 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '1.3315',
'Risk-Free Rate': '-0.0007',
'Days To Expiry': '377.3859',
'Strike': '1.4348',
'Option Type': 'Call',
'Model Type': 'BlackScholes',
'Market Price': '0.21010422'
}
bs_future_call_data3 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '1.3315',
'Risk-Free Rate': '-0.0007',
'Days To Expiry': '377.3859',
'Strike': '1.4348',
'Option Type': 'Call',
'Model Type': 'BlackScholes',
'Market Price': '1.35'
}
# no sigma exists to satisfy equation
self.assertTrue(
isnan(
tc.BlackScholes(
bs_future_call_data1).implied_volatility_stock()))
# sigma exists
self.assertTrue(
isclose(
tc.BlackScholes(
bs_future_call_data2).implied_volatility_stock(),
0.46585749989521125))
# would require sigma > 1000, which is above the limit that I chose
self.assertTrue(
isnan(
tc.BlackScholes(
bs_future_call_data3).implied_volatility_stock()))
def test_blackscholes_stock_put(self):
bs_stock_put_data1 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '0.8714',
'Risk-Free Rate': '-0.0049',
'Days To Expiry': '211.8715',
'Strike': '0.9426',
'Option Type': 'Put',
'Model Type': 'BlackScholes',
'Market Price': '0.0370158'
}
bs_stock_put_data2 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '0.8714',
'Risk-Free Rate': '-0.0049',
'Days To Expiry': '211.8715',
'Strike': '0.9426',
'Option Type': 'Put',
'Model Type': 'BlackScholes',
'Market Price': '0.14370158'
}
bs_stock_put_data3 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '0.8714',
'Risk-Free Rate': '-0.0049',
'Days To Expiry': '211.8715',
'Strike': '0.9426',
'Option Type': 'Put',
'Model Type': 'BlackScholes',
'Market Price': '0.95'
}
# no sigma exists to satisfy equation
self.assertTrue(
isnan(
tc.BlackScholes(
bs_stock_put_data1).implied_volatility_stock()))
# sigma exists
self.assertTrue(
isclose(
tc.BlackScholes(bs_stock_put_data2).implied_volatility_stock(),
0.37290063720593675))
# would require sigma > 1000, which is above the limit that I chose
self.assertTrue(
isnan(
tc.BlackScholes(
bs_stock_put_data3).implied_volatility_stock()))
def test_bachelier_future_put(self):
bac_future_put_data1 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '1.8360',
'Risk-Free Rate': '-0.0031',
'Days To Expiry': '242.7474',
'Strike': '2.2491',
'Option Type': 'Put',
'Model Type': 'Bachelier',
'Market Price': '0.24574876'
}
bac_future_put_data2 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '1.8360',
'Risk-Free Rate': '-0.0031',
'Days To Expiry': '242.7474',
'Strike': '2.2491',
'Option Type': 'Put',
'Model Type': 'Bachelier',
'Market Price': '0.74574876'
}
bac_future_put_data3 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '1.8360',
'Risk-Free Rate': '-0.0031',
'Days To Expiry': '242.7474',
'Strike': '2.2491',
'Option Type': 'Put',
'Model Type': 'Bachelier',
'Market Price': '2.74574876'
}
# no sigma exists to satisfy equation
self.assertTrue(
isnan(
tc.BlackScholes(
bac_future_put_data1).implied_volatility_stock()))
# sigma exists
self.assertTrue(
isclose(
tc.Bachelier(bac_future_put_data2).implied_volatility_stock(),
0.69538421132548))
# would require sigma > 1000, which is above the limit that I chose
self.assertTrue(
isnan(
tc.BlackScholes(
bac_future_put_data3).implied_volatility_stock()))
def test_bachelier_future_call(self):
bac_future_call_data1 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '1.4597',
'Risk-Free Rate': '-0.0002',
