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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: 1.16 $"
# $Source: /cvsroot/quantlib/QuantLib-Python/QuantLib/test/finite_difference_european.py,v $
import QuantLib
import unittest
import math
class FDEuropeanOptionTest(unittest.TestCase):
def runTest(self):
"Testing finite-difference European option pricer"
under = 100
strikeMin = 60
rangeStrike = 100
rangeRrate = 0.18
rangeQrate = 0.02
rangeVol = 1.2
timeMin = 0.5
rangeTime = 2
tolerance = 8.42e-3
maxError = 0
L2err = 0
totCases = 200
rng = QuantLib.UniformRandomGenerator(56789012)
for ite in range(totCases):
strike = strikeMin + rangeStrike * rng.next().value
Qrate = rangeQrate * rng.next().value
Rrate = rangeRrate * rng.next().value
vol = rangeVol * rng.next().value
resTime = timeMin + rangeTime * rng.next().value
for optType in ['Call', 'Put', 'Straddle']:
anValue = QuantLib.EuropeanOption(
optType, under, strike, Qrate,
Rrate, resTime, vol).value()
numValue = QuantLib.FdEuropean(
optType, under, strike, Qrate,
Rrate, resTime, vol, 100, 400).value()
error = abs(anValue - numValue)
if not (error <= tolerance):
self.fail("""
Option details: %(optType)s %(under)g %(strike)g %(Qrate)g %(Rrate)g %(resTime)g %(vol)g
Error = %(error)12.2e
""" % locals())
if __name__ == '__main__':
print 'testing QuantLib', QuantLib.__version__, QuantLib.QuantLibc.__file__, QuantLib.__file__
import sys
suite = unittest.TestSuite()
suite.addTest(FDEuropeanOptionTest())
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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