def test_ex3_call(self):
self.params['r'] = -10.
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(21.11111111111111, price, places=15)
def test_ex6_call(self):
self.params['q'] = 10.
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(19.98911500679125, price, places=15)
def test_ex5_call(self):
self.params['q'] = -10.
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(2078150.134764752, price, places=15)
def test_ex4_call(self):
self.params['r'] = 10.
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(94.99542668240535, price, places=15)
def test_ex2_call(self):
self.params['valDate'] = '2017-08-08T00:00:00'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(0, price, places=15)
def test_call_price_case2(self):
self.params['spot'] = 95.
self.option_property['direction'] = 'down_and_out'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
black_out_price = utils.call('qlOptionCalcBlack', self.params)
pde_out_price = utils.call('qlOptionCalcPDE', self.params)
self.option_property['direction'] = 'down_and_in'
self.params['instrument'] = instruments.knock_in_continuous(
self.option_property)
black_in_price = utils.call('qlOptionCalcBlack', self.params)
pde_in_price = utils.call('qlOptionCalcPDE', self.params)
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
black_euro_price = utils.call('qlOptionCalcBlack', self.params)
pde_euro_price = utils.call('qlOptionCalcPDE', self.params)
rebate = self.option_property['rebate_amount']
r = self.params['r']
eps = self.params['spot'] * 1e-5
self.assertAlmostEqual(pde_euro_price - pde_out_price +
rebate * exp(-r * 0.9993),
pde_in_price,
delta=eps)
def test_put_price_case3(self):
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
self.params['spot'] = 100.
price = utils.call(self.method, self.params)
self.assertAlmostEqual(11.621517755, price, places=9)
def test_call_price_case3(self):
self.params['spot'] = 110.
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
pde_price = utils.call(self.method, self.params)
rebate = self.option_property['rebate_amount']
self.assertAlmostEqual(pde_price, rebate, places=15)
def test_ex2_put(self):
self.params['valDate'] = '2017-08-08T00:00:00'
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
pde_price = utils.call(self.method, self.params)
price = max(self.option_property['strike'] - self.params['spot'], 0)
self.assertAlmostEqual(pde_price, price, places=15)
def test_put_price_case1(self):
self.option_property['type'] = 'put'
self.params['spot'] = 90.
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
tree_price = utils.call(self.method, self.params)
rebate = self.option_property['rebate_amount']
self.assertAlmostEqual(tree_price, rebate, places=15)
def test_ex5_put(self):
self.params['q'] = -10.
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(5.434851880526098e-07, price, places=15)
def test_ex4_put(self):
self.params['r'] = 10.
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(6.124622476393796e-07, price, places=15)
def test_call_price_case2(self):
self.params['spot'] = 105.
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
pde_price = utils.call(self.method, self.params)
black_price = utils.call('qlOptionCalcBlack', self.params)
eps = self.params['spot'] * 1e-5
self.assertAlmostEqual(pde_price, black_price, delta=eps)
def test_ex9_call(self):
self.params['vol'] = 1e-6
self.params['r'] = 0
self.params['q'] = 0
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(0, price, places=15)
def test_ex1_put(self):
self.params['vol'] = 0.0
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
pde_price = utils.call(self.method, self.params)
black_price = utils.call('qlOptionCalcBlack', self.params)
eps = self.params['spot'] * 1e-5
self.assertAlmostEqual(pde_price, black_price, delta=eps)
def test_put_price_case1(self):
self.option_property['type'] = 'put'
self.params['spot'] = 100.
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
tree_price = utils.call(self.method, self.params)
black_price = utils.call('qlOptionCalcBlack', self.params)
eps = self.params['spot'] * 1e-3
self.assertAlmostEqual(tree_price, black_price, delta=eps)
def test_ex8_put(self):
self.params['vol'] = 1e-6
self.params['r'] = -10.
self.params['q'] = 0.
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
price = utils.call(self.method, self.params)
self.assertAlmostEqual(21.11111111111111, price, places=15)
def test_ex1_put(self):
self.params['vol'] = 0
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
price1 = utils.call(self.method, self.params)
self.params['vol'] = 1e-6
price2 = utils.call(self.method, self.params)
self.assertAlmostEqual(price1, price2, places=15)
def test_down_limit_call(self):
self.option_property['barrier'] = 0.01
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
tree_price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
vanilla_price = utils.call(self.method, self.params)
eps = self.params['spot'] * 1e-5
self.assertAlmostEqual(tree_price, vanilla_price, delta=eps)
def test_ex3_call(self):
self.params['vol'] = 1e-3
self.params['r'] = 10.0
self.params['q'] = 0.0
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
self.params['alpha'] = 0.5
tree_price = utils.call(self.method, self.params)
black_price = utils.call('qlOptionCalcBlack', self.params)
eps = self.params['spot'] * 1e-5
self.assertAlmostEqual(black_price, tree_price, delta=eps)
def test_barrier_lower_limit_case1(self):
self.option_property['barrier'] = 0.01
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
knock_out_price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
vanilla_price = utils.call(self.method, self.params)
self.assertAlmostEqual(knock_out_price, vanilla_price, places=9)
def test_in_out_parity(self):
self.option_property['rebate_amount'] = 0.
self.params['instrument'] = instruments.knock_in_continuous(self.option_property)
in_price = utils.call(self.method, self.params)
self.option_property['direction'] = 'down_and_out'
self.params['instrument'] = instruments.knock_out_continuous(self.option_property)
out_price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(self.option_property)
vanilla_price = utils.call(self.method, self.params)
self.assertAlmostEqual(out_price+in_price-vanilla_price, 0.0, places=9)
def test_barrier_upper_limit_case2(self):
self.option_property['barrier'] = 1000.
self.option_property['direction'] = 'up_and_out'
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
knock_out_price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
vanilla_price = utils.call(self.method, self.params)
self.assertAlmostEqual(knock_out_price, vanilla_price, places=9)
def test_lower_limit_case3(self):
self.option_property['lower_barrier'] = 0.1
self.option_property['type'] = 'put'
self.params['instrument'] = instruments.double_knock_out_continuous(
self.option_property)
double_knock_out_price = utils.call(self.method, self.params)
self.option_property['barrier'] = self.option_property['upper_barrier']
self.option_property['rebate_amount'] = self.option_property[
'upper_rebate']
self.option_property['direction'] = 'up_and_out'
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
knock_out_price = utils.call(self.method, self.params)
self.assertAlmostEqual(double_knock_out_price,
knock_out_price,
places=9)
def test_parity(self):
self.option_property['rebate_amount'] = 0
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
knock_out_price = utils.call(self.method, self.params)
self.option_property['direction'] = 'down_and_in'
self.params['instrument'] = instruments.knock_in_continuous(
self.option_property)
knock_in_price = utils.call(self.method, self.params)
self.params['instrument'] = instruments.vanilla_european(
self.option_property)
vanilla_price = utils.call(self.method, self.params)
self.assertAlmostEqual(knock_out_price + knock_in_price,
vanilla_price,
delta=0)
def test_call_price_case2(self):
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
self.params['spot'] = 95.
price = utils.call(self.method, self.params)
self.assertAlmostEqual(21.284883096, price, places=9)
def test_call_price_case3(self):
self.params['instrument'] = instruments.knock_out_continuous(
self.option_property)
self.params['spot'] = 100.
price = utils.call(self.method, self.params)
self.assertAlmostEqual(22.866574567, price, places=9)