-
Notifications
You must be signed in to change notification settings - Fork 11
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
(currently) partial dropped support for julia 0.7.0-dev since DualNum…
…bers and HyperDualNumbers are broken
- Loading branch information
Showing
3 changed files
with
285 additions
and
281 deletions.
There are no files selected for viewing
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -1,2 +1,2 @@ | ||
| julia 0.4 | ||
| julia 0.5 | ||
| SpecialFunctions |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -1,135 +1,138 @@ | ||
| using Base.Test | ||
| using FinancialToolbox | ||
| if (VERSION.major==0&&VERSION.minor<7) | ||
| #DualNumbers.jl currently do not supports julia 0.7.0-dev | ||
| print_with_color(:green,"Starting Dual Numbers Test\n") | ||
| print_with_color(:green,"Starting Dual Numbers Test\n") | ||
|
|
||
| print_with_color(:green,"Starting Dual Numbers Test\n") | ||
| #Test Parameters | ||
| testToll=1e-14; | ||
| spot=10;K=10;r=0.02;T=2.0;sigma=0.2;d=0.01; | ||
|
|
||
| #Test Parameters | ||
| testToll=1e-14; | ||
| spot=10;K=10;r=0.02;T=2.0;sigma=0.2;d=0.01; | ||
| #EuropeanCall Option | ||
| PriceCall=blsprice(spot,K,r,T,sigma,d); | ||
| DeltaCall=blsdelta(spot,K,r,T,sigma,d); | ||
| ThetaCall=blstheta(spot,K,r,T,sigma,d); | ||
| RhoCall=blsrho(spot,K,r,T,sigma,d); | ||
| LambdaCall=blslambda(spot,K,r,T,sigma,d); | ||
| VannaCall=blsvanna(spot,K,r,T,sigma,d); | ||
|
|
||
| #EuropeanCall Option | ||
| PriceCall=blsprice(spot,K,r,T,sigma,d); | ||
| DeltaCall=blsdelta(spot,K,r,T,sigma,d); | ||
| ThetaCall=blstheta(spot,K,r,T,sigma,d); | ||
| RhoCall=blsrho(spot,K,r,T,sigma,d); | ||
| LambdaCall=blslambda(spot,K,r,T,sigma,d); | ||
| VannaCall=blsvanna(spot,K,r,T,sigma,d); | ||
| #EuropeanPut Option | ||
| PricePut=blsprice(spot,K,r,T,sigma,d,false); | ||
| DeltaPut=blsdelta(spot,K,r,T,sigma,d,false); | ||
| ThetaPut=blstheta(spot,K,r,T,sigma,d,false); | ||
| RhoPut=blsrho(spot,K,r,T,sigma,d,false); | ||
| LambdaPut=blslambda(spot,K,r,T,sigma,d,false); | ||
| VannaPut=blsvanna(spot,K,r,T,sigma,d,false); | ||
|
|
||
| #EuropeanPut Option | ||
| PricePut=blsprice(spot,K,r,T,sigma,d,false); | ||
| DeltaPut=blsdelta(spot,K,r,T,sigma,d,false); | ||
| ThetaPut=blstheta(spot,K,r,T,sigma,d,false); | ||
| RhoPut=blsrho(spot,K,r,T,sigma,d,false); | ||
| LambdaPut=blslambda(spot,K,r,T,sigma,d,false); | ||
| VannaPut=blsvanna(spot,K,r,T,sigma,d,false); | ||
| #Equals for both Options | ||
| Gamma=blsgamma(spot,K,r,T,sigma,d); | ||
| Vega=blsvega(spot,K,r,T,sigma,d); | ||
|
|
||
| #Equals for both Options | ||
| Gamma=blsgamma(spot,K,r,T,sigma,d); | ||
| Vega=blsvega(spot,K,r,T,sigma,d); | ||
| ########DUAL NUMBERS | ||
| using DualNumbers; | ||
| DerToll=1e-13; | ||
| #Function definition | ||
| #Call | ||
| FcallDual(spot)=blsprice(spot,K,r,T,sigma,d); | ||
| GcallDual(r)=blsprice(spot,K,r,T,sigma,d); | ||
| HcallDual(T)=blsprice(spot,K,r,T,sigma,d); | ||
| LcallDual(sigma)=blsprice(spot,K,r,T,sigma,d); | ||
| PcallDual(spot)=blsprice(spot,K,r,T,sigma,d)*spot.value/blsprice(spot.value,K,r,T,sigma,d); | ||
| VcallDual(sigma)=blsdelta(spot,K,r,T,sigma,d); | ||
| #Put | ||
| FputDual(spot)=blsprice(spot,K,r,T,sigma,d,false); | ||
| GputDual(r)=blsprice(spot,K,r,T,sigma,d,false); | ||
| HputDual(T)=blsprice(spot,K,r,T,sigma,d,false); | ||
| PputDual(spot)=blsprice(spot,K,r,T,sigma,d,false)*spot.value/blsprice(spot.value,K,r,T,sigma,d,false); | ||
