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Handle array inputs to black scholes

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bspeice
2016-03-05 18:50:53 -05:00
parent 299c0339e9
commit e9d24adbfd
3 changed files with 20 additions and 5 deletions
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15
test/blackscholes.jl
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@ -3,7 +3,20 @@ using Base.Test
using Quant
@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 blackscholes_call(100, 95, .25, .05, 2, 1) ==
blackscholes_call(100, 95, .25, .05, 1)
precompute_low = [15.047, 15.047]
precompute_high = [15.0471, 15.0471]
S = [100, 100]; K = [95, 95]; σ = [.25, .25]; r = [.05, .05]
T = [2, 2]; t = [1, 1]
@test all(precompute_low .< blackscholes_call(S, K, σ, r, T, t)
.< precompute_high)
@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)
precompute_low = [5.413, 5.413]
precompute_high = [5.414, 5.414]
@test all(precompute_low .< blackscholes_put(S, K, σ, r, T, t)
.< precompute_high)