def test_delta_greeks(self):
'''
Q: (Delta Greeks)
A future option, 6 month to expiry, the futures price is 105,
the strike strike price is 100, risk free interest rate is 10% per year,
volatility is 36% per year
A:
delta_call = 0.5946
delta_put = -0.3566
'''
bsg = BlackScholesGreeks('futures_option', 105, 100, 0.1, 0.5, 0.36)
self.assertEqual(0.5946, bsg.get_delta_greeks(OptionType.CALL))
self.assertEqual(-0.3566, bsg.get_delta_greeks(OptionType.PUT))
def test_delta_greeks(self):
'''
Q: (Delta Greeks)
A future option, 6 month to expiry, the futures price is 105,
the strike strike price is 100, risk free interest rate is 10% per year,
volatility is 36% per year
A:
delta_call = 0.5946
delta_put = -0.3566
'''
bsg = BlackScholesGreeks('futures_option', 105, 100, 0.1, 0.5, 0.36)
self.assertEqual(0.5946,
bsg.get_delta_greeks(OptionType.CALL))
self.assertEqual(-0.3566,
bsg.get_delta_greeks(OptionType.PUT))
def test_delta_greeks2(self):
'''
Q:
A commodity option with two years to expiration. The commodity price
is 90, the strike price is 40, the risk-free interest rate is 3% per year,
the cost-of-carry is 9% per year, and the volatility is 20%.
What's the delta of a call option?
A:
delta_call = 1.1273
This implies that the call option price will increase/decrease 1.1273 USD
if the spot price increase/decrease by 1 USD
'''
bsg = BlackScholesGreeks(None,
90,
40,
0.03,
2,
0.2,
cost_of_carry=0.09)
self.assertEqual(1.1273, bsg.get_delta_greeks(OptionType.CALL))
# For every 1 dollar increase/decrease of the spot price, the option price increase/decrease 1.1273
opt_price = BlackScholes(None,
90,
40,
0.03,
2,
0.2,
cost_of_carry=0.09).get_option_price(
OptionType.CALL)
self.assertAlmostEqual(
opt_price + 1.1273,
BlackScholes(None, 91, 40, 0.03, 2, 0.2,
cost_of_carry=0.09).get_option_price(OptionType.CALL),
3)
self.assertEqual(
round(opt_price - 1.1273, 4),
BlackScholes(None, 89, 40, 0.03, 2, 0.2,
cost_of_carry=0.09).get_option_price(OptionType.CALL))
def test_delta_greeks2(self):
'''
Q:
A commodity option with two years to expiration. The commodity price
is 90, the strike price is 40, the risk-free interest rate is 3% per year,
the cost-of-carry is 9% per year, and the volatility is 20%.
What's the delta of a call option?
A:
delta_call = 1.1273
This implies that the call option price will increase/decrease 1.1273 USD
if the spot price increase/decrease by 1 USD
'''
bsg = BlackScholesGreeks(None, 90, 40, 0.03, 2, 0.2, cost_of_carry=0.09)
self.assertEqual(1.1273,
bsg.get_delta_greeks(OptionType.CALL))
# For every 1 dollar increase/decrease of the spot price, the option price increase/decrease 1.1273
opt_price = BlackScholes(None, 90, 40, 0.03, 2, 0.2, cost_of_carry=0.09).get_option_price(OptionType.CALL)
self.assertAlmostEqual(opt_price + 1.1273,
BlackScholes(None, 91, 40, 0.03, 2, 0.2, cost_of_carry=0.09).get_option_price(OptionType.CALL),
3)
self.assertEqual(round(opt_price - 1.1273, 4),
BlackScholes(None, 89, 40, 0.03, 2, 0.2, cost_of_carry=0.09).get_option_price(OptionType.CALL))
