test_pricing_class.py 文件源码

def test_cal_price_cosine_3(self):
        cosine_pricer = FourierPricer(self.vanilla_option)
        strike_arr = np.array([5, 10, 30, 36, 40, 60])
        put_call_arr = np.array(['call', 'call', 'put', 'call', 'call', 'put'])
        exp = np.array([3.09958567e+01, 2.60163625e+01, 1.71886506e-04, 8.75203272e-01,
                        3.55292239e-02, 2.37785797e+01]
                       )

        volatility = 0.20
        N = 2000

        cosine_pricer.set_log_st_process(KouJump(sigma=volatility,
                                                 jump_rate=23.339325557373201,
                                                 exp_pos=59.378410421004197,
                                                 exp_neg=-59.447921334340137,
                                                 prob_pos=-200.08018971817182))
        cosine_pricer.set_pricing_engine(CosineEngine(N, L=30))
        res = cosine_pricer.calc_price(strike_arr, put_call_arr, put_label='put')
        npt.assert_array_almost_equal(res, exp, 6)