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"""
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: 1.10 $"
# $Source: /cvsroot/quantlib/QuantLib-Python/QuantLib/test/old_implied_volatility.py,v $
# this file tests the method impliedVolatility
# (it actually tests the Brent 1D solver used)
import QuantLib
import unittest
class OldImpliedVolatilityTest(unittest.TestCase):
def runTest(self):
"Testing old-style implied volatility and Brent 1D solver"
typRange = ['Call', 'Put', 'Straddle']
underRange = [80, 95, 99.90, 100, 100.10, 105, 120]
strikeRange = [80, 95, 99.90, 100, 100.10, 105, 120]
qRateRange = [0.01, 0.05, 0.10]
rRateRange = [0.01, 0.05, 0.10]
resTimeRange = [0.001, 0.1, 0.5, 1.0, 3.0]
volRange = [0.01, 0.2, 0.3, 0.7, 0.9]
dVolRange = [0.5, 0.999, 1.0, 1.001, 1.5]
maxEval = 100
tol = 1e-6
for typ in typRange:
for under in underRange:
for strike in strikeRange:
for qRate in qRateRange:
for rRate in rRateRange:
for resTime in resTimeRange:
for vol in volRange:
bsm = QuantLib.EuropeanOption(typ, under, \
strike, qRate, rRate, resTime, vol)
bsmValue = bsm.value()
if bsmValue==0.0 :
continue
for dVol in dVolRange:
vol2 = vol*dVol
bsm2 = QuantLib.EuropeanOption(typ, under, \
strike, qRate, rRate, resTime, vol2)
try:
implVol = bsm2.impliedVolatility(bsmValue, tol,
maxEval)
except Exception, e:
value2 = bsm2.value()
raise """
"%(e)s
Option details: %(typ)s %(under)f %(strike)f %(qRate)f %(rRate)f %(resTime)f
volatility: %(vol2)18.16f
option value: %(value2)20.12e
while trying to calculate implied vol from value %(bsmValue)20.12e
"""
if abs(implVol-vol) > tol:
bsm3 = QuantLib.EuropeanOption(typ, under,
strike, qRate, rRate, resTime, implVol)
bsm3Value = bsm3.value()
if not (abs(bsm3Value-bsmValue)/under<=1.0e-3):
value2 = bsm2.value()
self.fail("""
Option details: %(typ)s %(under)f %(strike)f %(qRate)f %(rRate)f %(resTime)f
at %(vol)18.16f vol the option value is %(bsmValue)20.12e
at %(vol2)18.16f vol the option value is %(value2)20.12e
at %(bsmValue)20.12e value the implied vol is %(implVol)20.16f
the error is %(err)10.2e (tolerance is %(tol)10.2e)
at %(implVol)18.16f vol the option value is %(bs3value)20.12e
""" % locals())
if __name__ == '__main__':
print 'testing QuantLib', QuantLib.__version__, QuantLib.QuantLibc.__file__, QuantLib.__file__
import sys
suite = unittest.TestSuite()
suite.addTest(OldImpliedVolatilityTest())
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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