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# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
# Guillaume Lefieux
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import sys
import numpy as np
sys.path.append("..")
from financepy.models.FinModelBlack import FinModelBlack
from financepy.finutils.FinGlobalTypes import FinOptionTypes
from FinTestCases import FinTestCases, globalTestCaseMode
testCases = FinTestCases(__file__, globalTestCaseMode)
def test_Black():
forward = 0.034
strike = 0.050
riskFreeIR = 0.00
timeToExpiry = 2.0
volatility = 0.20
testCases.header("ITEM", "CALL", "PUT")
callOptionType = FinOptionTypes.EUROPEAN_CALL
putOptionType = FinOptionTypes.EUROPEAN_PUT
df = np.exp(-riskFreeIR * timeToExpiry)
model = FinModelBlack(volatility)
import numpy as np
import matplotlib.pyplot as plt
import sys
sys.path.append("..")
from financepy.finutils.FinGlobalTypes import FinOptionTypes
from financepy.products.equity.FinEquityVanillaOption import FinEquityVanillaOption
from financepy.market.curves.FinDiscountCurveFlat import FinDiscountCurveFlat
from financepy.models.FinModelBlackScholes import FinModelBlackScholes
from financepy.finutils.FinDate import FinDate
from FinTestCases import FinTestCases, globalTestCaseMode
testCases = FinTestCases(__file__, globalTestCaseMode)
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def test_FinNumbaNumpySpeed(useSobol):
valueDate = FinDate(1, 1, 2015)
expiryDate = FinDate(1, 7, 2015)
stockPrice = 100
volatility = 0.30
interestRate = 0.05
dividendYield = 0.01
seed = 1999
model = FinModelBlackScholes(volatility)
