def test_vg(self):
N = 150
L = 10
S0 = 100
t = 1 / 12
r = 0.1
q = 0
sigma = 0.12
theta = -0.14
v = 0.2
strike = 90
c1, c2, c4 = cumulants_from_mgf(general_log_moneyness_mgf,
strike,
VarianceGamma(theta, v,
sigma).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)
res = cosin_vanilla_call(
N, strike, intv_a, intv_b, t, r, q, S0,
VarianceGamma(theta, v, sigma).set_type('chf'))
exp_res = 10.8289
self.assertAlmostEqual(exp_res, res, 4)
def test_carr_madan_fft_vg(self):
N = 2 ** 15
d_u = 0.01
alpha = 1
S0 = 100
t = 1 / 12
r = 0.1
q = 0
sigma = 0.12
theta = -0.14
v = 0.2
strike, call_prices = carr_madan_fft_call_pricer(N, d_u, alpha, r, t, S0, q, VarianceGamma(theta, v, sigma).set_type('chf'))
ffn_pricer = spline_fitting(strike, call_prices, 2)
exp_res = 10.8289
res = ffn_pricer(90)
self.assertAlmostEqual(exp_res, res, 4)