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, NormalFormulaRepository.price(TEST_FORWARD, TEST_STRIKE[j], expiryTime, sampleVol, putCall));
assertEquals(delta, NormalFormulaRepository.delta(TEST_FORWARD, TEST_STRIKE[j], expiryTime, sampleVol, putCall));
assertEquals(gamma, NormalFormulaRepository.gamma(TEST_FORWARD, TEST_STRIKE[j], expiryTime, sampleVol, putCall));
assertEquals(theta, NormalFormulaRepository.theta(TEST_FORWARD, TEST_STRIKE[j], expiryTime, sampleVol, putCall));
assertEquals(vega, NormalFormulaRepository.vega(TEST_FORWARD, TEST_STRIKE[j], expiryTime, sampleVol, putCall));
}
}
}
}
public double priceTheta(double expiry, PutCall putCall, double strike, double forward, double volatility)
{
return(NormalFormulaRepository.theta(forward, strike, expiry, volatility, putCall));
}
