def testBlackBasic(self):
strike = 1.0
forward = 1.2
stdDev = 0.2
discount = 0.95
expected = discount * (forward - strike)
calculated = blackFormula(OptionType.Call, strike, forward, 0.0, discount)
self.assertAlmostEqual(expected, calculated, 15)
expected = discount * forward
calculated = blackFormula(OptionType.Call, 0.0, forward, stdDev, discount)
self.assertAlmostEqual(expected, calculated, 15)
def testBlackBasic(self):
strike = 1.0
forward = 1.2
stdDev = 0.2
discount = 0.95
expected = discount * (forward - strike)
calculated = blackFormula(OptionType.Call, strike, forward, 0.0,
discount)
self.assertAlmostEqual(expected, calculated, 15)
expected = discount * forward
calculated = blackFormula(OptionType.Call, 0.0, forward, stdDev,
discount)
self.assertAlmostEqual(expected, calculated, 15)
def testBlackImpliedVol(self):
forward = 1.0
bpvol = 0.25
tte = 10.0
stdDev = bpvol * math.sqrt(tte)
discount = 0.95
dList = [-3.0, -2.0, -1.0, -0.5, 0.0, 0.5, 1.0, 2.0, 3.0]
for d in dList:
strike = forward * math.exp(d * bpvol * math.sqrt(tte))
callPrem = blackFormula(OptionType.Call, strike, forward, stdDev, discount)
impliedStdDev = blackFormulaImpliedStdDev(OptionType.Call, strike, forward, callPrem, discount)
self.assertAlmostEqual(impliedStdDev, stdDev, 10)
putPrem = blackFormula(OptionType.Put, strike, forward, stdDev, discount)
impliedStdDev = blackFormulaImpliedStdDev(OptionType.Put, strike, forward, putPrem, discount)
self.assertAlmostEqual(impliedStdDev, stdDev, 10)
def testBlackImpliedVol(self):
forward = 1.0
bpvol = 0.25
tte = 10.0
stdDev = bpvol * math.sqrt(tte)
discount = 0.95
dList = [-3.0, -2.0, -1.0, -0.5, 0.0, 0.5, 1.0, 2.0, 3.0]
for d in dList:
strike = forward * math.exp(d * bpvol * math.sqrt(tte))
callPrem = blackFormula(OptionType.Call, strike, forward, stdDev,
discount)
impliedStdDev = blackFormulaImpliedStdDev(OptionType.Call, strike,
forward, callPrem,
discount)
self.assertAlmostEqual(impliedStdDev, stdDev, 10)
putPrem = blackFormula(OptionType.Put, strike, forward, stdDev,
discount)
impliedStdDev = blackFormulaImpliedStdDev(OptionType.Put, strike,
forward, putPrem,
discount)
self.assertAlmostEqual(impliedStdDev, stdDev, 10)