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#!/usr/bin/python
"""
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
"""
__version__ = "$Revision: 1.12 $"
# $Source: /cvsroot/quantlib/QuantLib-Python/QuantLib/test/binary_option.py,v $
import QuantLib
import unittest
from math import exp
def relErr(x1, x2, reference):
if reference != 0.0:
return abs(x1-x2)/reference
else:
return 10e10
class BinaryOptionTest(unittest.TestCase):
def runTest(self):
"Testing binary option pricer"
pricer = QuantLib.BinaryOption
rangeUnder = [100]
rangeQrate = [0.04, 0.05, 0.06]
rangeResTime = [1.0]
rangeStrike = [50, 99.5, 100, 100.5, 150]
rangeVol = [ 0.11, 0.5, 1.2]
rangeRrate = [ 0.01, 0.05, 0.15]
err_delta = 5e-5
err_gamma = 5e-5
err_theta = 5e-5
err_rho = 5e-5
err_divRho= 5e-5
err_vega = 5e-5
for typ in ['Call','Put','Straddle']:
for under in rangeUnder:
for Qrate in rangeQrate:
for resTime in rangeResTime:
for Rrate in rangeRrate:
for strike in rangeStrike:
for vol in rangeVol:
#Check Greeks
dS = under/10000.0
dT = resTime/10000.0
dVol = vol/10000.0
dR = Rrate/10000.0
dQ = Qrate/10000.0
opt = pricer(typ,under,strike,Qrate,Rrate,resTime,vol)
opt_val = opt.value()
if opt_val > 1e-6:
optPs = pricer(typ, under+dS, strike, Qrate,
Rrate, resTime , vol)
optMs = pricer(typ, under-dS, strike, Qrate,
Rrate, resTime , vol)
optPt = pricer(typ, under , strike, Qrate,
Rrate, resTime+dT, vol)
optMt = pricer(typ, under , strike, Qrate,
Rrate, resTime-dT, vol)
optPr = pricer(typ, under , strike, Qrate,
Rrate+dR, resTime , vol)
optMr = pricer(typ, under , strike, Qrate,
Rrate-dR, resTime , vol)
optPq = pricer(typ, under , strike, Qrate+dQ,
Rrate, resTime , vol)
optMq = pricer(typ, under , strike, Qrate-dQ,
Rrate, resTime , vol)
optPv = pricer(typ, under , strike, Qrate,
Rrate , resTime , vol+dVol)
optMv = pricer(typ, under , strike, Qrate,
Rrate , resTime , vol-dVol)
deltaNum = (optPs.value()-optMs.value())/(2*dS)
gammaNum = (optPs.delta()-optMs.delta())/(2*dS)
thetaNum =-(optPt.value()-optMt.value())/(2*dT)
rhoNum = (optPr.value()-optMr.value())/(2*dR)
divRhoNum= (optPq.value()-optMq.value())/(2*dQ)
vegaNum = (optPv.value()-optMv.value())/(2*dVol)
delta = opt.delta()
gamma = opt.gamma()
theta = opt.theta()
rho = opt.rho()
divRho = opt.dividendRho()
vega = opt.vega()
if not (relErr(delta,deltaNum,under)<=err_delta
and relErr(gamma,gammaNum,under)<=err_gamma
and relErr(theta,thetaNum,under)<=err_theta
and relErr(rho, rhoNum, under)<=err_rho
and relErr(divRho,divRhoNum,under)<=err_divRho
and relErr(vega, vegaNum, under)<=err_vega):
self.fail("""
Option details: %(typ)s %(under)f %(strike)f %(Qrate)f %(Rrate)f %(resTime)f %(vol)f
value = %(opt_val)+9.5f
delta = %(delta)+9.5f, deltaNum = %(deltaNum)+9.5f
gamma = %(gamma)+9.5f, gammaNum = %(gammaNum)+9.5f
theta = %(theta)+9.5f, thetaNum = %(thetaNum)+9.5f
rho = %(rho)+9.5f, rhoNum = %(rhoNum)+9.5f
divRho = %(divRho)+9.5f, divRhoNum = %(divRhoNum)+9.5f
vega = %(vega)+9.5f, vegaNum = %(vegaNum)+9.5f
""" % locals())
if __name__ == '__main__':
print 'testing QuantLib', QuantLib.__version__, QuantLib.QuantLibc.__file__, QuantLib.__file__
import sys
suite = unittest.TestSuite()
suite.addTest(BinaryOptionTest())
if sys.hexversion >= 0x020100f0:
unittest.TextTestRunner(verbosity=2).run(suite)
else:
unittest.TextTestRunner().run(suite)
raw_input('press any key to continue')
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