mirror-github-bspeice/Quant.jl
1
0
Fork 0
mirror of https://github.com/bspeice/Quant.jl synced 2025-07-04 23:35:12 -04:00
Code Issues Releases Wiki Activity

Make sure the black-scholes implementation works

Browse Source
This commit is contained in:
bspeice
2016-03-05 18:40:26 -05:00
parent 531ae12f0e
commit 299c0339e9
4 changed files with 20 additions and 36 deletions
Download Patch File Download Diff File Expand all files Collapse all files

8
test/blackscholes.jl
View File

@ -1,5 +1,9 @@
using Base.Test
#include("../src/blackscholes.jl")
using Quant
@test_approx blackscholes_call(.25, 2, 1, 100, 95, .05) 15.047
@test 15.047 < blackscholes_call(100, 95, .25, .05, 2, 1) < 15.0471
@test blackscholes_call(100, 95, .25, .05, 2, 1) == blackscholes_call(100, 95, .25, .05, 1)
@test_approx blackscholes_call(.25, 1, 100, 95, .05) blackscholes_call(.25, 2, 1, 100, 95, .05)
@test 5.413 < blackscholes_put(100, 95, .25, .05, 2, 1) < 5.414
@test blackscholes_put(100, 95, .25, .05, 2, 1) == blackscholes_put(100, 95, .25, .05, 1)