def test_bsm_euro_put(self):
opt = option.Option(strike=10,
underlying=16,
time_to_mat=60,
volatility=0.16,
interest_rate=0.02)
opt_px = opt.option_price(opt_type='e', call_put='p', px_method='bsm')
opt_expected = 0.3095678890021424
self.assertAlmostEqual(opt_px, opt_expected)
def test_bsm_euro_call(self):
opt = option.Option(strike=10,
underlying=16,
time_to_mat=60,
volatility=0.16,
interest_rate=0.02)
opt_px = opt.option_price(opt_type='e', call_put='c', px_method='bsm')
opt_expected = 13.29762576988012
self.assertAlmostEqual(opt_px, opt_expected)
def test_binomial_amer_put(self):
opt = option.Option(strike=10,
underlying=16,
time_to_mat=60,
volatility=0.16,
interest_rate=0.02)
opt_px = opt.option_price(opt_type='a',
call_put='p',
px_method='binomial')
opt_expected = 0.3120165359797314
self.assertAlmostEqual(opt_px, opt_expected)
def test_binomial_amer_call(self):
opt = option.Option(strike=10,
underlying=16,
time_to_mat=60,
volatility=0.16,
interest_rate=0.02)
opt_px = opt.option_price(opt_type='a',
call_put='c',
px_method='binomial')
opt_expected = 13.300074416857715
self.assertAlmostEqual(opt_px, opt_expected)