def test_dtype(self, dtype):
liability = EuropeanBinaryOption(BrownianStock(dtype=dtype))
assert liability.dtype == dtype
liability.simulate()
assert liability.payoff().dtype == dtype
liability = EuropeanBinaryOption(BrownianStock()).to(dtype=dtype)
liability.simulate()
assert liability.payoff().dtype == dtype
def test_payoff(self):
liability = EuropeanBinaryOption(BrownianStock(), strike=2.0)
liability.underlier.prices = torch.tensor([
[1.0, 1.0, 1.0, 1.0],
[3.0, 1.0, 1.0, 1.0],
[1.9, 2.0, 2.1, 3.0],
])
result = liability.payoff()
expect = torch.tensor([0.0, 1.0, 1.0, 1.0])
assert torch.allclose(result, expect)
def test_repr(self):
m = BSEuropeanBinaryOption()
assert repr(m) == "BSEuropeanBinaryOption()"
liability = EuropeanBinaryOption(BrownianStock(), strike=1.1)
m = BSEuropeanBinaryOption(liability)
assert repr(m) == "BSEuropeanBinaryOption(strike=1.1)"
with pytest.raises(ValueError):
# not yet supported
liability = EuropeanBinaryOption(BrownianStock(),
strike=1.1,
call=False)
m = BSEuropeanBinaryOption(liability)
assert repr(m) == "BSEuropeanBinaryOption(call=False, strike=1.1)"
def test_repr(self):
liability = EuropeanBinaryOption(BrownianStock(), maturity=1.0)
expect = "EuropeanBinaryOption(BrownianStock(...), maturity=1.00e+00)"
assert repr(liability) == expect
liability = EuropeanBinaryOption(BrownianStock(),
maturity=1.0,
call=False)
expect = (
"EuropeanBinaryOption(BrownianStock(...), call=False, maturity=1.00e+00)"
)
assert repr(liability) == expect
liability = EuropeanBinaryOption(BrownianStock(),
maturity=1.0,
strike=2.0)
expect = (
"EuropeanBinaryOption(BrownianStock(...), strike=2.0, maturity=1.00e+00)"
)
assert repr(liability) == expect
def test_parity(self, volatility, strike, maturity, n_paths, init_price):
"""
Test put-call parity.
"""
stock = BrownianStock(volatility)
co = EuropeanBinaryOption(stock,
strike=strike,
maturity=maturity,
call=True)
po = EuropeanBinaryOption(stock,
strike=strike,
maturity=maturity,
call=False)
co.simulate(n_paths=n_paths, init_price=init_price)
po.simulate(n_paths=n_paths, init_price=init_price)
c = co.payoff()
p = po.payoff()
assert (c + p == 1.0).all()
def test_example(self):
from pfhedge import Hedger
from pfhedge.instruments import BrownianStock
from pfhedge.instruments import EuropeanBinaryOption
deriv = EuropeanBinaryOption(BrownianStock())
model = BSEuropeanBinaryOption(deriv)
hedger = Hedger(model, model.features())
price = hedger.price(deriv)
assert torch.allclose(price, torch.tensor(0.5004), atol=1e-4)
def test_device(self, device):
liability = EuropeanBinaryOption(BrownianStock(device=device))
assert liability.device == torch.device(device)
def test_error_put(self):
with pytest.raises(ValueError):
# not yet supported
liability = EuropeanBinaryOption(BrownianStock(), call=False)
BSEuropeanBinaryOption(liability)