def test_bisection(self):
"""Test values of implied volatility (bisection method)."""
premium = .024
price = 1
strike = 1
riskfree = .02
maturity = 30/365
call = True
moneyness = lfmoneyness(price, strike, riskfree, maturity)
vol = impvol_bisection(moneyness, maturity, premium, call)
self.assertAlmostEqual(float(vol), .2, 2)
strike = [1, .95]
premium = [.024, .057]
moneyness = lfmoneyness(price, strike, riskfree, maturity)
vol = impvol_bisection(moneyness, maturity, premium, call)
np.testing.assert_array_almost_equal(vol, [.2, .2], 2)
def test_bs_prices(self):
"""Test accuracy of back and forth BS conversion."""
count = int(1e3)
maturity = 30/365
call = True
sigma = np.random.uniform(.05, .8, count)
moneyness = np.random.uniform(-.1, .1, count)
premium = blackscholes_norm(moneyness, maturity, sigma, call)
vol = impvol_bisection(moneyness, maturity, premium, call)
np.testing.assert_array_almost_equal(vol, sigma, 3)
