def test_PutCallPayOffs(self):
vc_higher = VanillaCall(self.StrikeHigher)
vc_lower= VanillaCall(self.StrikeLower)
vp_higher = VanillaPut(self.StrikeHigher)
vp_lower= VanillaPut(self.StrikeLower)
vo_callhigher = VanillaOption(Expiry=1, PayOff=vc_higher)
vo_calllower= VanillaOption(Expiry=1, PayOff=vc_lower)
vo_puthigher = VanillaOption(Expiry=1, PayOff=vp_higher)
vo_putlower= VanillaOption(Expiry=1, PayOff=vp_lower)
self.assertAlmostEqual(vo_callhigher.pay_off(self.Spot),0.)
self.assertAlmostEqual(vo_calllower.pay_off(self.Spot),10.)
self.assertAlmostEqual(vo_puthigher.pay_off(self.Spot),10.)
self.assertAlmostEqual(vo_putlower.pay_off(self.Spot),0.)
if __name__ == '__main__':
from PayOffs import VanillaCall, VanillaPut
from VanillaOptions import VanillaOption
from Gatherer import MeanGatherer, ConvergenceTable
from PathGenerators import GeneratorGBM, Antithetic, NormalGenerator
from AnalyticFunctions import BSAnalyticFormulas
#Option params
Strike = 110.
Expiry = 1.
vc1 = VanillaCall(Strike)
vp1 = VanillaPut(Strike)
vo_call = VanillaOption(Expiry, PayOff=vc1)
vo_put = VanillaOption(Expiry, PayOff=vp1)
#Model/Market parameters
Spot = 100.
rate = 0.05
Vol = 0.2
dividend = 0.0 #not included in pricing yet
#Model parameters
times = [1.]
num_paths = 50000
market_params = {'spot': Spot, 'rate': rate, 'vol': Vol}
