def test_analytic_versus_black(self):
settlement_date = today()
self.settings.evaluation_date = settlement_date
daycounter = ActualActual()
exercise_date = settlement_date + 6 * Months
payoff = PlainVanillaPayoff(Put, 30)
exercise = EuropeanExercise(exercise_date)
risk_free_ts = flat_rate(0.1, daycounter)
dividend_ts = flat_rate(0.04, daycounter)
s0 = SimpleQuote(32.0)
v0 = 0.05
kappa = 5.0
theta = 0.05
sigma = 1.0e-4
rho = 0.0
process = HestonProcess(
risk_free_ts, dividend_ts, s0, v0, kappa, theta, sigma, rho
)
option = VanillaOption(payoff, exercise)
engine = AnalyticHestonEngine(HestonModel(process), 144)
option.set_pricing_engine(engine)
calculated = option.net_present_value
year_fraction = daycounter.year_fraction(
settlement_date, exercise_date
)
forward_price = 32 * np.exp((0.1 - 0.04) * year_fraction)
expected = blackFormula(
payoff.type, payoff.strike, forward_price,
np.sqrt(0.05 * year_fraction)
) * np.exp(-0.1 * year_fraction)
tolerance = 2.0e-7
self.assertAlmostEqual(
calculated,
expected,
delta=tolerance
)
def test_analytic_versus_black(self):
settlement_date = today()
self.settings.evaluation_date = settlement_date
daycounter = ActualActual()
exercise_date = settlement_date + 6 * Months
payoff = PlainVanillaPayoff(Put, 30)
exercise = EuropeanExercise(exercise_date)
risk_free_ts = flat_rate(0.1, daycounter)
dividend_ts = flat_rate(0.04, daycounter)
s0 = SimpleQuote(32.0)
v0 = 0.05
kappa = 5.0
theta = 0.05
sigma = 1.0e-4
rho = 0.0
process = HestonProcess(
risk_free_ts, dividend_ts, s0, v0, kappa, theta, sigma, rho
)
option = VanillaOption(payoff, exercise)
engine = AnalyticHestonEngine(HestonModel(process), 144)
option.set_pricing_engine(engine)
calculated = option.net_present_value
year_fraction = daycounter.year_fraction(
settlement_date, exercise_date
)
forward_price = 32 * np.exp((0.1 - 0.04) * year_fraction)
expected = blackFormula(
payoff.type, payoff.strike, forward_price,
np.sqrt(0.05 * year_fraction)
) * np.exp(-0.1 * year_fraction)
tolerance = 2.0e-7
self.assertAlmostEqual(
calculated,
expected,
delta=tolerance
)