def test_example(self):
from pfhedge import Hedger
from pfhedge.instruments import BrownianStock
from pfhedge.instruments import EuropeanBinaryOption
deriv = EuropeanBinaryOption(BrownianStock())
model = BSEuropeanBinaryOption(deriv)
hedger = Hedger(model, model.features())
price = hedger.price(deriv)
assert torch.allclose(price, torch.tensor(0.5004), atol=1e-4)
def test_features(self):
m = BSEuropeanBinaryOption()
assert m.features() == ["log_moneyness", "expiry_time", "volatility"]
_ = [get_feature(f) for f in m.features()]