public void ThetaFacts()
{
var t = 1.0;
var k = 100;
var f = 100;
var vol = 0.32;
var rf = 0.05;
var cp = OptionType.P;
//theta closely matches numerical estimate
var bumpT = 1e-10;
var PV1 = BlackFunctions.BlackPV(f, k, rf, t, vol, cp);
var PV2 = BlackFunctions.BlackPV(f, k, rf, t - bumpT, vol, cp);
var thetaEst = (PV2 - PV1) / bumpT;
var theta = BlackFunctions.BlackTheta(f, k, rf, t, vol, cp);
Assert.Equal(thetaEst, theta, 3);
//theta closely matches numerical estimate
cp = OptionType.C;
PV1 = BlackFunctions.BlackPV(f, k, rf, t, vol, cp);
PV2 = BlackFunctions.BlackPV(f, k, rf, t - bumpT, vol, cp);
thetaEst = (PV2 - PV1) / bumpT;
theta = BlackFunctions.BlackTheta(f, k, rf, t, vol, cp);
Assert.Equal(thetaEst, theta, 3);
}
