class TestBlackScholesAgainstBenchmarkValues(unittest.TestCase):
def setUp(self):
self.tdi = TestDataIterator()
def test_prices(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S,K,t,r,sigma = row['S'],row['K'],row['t'],row['R'],row['v']
self.assertTrue(
almost_equal(
black_scholes('c', S, K, t, r, sigma), row['bs_call'], epsilon=.000001
)
)
self.assertTrue(
almost_equal(
black_scholes('p', S, K, t, r, sigma), row['bs_put'], epsilon=.000001
)
)
def test_analytical_delta(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S,K,t,r,sigma = row['S'],row['K'],row['t'],row['R'],row['v']
self.assertTrue(
almost_equal(
analytical.delta('c', S, K, t, r, sigma), row['CD'], epsilon=.000001
)
)
self.assertTrue(
almost_equal(
analytical.delta('p', S, K, t, r, sigma), row['PD'], epsilon=.000001
)
)
def _test_analytical_theta(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S,K,t,r,sigma = row['S'],row['K'],row['t'],row['R'],row['v']
#self.assertTrue(
# almost_equal(
print analytical.theta('c', S, K, t, r, sigma), row['CT']#, epsilon=.001
# )
#)
#self.assertTrue(
# almost_equal(
print analytical.theta('p', S, K, t, r, sigma), row['PT'] #, epsilon=.000001
# )
#)
def test_analytical_gamma(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S,K,t,r,sigma = row['S'],row['K'],row['t'],row['R'],row['v']
self.assertTrue(
almost_equal(
analytical.gamma('c', S, K, t, r, sigma), row['CG'], epsilon=.000001
)
)
self.assertTrue(
almost_equal(
analytical.gamma('p', S, K, t, r, sigma), row['PG'], epsilon=.000001
)
)
def test_analytical_vega(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S,K,t,r,sigma = row['S'],row['K'],row['t'],row['R'],row['v']
self.assertTrue(
almost_equal(
analytical.vega('c', S, K, t, r, sigma), row['CV']*.01, epsilon=.01
)
)
self.assertTrue(
almost_equal(
analytical.vega('p', S, K, t, r, sigma), row['PV']*.01, epsilon=.01
)
)
def test_analytical_rho(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S,K,t,r,sigma = row['S'],row['K'],row['t'],row['R'],row['v']
self.assertTrue(
almost_equal(
analytical.rho('c', S, K, t, r, sigma), row['CR']*.01, epsilon=.000000001
)
)
self.assertTrue(
almost_equal(
analytical.rho('p', S, K, t, r, sigma), row['PR']*.01, epsilon=.000000001
)
)
def test_implied_volatility(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S,K,t,r,sigma = row['S'],row['K'],row['t'],row['R'],row['v']
C,P = black_scholes('c', S, K, t, r, sigma), black_scholes('p', S, K, t, r, sigma)
try:
iv = implied_volatility(C, S, K, t, r, 'c')
self.assertTrue(almost_equal(sigma, iv, epsilon = .0001))
except:
print 'could not calculate iv for ', C, S, K, t, r, 'c'
iv = implied_volatility(P, S, K, t, r, 'p')
self.assertTrue(almost_equal(sigma, iv, epsilon = .001) or (iv ==0.0))
class TestBlackScholesAgainstBenchmarkValues(unittest.TestCase):
def setUp(self):
self.tdi = TestDataIterator()
def test_prices(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S, K, t, r, sigma = row['S'], row['K'], row['t'], row['R'], row[
'v']
self.assertTrue(
almost_equal(black_scholes('c', S, K, t, r, sigma),
row['bs_call'],
epsilon=.000001))
self.assertTrue(
almost_equal(black_scholes('p', S, K, t, r, sigma),
row['bs_put'],
epsilon=.000001))
def test_analytical_delta(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S, K, t, r, sigma = row['S'], row['K'], row['t'], row['R'], row[
'v']
self.assertTrue(
almost_equal(analytical.delta('c', S, K, t, r, sigma),
row['CD'],
epsilon=.000001))
self.assertTrue(
almost_equal(analytical.delta('p', S, K, t, r, sigma),
row['PD'],
epsilon=.000001))
def _test_analytical_theta(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S, K, t, r, sigma = row['S'], row['K'], row['t'], row['R'], row[
'v']
#self.assertTrue(
# almost_equal(
print(analytical.theta('c', S, K, t, r, sigma),
row['CT']) #, epsilon=.001
# )
#)
#self.assertTrue(
# almost_equal(
print(analytical.theta('p', S, K, t, r, sigma),
row['PT']) #, epsilon=.000001
# )
#)
def test_analytical_gamma(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S, K, t, r, sigma = row['S'], row['K'], row['t'], row['R'], row[
'v']
self.assertTrue(
almost_equal(analytical.gamma('c', S, K, t, r, sigma),
row['CG'],
epsilon=.000001))
self.assertTrue(
almost_equal(analytical.gamma('p', S, K, t, r, sigma),
row['PG'],
epsilon=.000001))
def test_analytical_vega(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S, K, t, r, sigma = row['S'], row['K'], row['t'], row['R'], row[
'v']
self.assertTrue(
almost_equal(analytical.vega('c', S, K, t, r, sigma),
row['CV'] * .01,
epsilon=.01))
self.assertTrue(
almost_equal(analytical.vega('p', S, K, t, r, sigma),
row['PV'] * .01,
epsilon=.01))
def test_analytical_rho(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S, K, t, r, sigma = row['S'], row['K'], row['t'], row['R'], row[
'v']
self.assertTrue(
almost_equal(analytical.rho('c', S, K, t, r, sigma),
row['CR'] * .01,
epsilon=.000000001))
self.assertTrue(
almost_equal(analytical.rho('p', S, K, t, r, sigma),
row['PR'] * .01,
epsilon=.000000001))
def test_implied_volatility(self):
while self.tdi.has_next():
row = self.tdi.next_row()
S, K, t, r, sigma = row['S'], row['K'], row['t'], row['R'], row[
'v']
C, P = black_scholes('c', S, K, t, r,
sigma), black_scholes('p', S, K, t, r, sigma)
try:
iv = implied_volatility(C, S, K, t, r, 'c')
self.assertTrue(almost_equal(sigma, iv, epsilon=.0001))
except:
print('could not calculate iv for ', C, S, K, t, r, 'c')
iv = implied_volatility(P, S, K, t, r, 'p')
self.assertTrue(
almost_equal(sigma, iv, epsilon=.001) or (iv == 0.0))
def setUp(self):
self.tdi = TestDataIterator()
def setUp(self):
self.tdi = TestDataIterator()
