def test_prices(self):
S = 100.0
for flag in ['c','p']:
for K in numpy.linspace(20,200,10):
for r in numpy.linspace(0,0.2,10):
for sigma in numpy.linspace(0.1,0.5,10):
for t in numpy.linspace(0.01,2,10):
for i in range(5):
val1 = black_scholes(flag, S, K, t, r, sigma)
val2 = python_black_scholes(flag, S, K, t, r, sigma)
results_match = abs(val1-val2)<epsilon
if not results_match:
print 'price mismatch:', flag, val1, val2
self.assertTrue(results_match)
def test_prices(self):
S = 100.0
for flag in ['c','p']:
for K in numpy.linspace(20,200,10):
for r in numpy.linspace(0,0.2,10):
for sigma in numpy.linspace(0.1,0.5,10):
for t in numpy.linspace(0.01,2,10):
for i in range(5):
val1 = black_scholes(flag, S, K, t, r, sigma)
val2 = python_black_scholes(flag, S, K, t, r, sigma)
results_match = abs(val1-val2)<epsilon
if not results_match:
print 'price mismatch:', flag, val1, val2
self.assertTrue(results_match)
from vollib.helper.numerical_greeks import theta as numerical_theta
from vollib.helper.numerical_greeks import rho as numerical_rho
from vollib.helper.numerical_greeks import gamma as numerical_gamma
# analytical greeks
from vollib.black_scholes.greeks.analytical import gamma as agamma
from vollib.black_scholes.greeks.analytical import delta as adelta
from vollib.black_scholes.greeks.analytical import vega as avega
from vollib.black_scholes.greeks.analytical import rho as arho
from vollib.black_scholes.greeks.analytical import theta as atheta
# -----------------------------------------------------------------------------
# FUNCTIONS - NUMERICAL GREEK CALCULATION
f = lambda flag, S, K, t, r, sigma, b: python_black_scholes(flag, S, K, t, r, sigma)
def delta(flag, S, K, t, r, sigma):
"""Return Black-Scholes delta of an option.
:param S: underlying asset price
:type S: float
:param K: strike price
:type K: float
:param sigma: annualized standard deviation, or volatility
:type sigma: float
:param t: time to expiration in years
:type t: float
:param r: risk-free interest rate
from vollib.helper.numerical_greeks import vega as numerical_vega
from vollib.helper.numerical_greeks import theta as numerical_theta
from vollib.helper.numerical_greeks import rho as numerical_rho
from vollib.helper.numerical_greeks import gamma as numerical_gamma
# analytical greeks
from vollib.black_scholes.greeks.analytical import gamma as agamma
from vollib.black_scholes.greeks.analytical import delta as adelta
from vollib.black_scholes.greeks.analytical import vega as avega
from vollib.black_scholes.greeks.analytical import rho as arho
from vollib.black_scholes.greeks.analytical import theta as atheta
# -----------------------------------------------------------------------------
# FUNCTIONS - NUMERICAL GREEK CALCULATION
f = lambda flag, S, K, t, r, sigma, b: python_black_scholes(
flag, S, K, t, r, sigma)
def delta(flag, S, K, t, r, sigma):
"""Return Black-Scholes delta of an option.
:param S: underlying asset price
:type S: float
:param K: strike price
:type K: float
:param sigma: annualized standard deviation, or volatility
:type sigma: float
:param t: time to expiration in years
:type t: float
:param r: risk-free interest rate
:type r: float