def test_vol_supplied(self):

# the volatility is based on a supplied parameter

print 'Baseline test of dummy security'

self.pricer = SimpleOptionPricer(sec_id='DummySecurity'

, option_type='call'

, strike=130

, maturity_d=datetime(2016, 1, 15)

, rfr=0.001

, spot_price=127.62

, vol=0.2

, div_rate=0.0163

, iterations=200

)

eo, ao = self.pricer.calculate(datetime(2015, 5, 8))

self.assertEqual(eo, 6.749271812460607, 'European Option with vol supplied matching')

self.assertEqual(ao, 6.84210328728556, 'American Option with vol supplied matching')

def test_vol_not_supplied(self):

# volatility is not supplied hence needs to calculated via quandl data service

print 'Test of historical volatility calculation'

self.pricer = SimpleOptionPricer(sec_id='IBM'

, option_type='call'

, strike=130

, maturity_d=datetime(2016, 1, 15)

, rfr=0.001

, spot_price=127.62

, div_rate=0.0163

, iterations=200

)

eo, ao = self.pricer.calculate(datetime(2015, 5, 8))

quandl_vol = self.pricer.vol

self.assertEqual(quandl_vol, 0.18843927034451727, 'Volatility is matching')

self.assertEqual(eo, 6.268062243196524, 'European Option w/o vol supplied matching')

self.assertEqual(ao, 6.357908806189591, 'American Option w/o vol supplied matching')

def test_future_cash_dividends_schedule_provided(self):

print 'Test of scheduled dividends'

self.pricer = SimpleOptionPricer(sec_id='IBM'

, option_type='call'

, strike=140

, maturity_d=datetime(2018, 7, 20)

, rfr=0.001

, spot_price=145.2

, div_sched=[datetime(2018, 6, 15)]

, div_amounts=[0.12]

, iterations=200

)

eo, ao = self.pricer.calculate(datetime(2018, 6, 14))

self.assertEqual(eo, 7.816059175341424, 'European Option with scheduled dividends matching')

self.assertEqual(ao, 7.816059175341424, 'American Option with scheduled dividends matching')