def test_correlated_pricing(self):
strike = 50
asset_num = 2
init_price_vec = np.array([110, 60])
vol_vec = np.array([0.4, 0.2])
ir = 0.1
dividend_vec = 0 * np.ones(asset_num)
corr_mat = np.eye(asset_num)
corr_mat[0, 1] = 0.4
corr_mat[1, 0] = 0.4
random_walk = GBM(182 / 365, 400, init_price_vec, ir, vol_vec,
dividend_vec, corr_mat)
def test_payoff(l):
return max(l[0] - l[1] - strike, 0)
opt = Euro(test_payoff, random_walk)
np.random.seed(1)
callV2 = opt.priceV2(1000000)
real_call = 12.5583468
assert abs(callV2 - 12.566682253085943) < 0.00000000000001
assert abs(callV2 - real_call) / real_call < 0.00066374
np.random.seed(1)
callV3 = opt.priceV3(20000)
assert abs(callV3 - 12.586752483453562) < 0.00000000000001
assert abs(callV3 - real_call) / real_call < 0.0022619
def test_correlated_pricing(self):
strike = 50
asset_num = 2
init_price_vec = np.array([110, 60])
vol_vec = np.array([0.4, 0.2])
ir = 0.1
dividend_vec = 0 * np.ones(asset_num)
corr_mat = np.eye(asset_num)
corr_mat[0, 1] = 0.4
corr_mat[1, 0] = 0.4
random_walk = GBM(182 / 365, 400, init_price_vec, ir, vol_vec,
dividend_vec, corr_mat)
def test_payoff(l):
return np.maximum(l[:, 0] - l[:, 1] - strike, np.zeros(len(l)))
opt = Euro(test_payoff, random_walk)
np.random.seed(1)
callV2 = opt.priceV2(1000000)
real_call = 12.5583468
assert abs(callV2 - 12.566682253085943) < 0.00000000000001
assert abs(callV2 - real_call) / real_call < 0.00066374
np.random.seed(1)
callV3 = opt.priceV3(20000)
assert abs(callV3 - 12.586752483453562) < 0.00000000000001
assert abs(callV3 - real_call) / real_call < 0.0022619
"""
Test 2: european 2d spread put
"""
np.random.seed(1)
def test_payoff2(l):
return np.maximum(-l[:, 0] + l[:, 1] + strike, np.zeros(len(l)))
opt = Euro(test_payoff2, random_walk)
spreadput2d = opt.priceV2(500000)
assert abs(spreadput2d - 10.108531893795202) < 1e-10