def test_numerical_theta(self):
S = 49
K = 50
sigma = .2
r = .05
t = 0.3846
flag = 'p'
c_put = c_numerical.theta(flag, S, K, t, r, sigma)
py_put = py_numerical.theta(flag, S, K, t, r, sigma)
self.assertTrue(almost_equal(c_put, py_put))
flag = 'c'
c_call = c_numerical.theta(flag, S, K, t, r, sigma)
py_call = py_numerical.theta(flag, S, K, t, r, sigma)
self.assertTrue(almost_equal(c_call, py_call))
def test_analytical_vega(self):
S = 49
K = 50
sigma = .2
r = .05
t = 0.3846
flag = 'p'
c_put = c_analytical.vega(flag, S, K, t, r, sigma)
py_put = py_analytical.vega(flag, S, K, t, r, sigma)
self.assertTrue(almost_equal(c_put, py_put))
flag = 'c'
c_call = c_analytical.vega(flag, S, K, t, r, sigma)
py_call = py_analytical.vega(flag, S, K, t, r, sigma)
self.assertTrue(almost_equal(c_call, py_call))
def test_analytical_vega(self):
F = 100
K = 90
sigma = .2
r = .02
t = .5
flag = 'p'
c_put = c_analytical.vega(flag, F, K, t, r, sigma)
py_put = py_analytical.vega(flag, F, K, t, r, sigma)
self.assertTrue(almost_equal(c_put, py_put))
flag = 'c'
c_call = c_analytical.vega(flag, F, K, t, r, sigma)
py_call = py_analytical.vega(flag, F, K, t, r, sigma)
self.assertTrue(almost_equal(c_call, py_call))
def test_numerical_theta(self):
F = 100
K = 90
sigma = .2
r = .02
t = .5
flag = 'p'
c_put = c_numerical.theta(flag, F, K, t, r, sigma)
py_put = py_numerical.theta(flag, F, K, t, r, sigma)
self.assertTrue(almost_equal(c_put, py_put))
flag = 'c'
c_call = c_numerical.theta(flag, F, K, t, r, sigma)
py_call = py_numerical.theta(flag, F, K, t, r, sigma)
self.assertTrue(almost_equal(c_call, py_call))
def test_numerical_rho(self):
S = 49
K = 50
sigma = .2
r = .05
t = 0.3846
q = 0.2
flag = 'p'
c_put = c_numerical.rho(flag, S, K, t, r, sigma, q)
py_put = py_numerical.rho(flag, S, K, t, r, sigma, q)
self.assertTrue(almost_equal(c_put, py_put))
flag = 'c'
c_call = c_numerical.rho(flag, S, K, t, r, sigma, q)
py_call = py_numerical.rho(flag, S, K, t, r, sigma, q)
self.assertTrue(almost_equal(c_call, py_call))
def test_black_call(self):
F = 100
K = 90
sigma = .2
r = .02
t = .5
flag = 'c'
c_price = c_black(flag, F, K, t, r, sigma)
py_price = py_black(flag, F, K, t, r, sigma)
self.assertTrue(almost_equal(c_price, py_price))
def test_black_scholes_call(self):
S = 100
K = 90
r = .01
t = .5
sigma = .2
flag = 'c'
c_price = c_black_scholes(flag, S, K, t, r, sigma)
py_price = py_black_scholes(flag, S, K, t, r, sigma)
self.assertTrue(almost_equal(c_price, py_price))
def test_black_call(self):
S = 100
K = 95
r = .01
q = .05
t = .5
sigma = .2
flag = 'c'
c_price = c_black_scholes_merton(flag, S, K, t, r, sigma, q)
py_price = py_black_scholes_merton(flag, S, K, t, r, sigma, q)
self.assertTrue(almost_equal(c_price, py_price))
def test_implied_volatility_call(self):
F = 100
K = 100
sigma = .2
t = .5
r = .02
flag = 'c'
c_price = c_black(flag, F, K, t, r, sigma)
py_price = py_black(flag, F, K, t, r, sigma)
c_iv = c_implied_volatility(c_price, F, K, t, r, flag)
py_iv = py_implied_volatility(py_price, F, K, t, r, flag)
self.assertTrue(almost_equal(c_iv, py_iv))
def test_implied_volatility_call(self):
S = 100
K = 100
sigma = .232323232
t = .5
r = .01
flag = 'c'
c_price = c_black_scholes(flag, S, K, t, r, sigma)
py_price = py_black_scholes(flag, S, K, t, r, sigma)
c_iv = c_implied_volatility(c_price, S, K, t, r, flag)
py_iv = py_implied_volatility(py_price, S, K, t, r, flag)
self.assertTrue(almost_equal(c_iv, py_iv))
