def __call__(self, strike, t, r, q, S0, chf_ln_st):
sim_strikes, call_prices = carr_madan_fft_call_pricer(
self.N, self.d_u, self.alpha, r, t, S0, q,
chf_ln_st.set_type('chf'))
ffn_prices = spline_fitting(sim_strikes, call_prices,
self.spline_order)(strike)
return ffn_prices
def test_carr_madan_fft_call_pricer_black_shole(self):
N = 2 ** 15
d_u = 0.01
alpha = 1
S0 = 100
t = 1
r = 0.05
q = 0
sigma = 0.3
strike, call_prices = carr_madan_fft_call_pricer(N, d_u, alpha, r, t, S0, q, BlackScholes(sigma).set_type('chf'))
ffn_pricer = spline_fitting(strike, call_prices, 2)
exp_res = 19.6974
res = ffn_pricer(90)
self.assertAlmostEqual(exp_res, res, 4)
def test_carr_madan_fft_vg(self):
N = 2 ** 15
d_u = 0.01
alpha = 1
S0 = 100
t = 1 / 12
r = 0.1
q = 0
sigma = 0.12
theta = -0.14
v = 0.2
strike, call_prices = carr_madan_fft_call_pricer(N, d_u, alpha, r, t, S0, q, VarianceGamma(theta, v, sigma).set_type('chf'))
ffn_pricer = spline_fitting(strike, call_prices, 2)
exp_res = 10.8289
res = ffn_pricer(90)
self.assertAlmostEqual(exp_res, res, 4)
def test_carr_madan_fft_heston(self):
N = 2 ** 15
d_u = 0.01
alpha = 1
S0 = 100
t = 0.5
k = 2
r = 0.03
q = 0
sigma = 0.5
theta = 0.04
V0 = 0.04
rho = -0.7
strike, call_prices = carr_madan_fft_call_pricer(N, d_u, alpha, r, t, S0, q, Heston(V0, theta, k, sigma, rho).set_type('chf'))
ffn_pricer = spline_fitting(strike, call_prices, 2)
exp_res = 13.2023
res = ffn_pricer(90)
self.assertAlmostEqual(exp_res, res, 4)