def test_heston(self):
N = 100
L = 10
S0 = 100
t = 0.5
k = 2
r = 0.03
q = 0
sigma = 0.5
theta = 0.04
V0 = 0.04
rho = -0.7
strike = 90
c1, c2, c4 = cumulants_from_mgf(general_log_moneyness_mgf,
strike,
Heston(V0, theta, k, sigma,
rho).set_type('mgf'),
t=t,
r=r,
q=q,
S0=S0)
intv_a, intv_b = interval_a_and_b(c1, c2, c4, L)
print(intv_a, intv_b)
exp_res = 13.2023
res = cosin_vanilla_call(
N, strike, intv_a, intv_b, t, r, q, S0,
Heston(V0, theta, k, sigma, rho).set_type('chf'))
self.assertAlmostEqual(exp_res, res, 3)
def test_carr_madan_fft_heston(self):
N = 2 ** 15
d_u = 0.01
alpha = 1
S0 = 100
t = 0.5
k = 2
r = 0.03
q = 0
sigma = 0.5
theta = 0.04
V0 = 0.04
rho = -0.7
strike, call_prices = carr_madan_fft_call_pricer(N, d_u, alpha, r, t, S0, q, Heston(V0, theta, k, sigma, rho).set_type('chf'))
ffn_pricer = spline_fitting(strike, call_prices, 2)
exp_res = 13.2023
res = ffn_pricer(90)
self.assertAlmostEqual(exp_res, res, 4)