def test_cal_price_cosine(self):
cosine_pricer = FourierPricer(self.vanilla_option)
strike_arr = np.array([5, 10, 30, 36, 50, 60, 100])
put_call_arr = np.array(['call', 'call', 'put', 'call', 'call', 'put', 'call'])
exp = np.array([3.09958567e+01, 2.60163625e+01, 8.25753140e-05, 8.12953226e-01,
8.97449491e-11, 2.37785797e+01, 2.19293560e-85, ]
)
volatility = 0.20
N = 150
cosine_pricer.set_log_st_process(BlackScholes(volatility))
cosine_pricer.set_pricing_engine(CosineEngine(N, L=30))
res = cosine_pricer.calc_price(strike_arr, put_call_arr, put_label='put')
npt.assert_array_almost_equal(res, exp, 6)
def test_cal_price_cosine_6(self):
cosine_pricer = FourierPricer(self.vanilla_option)
strike_arr = np.array([5, 10, 30, 36, 40, 60])
put_call_arr = np.array(['call', 'call', 'put', 'call', 'call', 'put'])
exp = np.array([30.9958673, 26.01656399, 0.15928293, 1.72971868, 0.56756891, 23.82357896])
volatility = 0.20
N = 2000
cosine_pricer.set_log_st_process(CGMY(c=0.1,
g=2,
m=2,
y=1.5))
cosine_pricer.set_pricing_engine(CosineEngine(N, L=30))
res = cosine_pricer.calc_price(strike_arr, put_call_arr, put_label='put')
npt.assert_array_almost_equal(res, exp, 6)
def test_cal_price_fractional_fft(self):
fft_pricer = FourierPricer(self.vanilla_option)
strike_arr = np.array([5, 10, 30, 36, 50, 60, 100])
put_call_arr = np.array(['call', 'call', 'put', 'call', 'call', 'put', 'call'])
exp = np.array(
[3.09958567e+01, 2.60163625e+01, 8.25753140e-05, 8.12953226e-01,
8.97449491e-11, 2.37785797e+01, 2.19293560e-85, ]
)
volatility = 0.20
N = 2 ** 14
d_u = 0.01
d_k = 0.01
alpha = 1
fft_pricer.set_log_st_process(BlackScholes(volatility))
fft_pricer.set_pricing_engine(FractionFFTEngine(N, d_u, d_k, alpha, spline_order=3))
res = fft_pricer.calc_price(strike_arr, put_call_arr, put_label='put')
npt.assert_array_almost_equal(res, exp, 6)
def test_cal_price_cosine_5(self):
cosine_pricer = FourierPricer(self.vanilla_option)
strike_arr = np.array([5, 10, 30, 36, 40, 60])
put_call_arr = np.array(['call', 'call', 'put', 'call', 'call', 'put'])
exp = np.array([22.48662613, 17.50712233, -8.50824394, -7.13267131, -7.22087064,
16.09965887]
)
volatility = 0.20
N = 2000
cosine_pricer.set_log_st_process(Poisson(
jump_rate=0.339325557373201,
))
cosine_pricer.set_pricing_engine(CosineEngine(N, L=30))
res = cosine_pricer.calc_price(strike_arr, put_call_arr, put_label='put')
npt.assert_array_almost_equal(res, exp, 6)
def test_cal_price_cosine_4(self):
cosine_pricer = FourierPricer(self.vanilla_option)
strike_arr = np.array([5, 10, 30, 36, 40, 60])
put_call_arr = np.array(['call', 'call', 'put', 'call', 'call', 'put'])
exp = np.array([30.99596331, 26.01719432, 0.18730742, 1.51294408, 0.78980451,
24.03726193]
)
volatility = 0.20
N = 2000
cosine_pricer.set_log_st_process(NIG(a=2,
b=0.3,
delta=0.6))
cosine_pricer.set_pricing_engine(CosineEngine(N, L=30))
res = cosine_pricer.calc_price(strike_arr, put_call_arr, put_label='put')
npt.assert_array_almost_equal(res, exp, 6)
def test_cal_price_cosine_2(self):
cosine_pricer = FourierPricer(self.vanilla_option)
strike_arr = np.array([5, 10, 30, 36, 50, 60])
put_call_arr = np.array(['call', 'call', 'put', 'call', 'call', 'put'])
exp = np.array([3.09958568e+01, 2.60164423e+01, 9.56077953e-02, 8.81357807e-01,
1.41769466e-10, 2.37785797e+01]
)
volatility = 0.20
N = 2000
cosine_pricer.set_log_st_process(MertonJump(sigma=volatility,
jump_rate=0.090913148257155449,
norm_m=-0.91157356544103341,
norm_sig=7.3383200797618833e-05))
cosine_pricer.set_pricing_engine(CosineEngine(N, L=30))
res = cosine_pricer.calc_price(strike_arr, put_call_arr, put_label='put')
npt.assert_array_almost_equal(res, exp, 6)
def test_cal_price_cosine_3(self):
cosine_pricer = FourierPricer(self.vanilla_option)
strike_arr = np.array([5, 10, 30, 36, 40, 60])
put_call_arr = np.array(['call', 'call', 'put', 'call', 'call', 'put'])
exp = np.array([3.09958567e+01, 2.60163625e+01, 1.71886506e-04, 8.75203272e-01,
3.55292239e-02, 2.37785797e+01]
)
volatility = 0.20
N = 2000
cosine_pricer.set_log_st_process(KouJump(sigma=volatility,
jump_rate=23.339325557373201,
exp_pos=59.378410421004197,
exp_neg=-59.447921334340137,
prob_pos=-200.08018971817182))
cosine_pricer.set_pricing_engine(CosineEngine(N, L=30))
res = cosine_pricer.calc_price(strike_arr, put_call_arr, put_label='put')
npt.assert_array_almost_equal(res, exp, 6)