def test_UpAndOut_pricer(self):
"""
test that path dependent pricer works for up and out option
with discrete barrier data
"""
num_paths = 500000
#Construct option
barrier = 108.
payoff = VanillaCall(Strike=self.Strike)
#look at times
look_at_times = list(np.linspace(start=0, stop=self.Expiry, num=12))
option_parameters = {
'payoff': payoff,
'look_at_times': look_at_times,
'Expiry': self.Expiry,
'Barrier': barrier
}
ao = UpAndOutCall(option_parameters)
#Construct market parameters for path generation
market_params = {'spot': self.Spot, 'rate': self.rate, 'vol': self.Vol}
path_generator = GeneratorGBM(market_params)
#Construct Pricer parameters
#Note includes path generator
gatherer = SDGatherer()
pricer_parameters = {
'path_generator': path_generator,
'num_paths': num_paths,
'gatherer': gatherer
}
#Contruct pricer
pd_pricer = PathDependentMCPricer(pricer_parameters)
#Do trade
price = pd_pricer.do_trade(ao)
print "MC up and out call price ", price
self.assertAlmostEqual(first=0.2096, second=price,
places=2) #, msg, delta)
def test_AsianArithmetic_pricer(self):
"""
test that asian arithmetic option pricer works
"""
num_paths = 500000
payoff = VanillaCall(Strike=self.Strike)
#look at times
look_at_times = list(np.linspace(start=0, stop=self.Expiry, num=12))
#Contruct Option
option_parameters = {
'payoff': payoff,
'look_at_times': look_at_times,
'Expiry': self.Expiry
}
ao = AsianArithmeticOption(option_parameters)
#Construct market parameters for path generation
market_params = {'spot': self.Spot, 'rate': self.rate, 'vol': self.Vol}
path_generator = GeneratorGBM(market_params)
#Construct Pricer parameters
#Note includes path generator
gatherer = SDGatherer()
pricer_parameters = {
'path_generator': path_generator,
'num_paths': num_paths,
'gatherer': gatherer
}
#Contruct pricer
pd_pricer = PathDependentMCPricer(pricer_parameters)
#Do trade
price = pd_pricer.do_trade(ao)
print "MC Asian opt price ", price
self.assertAlmostEqual(first=2.015, second=price,
places=2) #, msg, delta)
