def test_visualize(self):
vis.Option().visualize()
vis.Option().visualize(
risk=False, combo_payoff='backspread', S=50, K1=48, K2=52, T=1,
r=0.05, q=0.01, sigma=0.3, option='put', ratio=3, value=True,
mpl_style='fivethirtyeight', size2d=(6, 4))
vis.Option().visualize(
risk=True, graphtype='2D', x_plot='vol', y_plot='vega', S=50,
G1=45, G2=50, G3=55, T=0.5, T1=0.5, T2=0.5, T3=0.5, time_shift=0.5,
r=0.05, q=0.01, sigma=0.3, option='put', direction='short',
size2d=(6, 4), mpl_style='fivethirtyeight', num_sens=True)
vis.Option().visualize(
risk=True, graphtype='3D', interactive=False, S=50, r=0.05, q=0.01,
sigma=0.3, option='put', notebook=False, colorscheme='plasma',
colorintensity=0.8, size3d=(12, 8), direction='short', axis='vol',
spacegrain=150, azim=-50, elev=20, greek='vega', num_sens=True)
vis.Option().visualize(
risk=True, graphtype='3D', interactive=True, S=50, r=0.05, q=0.01,
sigma=0.3, option='put', notebook=False, colorscheme='plasma',
colorintensity=0.8, size3d=(12, 8), direction='short', axis='vol',
spacegrain=150, azim=-50, elev=20, greek='vega', num_sens=True)
def test_ratio_vertical_spread(self):
vis.Option().ratio_vertical_spread()
vis.Option().ratio_vertical_spread(
S=50, K1=48, K2=52, T=1, r=0.05, q=0.01, sigma=0.3, option='put',
ratio=3, value=True, mpl_style='fivethirtyeight', size2d=(6, 4))
def test_straddle(self):
vis.Option().straddle()
vis.Option().straddle(
S=50, K=50, T=1, r=0.05, q=0.01, sigma=0.3, direction='short',
value=True, mpl_style='fivethirtyeight', size2d=(6, 4))
def test_collar(self):
vis.Option().collar()
vis.Option().collar(S=50, K1=48, K2=52, T=1, r=0.05, q=0.01, sigma=0.3,
direction='short', value=True, mpl_style='fivethirtyeight',
size2d=(6, 4))
def test_forward(self):
vis.Option().forward()
vis.Option().forward(
S=50, T=1, r=0.05, q=0.01, sigma=0.3, direction='short', cash=True,
mpl_style='fivethirtyeight', size2d=(6, 4))
def test_payoffs(self):
vis.Option().payoffs()
vis.Option().payoffs(
combo_payoff='backspread', S=50, K1=48, K2=52, T=1, r=0.05, q=0.01,
sigma=0.3, option='put', ratio=3, value=True,
mpl_style='fivethirtyeight', size2d=(6, 4))
def test_iron_condor(self):
vis.Option().iron_condor()
vis.Option().iron_condor(
S=50, K1=45, K2=50, K3=55, K4=60, T=1, r=0.05, q=0.01, sigma=0.3,
direction='short', value=True,
mpl_style='fivethirtyeight', size2d=(6, 4))
def test_christmas_tree(self):
vis.Option().christmas_tree()
vis.Option().christmas_tree(
S=50, K1=45, K2=50, K3=55, T=1, r=0.05, q=0.01, sigma=0.3,
option='put', direction='short', value=True,
mpl_style='fivethirtyeight', size2d=(6, 4))
def test_animated_2D_gif(self):
vis.Option().animated_2D_gif()
vis.Option().animated_2D_gif(
gif_folder='images/test2d', gif_filename='test2d', T=1, steps=60,
x_plot='vol', y_plot='vega', S=50, G1=45, G2=50, G3=55,
r=0.05, q=0.01, sigma=0.3, option='put', direction='short',
size2d=(6, 4), mpl_style='fivethirtyeight', num_sens=True)
def test_animated_3D_gif(self):
vis.Option().animated_3D_gif()
vis.Option().animated_3D_gif(
S=50, r=0.05, q=0.01, sigma=0.3, option='put', direction='short',
notebook=False, colorscheme='plasma', colorintensity=0.8,
size3d=(12, 8), axis='vol', spacegrain=150, azim=-50, elev=20,
greek='vega', num_sens=True, gif_folder='images/test3d',
gif_filename='test3d', gif_frame_update=2, gif_min_dist=9.2,
gif_max_dist=9.8, gif_min_elev=20.0, gif_max_elev=50.0,
gif_start_azim=90, gif_end_azim=270, gif_dpi=40, gif_ms=150)
def test_greeks_graphs_2D(self):
vis.Option().greeks_graphs_2D()
vis.Option().greeks_graphs_2D(
x_plot='vol', y_plot='vega', S=50, G1=45, G2=50, G3=55, T=0.5,
T1=0.5, T2=0.5, T3=0.5, time_shift=0.5, r=0.05, q=0.01, sigma=0.3,
option='put', direction='short', size2d=(6, 4),
mpl_style='fivethirtyeight', num_sens=True)
vis.Option().greeks_graphs_2D(
x_plot='vol', y_plot='rho', S=50, G1=45, G2=50, G3=55, T=0.5,
time_shift=0.5, r=0.05, q=0.01, sigma=0.3, option='put',
direction='short', size2d=(6, 4), mpl_style='fivethirtyeight',
num_sens=True)
def test_greeks_graphs_3D(self):
vis.Option().greeks_graphs_3D()
vis.Option().greeks_graphs_3D(
interactive=False, S=50, r=0.05, q=0.01, sigma=0.3, option='put',
notebook=False, colorscheme='plasma', colorintensity=0.8,