| VPutDual(sigma)=blsdelta(spot,K,r,T,sigma,d,false); | ||
| #Input | ||
| SpotDual=dual(spot,1.0); | ||
| rDual=dual(r,1.0); | ||
| TDual=dual(T,1.0); | ||
| SigmaDual=dual(sigma,1.0); | ||
|
|
||
| ########DUAL NUMBERS | ||
| using DualNumbers; | ||
| DerToll=1e-13; | ||
| #Function definition | ||
| #Call | ||
| FcallDual(spot)=blsprice(spot,K,r,T,sigma,d); | ||
| GcallDual(r)=blsprice(spot,K,r,T,sigma,d); | ||
| HcallDual(T)=blsprice(spot,K,r,T,sigma,d); | ||
| LcallDual(sigma)=blsprice(spot,K,r,T,sigma,d); | ||
| PcallDual(spot)=blsprice(spot,K,r,T,sigma,d)*spot.value/blsprice(spot.value,K,r,T,sigma,d); | ||
| VcallDual(sigma)=blsdelta(spot,K,r,T,sigma,d); | ||
| #Put | ||
| FputDual(spot)=blsprice(spot,K,r,T,sigma,d,false); | ||
| GputDual(r)=blsprice(spot,K,r,T,sigma,d,false); | ||
| HputDual(T)=blsprice(spot,K,r,T,sigma,d,false); | ||
| PputDual(spot)=blsprice(spot,K,r,T,sigma,d,false)*spot.value/blsprice(spot.value,K,r,T,sigma,d,false); | ||
| VPutDual(sigma)=blsdelta(spot,K,r,T,sigma,d,false); | ||
| #Input | ||
| SpotDual=dual(spot,1.0); | ||
| rDual=dual(r,1.0); | ||
| TDual=dual(T,1.0); | ||
| SigmaDual=dual(sigma,1.0); | ||
| #Automatic Differentiation Test | ||
| #TEST | ||
| print_with_color(:yellow,"--- European Call Sensitivities: DualNumbers\n") | ||
| print_with_color(:blue,"-----Testing Delta\n"); | ||
| @test(abs(FcallDual(SpotDual).epsilon-DeltaCall)<DerToll) | ||
| print_with_color(:blue,"-----Testing Rho\n"); | ||
| @test(abs(GcallDual(rDual).epsilon-RhoCall)<DerToll) | ||
| print_with_color(:blue,"-----Testing Theta\n"); | ||
| @test(abs(-HcallDual(TDual).epsilon-ThetaCall)<DerToll) | ||
| print_with_color(:blue,"-----Testing Lambda\n"); | ||
| @test(abs(PcallDual(SpotDual).epsilon-LambdaCall)<DerToll) | ||
| print_with_color(:blue,"-----Testing Vanna\n"); | ||
| @test(abs(VcallDual(SigmaDual).epsilon-VannaCall)<DerToll) | ||
| #TEST | ||
| print_with_color(:yellow,"--- European Put Sensitivities: DualNumbers\n") | ||
| print_with_color(:blue,"-----Testing Delta\n"); | ||
| @test(abs(FputDual(SpotDual).epsilon-DeltaPut)<DerToll) | ||
| print_with_color(:blue,"-----Testing Rho\n"); | ||
| @test(abs(GputDual(rDual).epsilon-RhoPut)<DerToll) | ||
| print_with_color(:blue,"-----Testing Theta\n"); | ||
| @test(abs(-HputDual(TDual).epsilon-ThetaPut)<DerToll) | ||
| print_with_color(:blue,"-----Testing Lambda\n"); | ||
| @test(abs(PputDual(SpotDual).epsilon-LambdaPut)<DerToll) | ||
| print_with_color(:blue,"-----Testing Vanna\n"); | ||
| @test(abs(VPutDual(SigmaDual).epsilon-VannaPut)<DerToll) | ||
|
|
||
| #Automatic Differentiation Test | ||
| #TEST | ||
| print_with_color(:yellow,"--- European Call Sensitivities: DualNumbers\n") | ||
| print_with_color(:blue,"-----Testing Delta\n"); | ||
| @test(abs(FcallDual(SpotDual).epsilon-DeltaCall)<DerToll) | ||
| print_with_color(:blue,"-----Testing Rho\n"); | ||
| @test(abs(GcallDual(rDual).epsilon-RhoCall)<DerToll) | ||
| print_with_color(:blue,"-----Testing Theta\n"); | ||
| @test(abs(-HcallDual(TDual).epsilon-ThetaCall)<DerToll) | ||
| print_with_color(:blue,"-----Testing Lambda\n"); | ||
| @test(abs(PcallDual(SpotDual).epsilon-LambdaCall)<DerToll) | ||
| print_with_color(:blue,"-----Testing Vanna\n"); | ||
| @test(abs(VcallDual(SigmaDual).epsilon-VannaCall)<DerToll) | ||
| #TEST | ||
| print_with_color(:yellow,"--- European Put Sensitivities: DualNumbers\n") | ||
| print_with_color(:blue,"-----Testing Delta\n"); | ||
| @test(abs(FputDual(SpotDual).epsilon-DeltaPut)<DerToll) | ||
