test_pricing_class.py 文件源码

def test_cal_price_cosine_5(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([22.48662613, 17.50712233, -8.50824394, -7.13267131, -7.22087064,
                        16.09965887]
                       )

        volatility = 0.20
        N = 2000

        cosine_pricer.set_log_st_process(Poisson(
            jump_rate=0.339325557373201,
        ))
        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)