def test_terminal(self):
"""Test value of terminal for an up-and-out call."""
S = np.linspace(S0 - 10, S0 + 10, 21)
V = np.maximum(S - K, 0)
V[S >= L] = 0
payoff = UpAndOut(CallA(T, K), L)
self.assertTrue((payoff.terminal(S) == V).all())
def test_terminal(self):
"""Test value of terminal for an up-and-out call."""
S = np.linspace(S0 - 10, S0 + 10, 21)
V = np.maximum(S - K, 0)
V[S >= L] = 0
payoff = UpAndOut(CallA(T, K), L)
self.assertTrue((payoff.terminal(S) == V).all())
def test_default(self):
"""Test default value for American up-and-out call."""
S = np.linspace(S0 - 10, S0 + 10, 21)
Vd = np.maximum(S - K, 0)
Vd[S >= L] = 0
payoff = UpAndOut(CallA(T, K), L)
for t in np.linspace(0, 1, N, endpoint=False):
self.assertTrue((payoff.default(t, S) == Vd).all())
self.assertRaises(AssertionError, payoff.default, T, S)
def test_default(self):
"""Test default value for American up-and-out call."""
S = np.linspace(S0 - 10, S0 + 10, 21)
Vd = np.maximum(S - K, 0)
Vd[S >= L] = 0
payoff = UpAndOut(CallA(T, K), L)
for t in np.linspace(0, 1, N, endpoint=False):
self.assertTrue((payoff.default(t, S) == Vd).all())
self.assertRaises(AssertionError, payoff.default, T, S)
def test_transcient(self):
"""Test value of transient for American up-and-out call."""
S = np.linspace(S0 - 10, S0 + 10, 21)
V = np.linspace(S0 + 10, S0 - 10, 21)
Vm = np.maximum(V, np.maximum(S - K, 0))
Vm[S >= L] = 0
payoff = UpAndOut(CallA(T, K), L)
for t in np.linspace(0, 1, N, endpoint=False):
self.assertTrue((payoff.transient(t, V, S) == Vm).all())
self.assertRaises(AssertionError, payoff.transient, T, V, S)
def test_transcient(self):
"""Test value of transient for American up-and-out call."""
S = np.linspace(S0 - 10, S0 + 10, 21)
V = np.linspace(S0 + 10, S0 - 10, 21)
Vm = np.maximum(V, np.maximum(S - K, 0))
Vm[S >= L] = 0
payoff = UpAndOut(CallA(T, K), L)
for t in np.linspace(0, 1, N, endpoint=False):
self.assertTrue((payoff.transient(t, V, S) == Vm).all())
self.assertRaises(AssertionError, payoff.transient, T, V, S)