| print_with_color(:blue,"-----Testing Rho\n"); | ||
| @test(abs(GputDual(rDual).epsilon-RhoPut)<DerToll) | ||
| print_with_color(:blue,"-----Testing Theta\n"); | ||
| @test(abs(-HputDual(TDual).epsilon-ThetaPut)<DerToll) | ||
| print_with_color(:blue,"-----Testing Lambda\n"); | ||
| @test(abs(PputDual(SpotDual).epsilon-LambdaPut)<DerToll) | ||
| print_with_color(:blue,"-----Testing Vanna\n"); | ||
| @test(abs(VPutDual(SigmaDual).epsilon-VannaPut)<DerToll) | ||
| print_with_color(:blue,"-----Testing Vega\n"); | ||
| @test(abs(LcallDual(SigmaDual).epsilon-Vega)<DerToll) | ||
| print_with_color(:green,"Dual Numbers Test Passed\n") | ||
| println("") | ||
|
|
||
| print_with_color(:blue,"-----Testing Vega\n"); | ||
| @test(abs(LcallDual(SigmaDual).epsilon-Vega)<DerToll) | ||
| print_with_color(:green,"Dual Numbers Test Passed\n") | ||
| println("") | ||
| #TEST OF INPUT VALIDATION | ||
| print_with_color(:magenta,"Starting Input Validation Test Dual\n") | ||
| print_with_color(:cyan,"----Testing Negative Spot Price \n") | ||
| @test_throws(ErrorException, blsprice(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blkprice(-SpotDual,K,r,T,sigma)) | ||
| @test_throws(ErrorException, blsdelta(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsgamma(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blstheta(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsrho(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blspsi(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blslambda(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsvanna(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsvega(-SpotDual,K,r,T,sigma,d)) | ||
|
|
||
| #TEST OF INPUT VALIDATION | ||
| print_with_color(:magenta,"Starting Input Validation Test Dual\n") | ||
| print_with_color(:cyan,"----Testing Negative Spot Price \n") | ||
| @test_throws(ErrorException, blsprice(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blkprice(-SpotDual,K,r,T,sigma)) | ||
| @test_throws(ErrorException, blsdelta(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsgamma(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blstheta(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsrho(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blspsi(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blslambda(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsvanna(-SpotDual,K,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsvega(-SpotDual,K,r,T,sigma,d)) | ||
| print_with_color(:cyan,"----Testing Negative Strike Price \n") | ||
| KK=Dual(K,0); | ||
| @test_throws(ErrorException, blsprice(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blkprice(spot,-KK,r,T,sigma)) | ||
| @test_throws(ErrorException, blsdelta(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsgamma(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blstheta(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsrho(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blspsi(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blslambda(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsvanna(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsvega(spot,-KK,r,T,sigma,d)) | ||
|
|
||
| print_with_color(:cyan,"----Testing Negative Strike Price \n") | ||
| KK=Dual(K,0); | ||
| @test_throws(ErrorException, blsprice(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blkprice(spot,-KK,r,T,sigma)) | ||
