public virtual void test_price_formula()
{
double sampleVol = 0.2;
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
for (int j = 0; j < NB_TEST; j++)
{
foreach (PutCall putCall in new PutCall[] { PutCall.CALL, PutCall.PUT })
{
double price = VOLS.price(expiryTime, putCall, TEST_STRIKE[j], TEST_FORWARD, sampleVol);
double delta = VOLS.priceDelta(expiryTime, putCall, TEST_STRIKE[j], TEST_FORWARD, sampleVol);
double gamma = VOLS.priceGamma(expiryTime, putCall, TEST_STRIKE[j], TEST_FORWARD, sampleVol);
double theta = VOLS.priceTheta(expiryTime, putCall, TEST_STRIKE[j], TEST_FORWARD, sampleVol);
double vega = VOLS.priceVega(expiryTime, putCall, TEST_STRIKE[j], TEST_FORWARD, sampleVol);
assertEquals(price, BlackFormulaRepository.price(TEST_FORWARD, TEST_STRIKE[j], expiryTime, sampleVol, putCall.Call));
assertEquals(delta, BlackFormulaRepository.delta(TEST_FORWARD, TEST_STRIKE[j], expiryTime, sampleVol, putCall.Call));
assertEquals(gamma, BlackFormulaRepository.gamma(TEST_FORWARD, TEST_STRIKE[j], expiryTime, sampleVol));
assertEquals(theta, BlackFormulaRepository.driftlessTheta(TEST_FORWARD, TEST_STRIKE[j], expiryTime, sampleVol));
assertEquals(vega, BlackFormulaRepository.vega(TEST_FORWARD, TEST_STRIKE[j], expiryTime, sampleVol));
}
}
}
}