'Days To Expiry': '65.8745',
'Strike': '1.4992',
'Option Type': 'Call',
'Model Type': 'Bachelier',
'Market Price': '-0.01'
}
bac_future_call_data2 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '1.4597',
'Risk-Free Rate': '-0.0002',
'Days To Expiry': '65.8745',
'Strike': '1.4992',
'Option Type': 'Call',
'Model Type': 'Bachelier',
'Market Price': '0.049442439'
}
bac_future_call_data3 = {
'ID': '0',
'Underlying Type': 'Future',
'Underlying': '1.4597',
'Risk-Free Rate': '-0.0002',
'Days To Expiry': '65.8745',
'Strike': '1.4992',
'Option Type': 'Call',
'Model Type': 'Bachelier',
'Market Price': '1.549442439'
}
# no sigma exists to satisfy equation
self.assertTrue(
isnan(
tc.BlackScholes(
bac_future_call_data1).implied_volatility_stock()))
# sigma exists
self.assertTrue(
isclose(
tc.Bachelier(bac_future_call_data2).implied_volatility_stock(),
0.2651761392457692))
# would require sigma > 1000, which is above the limit that I chose
self.assertTrue(
isnan(
tc.BlackScholes(
bac_future_call_data3).implied_volatility_stock()))
def test_bachelier_stock_put(self):
bac_stock_put_data1 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '1.5853',
'Risk-Free Rate': '-0.0003',
'Days To Expiry': '336.6476',
'Strike': '1.8868',
'Option Type': 'Put',
'Model Type': 'Bachelier',
'Market Price': '0.1068661'
}
bac_stock_put_data2 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '1.5853',
'Risk-Free Rate': '-0.0003',
'Days To Expiry': '336.6476',
'Strike': '1.8868',
'Option Type': 'Put',
'Model Type': 'Bachelier',
'Market Price': '0.6068661'
}
bac_stock_put_data3 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '1.5853',
'Risk-Free Rate': '-0.0003',
'Days To Expiry': '336.6476',
'Strike': '1.8868',
'Option Type': 'Put',
'Model Type': 'Bachelier',
'Market Price': '2.0'
}
# no sigma exists to satisfy equation
self.assertTrue(
isnan(
tc.BlackScholes(
bac_stock_put_data1).implied_volatility_stock()))
# sigma exists
self.assertTrue(
isclose(
tc.Bachelier(bac_stock_put_data2).implied_volatility_stock(),
0.6077171262336497))
# would require sigma > 1000, which is above the limit that I chose
self.assertTrue(
isnan(
tc.BlackScholes(
bac_stock_put_data3).implied_volatility_stock()))
def test_bachelier_stock_call(self):
bac_stock_call_data1 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '1.1975',
'Risk-Free Rate': '-0.0023',
'Days To Expiry': '190.1082',
'Strike': '1.4481',
'Option Type': 'Call',
'Model Type': 'Bachelier',
'Market Price': '-0.01'
}
bac_stock_call_data2 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '1.1975',
'Risk-Free Rate': '-0.0023',
'Days To Expiry': '190.1082',
'Strike': '1.4481',
'Option Type': 'Call',
'Model Type': 'Bachelier',
'Market Price': '0.3641165'
}
bac_stock_call_data3 = {
'ID': '0',
'Underlying Type': 'Stock',
'Underlying': '1.1975',
'Risk-Free Rate': '-0.0023',
'Days To Expiry': '190.1082',
'Strike': '1.4481',
'Option Type': 'Call',
'Model Type': 'Bachelier',
'Market Price': '1.2641165'
}
# no sigma exists to satisfy equation
self.assertTrue(
isnan(
tc.BlackScholes(
bac_stock_call_data1).implied_volatility_stock()))
# sigma exists
self.assertTrue(
isclose(
tc.Bachelier(bac_stock_call_data2).implied_volatility_stock(),
1.1493242378562218))
# would require sigma > 1000, which is above the limit that I chose
self.assertTrue(
isnan(
tc.BlackScholes(
bac_stock_call_data3).implied_volatility_stock()))