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https://github.com/bspeice/Quant.jl
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30 lines
1.0 KiB
Julia
30 lines
1.0 KiB
Julia
using Base.Test
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#include("../src/blackscholes.jl")
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using Quant
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@test 15.047 < blackscholes_call(100, 95, .25, .05, 0, 2, 1) < 15.0471
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@test blackscholes_call(100, 95, .25, .05, 0, 2, 1) ==
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blackscholes_call(100, 95, .25, .05, 0, 1)
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precompute_low = [15.047, 15.047]
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precompute_high = [15.0471, 15.0471]
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S = [100, 100]; K = [95, 95]; σ = [.25, .25]; r = [.05, .05]
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q = [.0, .0]; T = [2, 2]; t = [1, 1]
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@test all(precompute_low .< blackscholes_call(S, K, σ, r, q, T, t)
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.< precompute_high)
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@test 5.413 < blackscholes_put(100, 95, .25, .05, .0, 2, 1) < 5.414
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@test blackscholes_put(100, 95, .25, .05, .0, 2, 1) ==
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blackscholes_put(100, 95, .25, .05, 0, 1)
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precompute_low = [5.413, 5.413]
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precompute_high = [5.414, 5.414]
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@test all(precompute_low .< blackscholes_put(S, K, σ, r, q, T, t)
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.< precompute_high)
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@test blackscholes_call(100, 95, .25, .05, 0, 2, 1) ==
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blackscholes_call(BlackScholes(100, 95, .25, .05, 0, 1, 2))
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@test blackscholes_put(100, 95, .25, .05, 0, 2, 1) ==
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blackscholes_put(BlackScholes(100, 95, .25, .05, 0, 1, 2))
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