size3d=(12, 8), direction='short', axis='vol', spacegrain=150,
azim=-50, elev=20, greek='vega', num_sens=True)
vis.Option().greeks_graphs_3D(
interactive=True, S=50, r=0.05, q=0.01, sigma=0.3, option='put',
notebook=False, colorscheme='plasma', colorintensity=0.8,
size3d=(12, 8), direction='short', axis='vol', spacegrain=150,
azim=-50, elev=20, greek='vega', num_sens=True)
def test_greeks(self):
vis.Option().greeks()
vis.Option().greeks(
graphtype='2D', x_plot='vol', y_plot='vega', S=50, G1=45, G2=50,
G3=55, T=0.5, T1=0.5, T2=0.5, T3=0.5, time_shift=0.5, r=0.05,
q=0.01, sigma=0.3, option='put', direction='short', size2d=(6, 4),
mpl_style='fivethirtyeight', num_sens=True)
vis.Option().greeks(
graphtype='3D', interactive=False, S=50, r=0.05, q=0.01, sigma=0.3,
option='put', notebook=False, colorscheme='plasma',
colorintensity=0.8, size3d=(12, 8), direction='short', axis='vol',
spacegrain=150, azim=-50, elev=20, greek='vega', num_sens=True)
vis.Option().greeks(
graphtype='3D', interactive=True, S=50, r=0.05, q=0.01, sigma=0.3,
option='put', notebook=False, colorscheme='plasma',
colorintensity=0.8, size3d=(12, 8), direction='short', axis='vol',
spacegrain=150, azim=-50, elev=20, greek='vega', num_sens=True)
def test_theta(self):
self.assertGreater(abs(vis.Option().theta()), 0)
print("Default theta: ", vis.Option().theta())
self.assertIsInstance(vis.Option().theta(), float)
self.assertGreater(
abs(vis.Option().theta(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put')), 0)
print(
"Revalued theta: ",
vis.Option().theta(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put'))
self.assertIsInstance(
vis.Option().theta(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put'), float)
def test_sensitivities(self):
self.assertGreater(abs(vis.Option().sensitivities()), 0)
print("Default sensitivities: ", vis.Option().sensitivities())
self.assertIsInstance(vis.Option().sensitivities(), float)
self.assertGreater(
abs(vis.Option().sensitivities(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put')), 0)
print(
"Revalued sensitivities: ",
vis.Option().sensitivities(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put'))
self.assertIsInstance(
vis.Option().sensitivities(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put'), float)
def test_price(self):
self.assertGreater(vis.Option().price(), 0)
print("Default price: ", vis.Option().price())
self.assertIsInstance(vis.Option().price(), float)
self.assertGreater(
vis.Option().price(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put'), 0)
print(
"Revalued price: ",
vis.Option().price(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put'))
self.assertIsInstance(
vis.Option().price(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put'), float)
def test_vega_bleed(self):
self.assertGreater(abs(vis.Option().vega_bleed()), 0)
print("Default vega_bleed: ", vis.Option().vega_bleed())
self.assertIsInstance(vis.Option().vega_bleed(), float)
self.assertGreater(
abs(vis.Option().vega_bleed(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put')), 0)
print(
"Revalued vega_bleed: ",
vis.Option().vega_bleed(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put'))
self.assertIsInstance(
vis.Option().vega_bleed(S=50,
K=55,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put'), float)
def test_barrier_price(self):
self.assertGreater(abs(vis.Option().barrier_price()), 0)
print("Default barrier_price: ", vis.Option().barrier_price())
self.assertIsInstance(vis.Option().barrier_price(), float)
self.assertGreater(
abs(vis.Option().barrier_price(S=50,
K=55,
H=60,
R=0.1,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put',
barrier_direction='up',
knock='out')), 0)
print(
"Revalued barrier_price: ",
vis.Option().barrier_price(S=50,
K=55,
H=60,
R=0.1,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put',
barrier_direction='up',
knock='out'))
self.assertIsInstance(
vis.Option().barrier_price(S=50,
K=55,
H=60,
R=0.1,
T=1,
r=0.05,
q=0.01,
sigma=0.3,
option='put',
barrier_direction='up',
knock='out'), float)
def test_stock(self):
vis.Option().stock()
vis.Option().stock(S=50, direction='short',
mpl_style='fivethirtyeight', size2d=(6, 4))
