Mercurial > public > python-black-scholes
view tests/test_helpers.py @ 1:b853194dc28b
add methods for eu call option
author | Dennis Concepcion Martin <dennisconcepcionmartin@gmail.com> |
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date | Mon, 15 Nov 2021 23:14:41 +0100 |
parents | |
children | ccffaf75d240 |
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from unittest import TestCase from fbs.helpers import Option class TestOption(TestCase): option = Option( spot_price=20.00, exercise_price=21.00, risk_free_rate=0.05, std=0.25, expiration=0.5 # 6 month (half year) ) def test_compute_eu_call_price(self): price = self.option.compute_eu_call_price() price = round(price, 2) self.assertEqual(price, 1.20, 'EU call price is not equal to 1.20') def test_compute_d1(self): d1 = self.option.compute_d1() d1 = round(d1, 2) self.assertEqual(d1, -0.05, 'D1 coefficient is not equal to -0.05') def test_compute_d2(self): d2 = self.option.compute_d2() d2 = round(d2, 2) self.assertEqual(d2, -0.22, 'D2 coefficient is now equal to -0.22')