def test_heston_pricer(self):
trade_date = date(2011, 1, 24)
spot = 1290.58
# option definition
options = ds.option_quotes_template().reindex(index=range(2))
options[nm.OPTION_TYPE] = ['C', 'P']
options[nm.STRIKE] = [1290, 1290]
options[nm.EXPIRY_DATE] = [date(2015, 1, 1), date(2015, 1, 1)]
options[nm.SPOT] = [spot] * 2
# interest rate and dividend yield
rates = ds.riskfree_dividend_template().reindex(
index=[date(2011, 3, 16), date(2013, 3, 16), date(2015, 3, 16)])
rates[nm.DIVIDEND_YIELD] = [.021, .023, .024]
rates[nm.INTEREST_RATE] = [.010, .015, .019]
# heston model
heston_params = dict(v0=0.051965,
kappa=0.977314, theta=0.102573,
sigma=0.987796, rho=-0.747033
)
results = heston_pricer(trade_date, options,
heston_params, rates, spot=1290.58)
price_call = results[nm.PRICE][0]
price_put = results[nm.PRICE][1]
self.assertAlmostEqual(price_call, 194.6, 1)
self.assertAlmostEqual(price_put, 218.9, 1)
def test_heston_pricer(self):
trade_date = date(2011, 1, 24)
spot = 1290.58
# option definition
options = ds.option_quotes_template().reindex(index=range(2))
options[nm.OPTION_TYPE] = ['C', 'P']
options[nm.STRIKE] = [1290, 1290]
options[nm.EXPIRY_DATE] = [date(2015, 1, 1), date(2015, 1, 1)]
options[nm.SPOT] = [spot] * 2
# interest rate and dividend yield
rates = ds.riskfree_dividend_template().reindex(
index=[date(2011, 3, 16), date(2013, 3, 16), date(2015, 3, 16)])
rates[nm.DIVIDEND_YIELD] = [.021, .023, .024]
rates[nm.INTEREST_RATE] = [.010, .015, .019]
# heston model
heston_params = dict(v0=0.051965,
kappa=0.977314, theta=0.102573,
sigma=0.987796, rho=-0.747033
)
results = heston_pricer(trade_date, options,
heston_params, rates, spot=1290.58)
price_call = results[nm.PRICE][0]
price_put = results[nm.PRICE][1]
self.assertAlmostEqual(price_call, 194.6, 1)
self.assertAlmostEqual(price_put, 218.9, 1)