def test_example(self): from pfhedge import Hedger from pfhedge.instruments import BrownianStock from pfhedge.instruments import EuropeanBinaryOption deriv = EuropeanBinaryOption(BrownianStock()) model = BSEuropeanBinaryOption(deriv) hedger = Hedger(model, model.features()) price = hedger.price(deriv) assert torch.allclose(price, torch.tensor(0.5004), atol=1e-4)
def test_features(self): m = BSEuropeanBinaryOption() assert m.features() == ["log_moneyness", "expiry_time", "volatility"] _ = [get_feature(f) for f in m.features()]