test_pricing_class.py 文件源码

def test_cal_price_fractional_fft(self):
        fft_pricer = FourierPricer(self.vanilla_option)
        strike_arr = np.array([5, 10, 30, 36, 50, 60, 100])
        put_call_arr = np.array(['call', 'call', 'put', 'call', 'call', 'put', 'call'])
        exp = np.array(
            [3.09958567e+01, 2.60163625e+01, 8.25753140e-05, 8.12953226e-01,
             8.97449491e-11, 2.37785797e+01, 2.19293560e-85, ]
        )
        volatility = 0.20
        N = 2 ** 14
        d_u = 0.01
        d_k = 0.01
        alpha = 1
        fft_pricer.set_log_st_process(BlackScholes(volatility))
        fft_pricer.set_pricing_engine(FractionFFTEngine(N, d_u, d_k, alpha, spline_order=3))
        res = fft_pricer.calc_price(strike_arr, put_call_arr, put_label='put')
        npt.assert_array_almost_equal(res, exp, 6)