def get_price(self, otype=OptionType.PUT, spot=50, strike=52, rate=0.05, expiry=2, vol=0.3, steps=1): '''European option, spot price 50, strike price 52, risk free interest rate 5%, expiry 2 years, volatility 30% ''' bt = BinomialTree(spot, strike, rate, expiry, vol, steps=steps) return bt.get_option_price(otype)
def test_basic(self): '''European option, spot price 50, strike price 52, risk free interest rate 5% expiry 2 years, volatility 30% ''' bt = BinomialTree(50, 52, 0.05, 2, 0.3, steps=100) self.assertEqual(6.7781, # steps = 100 bt.get_option_price(OptionType.PUT))
def test_basic(self): '''European option, spot price 50, strike price 52, risk free interest rate 5% expiry 2 years, volatility 30% ''' bt = BinomialTree(50, 52, 0.05, 2, 0.3, steps=100) self.assertEqual( 6.7781, # steps = 100 bt.get_option_price(OptionType.PUT))