| @test_throws(ErrorException, blsdelta(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsgamma(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blstheta(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsrho(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blspsi(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blslambda(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsvanna(spot,-KK,r,T,sigma,d)) | ||
| @test_throws(ErrorException, blsvega(spot,-KK,r,T,sigma,d)) | ||
| print_with_color(:cyan,"----Testing Negative Time to Maturity \n") | ||
| @test_throws(ErrorException, blsprice(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blkprice(spot,K,r,-TDual,sigma)) | ||
| @test_throws(ErrorException, blsdelta(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blsgamma(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blstheta(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blsrho(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blspsi(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blslambda(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blsvanna(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blsvega(spot,K,r,-TDual,sigma,d)) | ||
|
|
||
| print_with_color(:cyan,"----Testing Negative Time to Maturity \n") | ||
| @test_throws(ErrorException, blsprice(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blkprice(spot,K,r,-TDual,sigma)) | ||
| @test_throws(ErrorException, blsdelta(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blsgamma(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blstheta(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blsrho(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blspsi(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blslambda(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blsvanna(spot,K,r,-TDual,sigma,d)) | ||
| @test_throws(ErrorException, blsvega(spot,K,r,-TDual,sigma,d)) | ||
| print_with_color(:cyan,"----Testing Negative Volatility \n") | ||
| @test_throws(ErrorException, blsprice(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blkprice(spot,K,r,T,-SigmaDual)) | ||
| @test_throws(ErrorException, blsdelta(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blsgamma(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blstheta(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blsrho(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blspsi(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blslambda(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blsvanna(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blsvega(spot,K,r,T,-SigmaDual,d)) | ||
|
|
||
| print_with_color(:cyan,"----Testing Negative Volatility \n") | ||
| @test_throws(ErrorException, blsprice(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blkprice(spot,K,r,T,-SigmaDual)) | ||
| @test_throws(ErrorException, blsdelta(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blsgamma(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blstheta(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blsrho(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blspsi(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blslambda(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blsvanna(spot,K,r,T,-SigmaDual,d)) | ||
| @test_throws(ErrorException, blsvega(spot,K,r,T,-SigmaDual,d)) | ||
|
|
||
| print_with_color(:magenta,"Dual Input Validation Test Passed\n") | ||
| print_with_color(:magenta,"Dual Input Validation Test Passed\n") | ||
| end |
Oops, something went wrong.