def setUp(self):
#BS analytics
self.Spot = 110.
self.Strike = 110.
self.rate = 0.05
self.Vol = 0.2
self.dividend = 0.
self.Expiry = 1.
#Setup analytic prices
self.bs1 = af.BSAnalyticFormulas(self.Spot,
self.Strike,
self.rate,
self.Vol,
self.Expiry,
self.dividend)
#Setup MC pricer
num_paths = 100000
times = [self.Expiry]
market_params = {'spot': self.Spot,
'rate': self.rate,
'vol': self.Vol}
generator = GeneratorGBM(market_params)
generator.sim_setup(times)
gatherer = MeanGatherer()
self.van_mc = VanillaMCPricer(spot=self.Spot,
rate=self.rate,
Vol=self.Vol,
generator=generator,
gatherer=gatherer,
num_paths=num_paths,
dividend=0)
class VanillaCallTest(unittest.TestCase):
def setUp(self):
#BS analytics
self.Spot = 110.
self.Strike = 110.
self.rate = 0.05
self.Vol = 0.2
self.dividend = 0.
self.Expiry = 1.
#Setup analytic prices
self.bs1 = af.BSAnalyticFormulas(self.Spot,
self.Strike,
self.rate,
self.Vol,
self.Expiry,
self.dividend)
#Setup MC pricer
num_paths = 100000
times = [self.Expiry]
market_params = {'spot': self.Spot,
'rate': self.rate,
'vol': self.Vol}
generator = GeneratorGBM(market_params)
generator.sim_setup(times)
gatherer = MeanGatherer()
self.van_mc = VanillaMCPricer(spot=self.Spot,
rate=self.rate,
Vol=self.Vol,
generator=generator,
gatherer=gatherer,
num_paths=num_paths,
dividend=0)
def test_reprice_vanillaCall(self):
an_price = self.bs1.CallPrice()
call_po = VanillaCall(Strike = self.Strike)
vcall = VanillaOption(Expiry=self.Expiry, PayOff=call_po)
self.van_mc.do_trade(trade=vcall)
mc_price = self.van_mc.price
self.assertAlmostEqual(an_price, mc_price, delta=0.1)
def test_reprice_vanillaPut(self):
an_price = self.bs1.PutPrice()
po = VanillaPut(Strike = self.Strike)
option = VanillaOption(Expiry=self.Expiry, PayOff=po)
self.van_mc.do_trade(trade=option)
mc_price = self.van_mc.price
self.assertAlmostEqual(an_price, mc_price, delta=0.1)
def test_reprice_vanillaDigitalCall(self):
an_price = self.bs1.DigitalCallPrice()
po = VanillaDigitalCall(Strike = self.Strike)
option = VanillaOption(Expiry=self.Expiry, PayOff=po)
self.van_mc.do_trade(trade=option)
mc_price = self.van_mc.price
self.assertAlmostEqual(an_price, mc_price, delta=0.1)
def test_reprice_vanillaDigitalPut(self):
an_price = self.bs1.DigitalPutPrice()
po = VanillaDigitalPut(Strike = self.Strike)
option = VanillaOption(Expiry=self.Expiry, PayOff=po)
self.van_mc.do_trade(trade=option)
mc_price = self.van_mc.price
self.assertAlmostEqual(an_price, mc_price, delta=0.1)
