Mercurial > public > python-black-scholes
comparison tests/test_helpers.py @ 1:b853194dc28b
add methods for eu call option
| author | Dennis Concepcion Martin <dennisconcepcionmartin@gmail.com> |
|---|---|
| date | Mon, 15 Nov 2021 23:14:41 +0100 |
| parents | |
| children | ccffaf75d240 |
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| 0:e5f3f855e6f9 | 1:b853194dc28b |
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| 1 from unittest import TestCase | |
| 2 from fbs.helpers import Option | |
| 3 | |
| 4 | |
| 5 class TestOption(TestCase): | |
| 6 option = Option( | |
| 7 spot_price=20.00, | |
| 8 exercise_price=21.00, | |
| 9 risk_free_rate=0.05, | |
| 10 std=0.25, | |
| 11 expiration=0.5 # 6 month (half year) | |
| 12 ) | |
| 13 | |
| 14 def test_compute_eu_call_price(self): | |
| 15 price = self.option.compute_eu_call_price() | |
| 16 price = round(price, 2) | |
| 17 | |
| 18 self.assertEqual(price, 1.20, 'EU call price is not equal to 1.20') | |
| 19 | |
| 20 def test_compute_d1(self): | |
| 21 d1 = self.option.compute_d1() | |
| 22 d1 = round(d1, 2) | |
| 23 | |
| 24 self.assertEqual(d1, -0.05, 'D1 coefficient is not equal to -0.05') | |
| 25 | |
| 26 def test_compute_d2(self): | |
| 27 d2 = self.option.compute_d2() | |
| 28 d2 = round(d2, 2) | |
| 29 | |
| 30 self.assertEqual(d2, -0.22, 'D2 coefficient is now equal to -0.22') |