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chemardes merged 1 commit into from
Apr 21, 2025
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FEATURE: adding tests #64

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52 changes: 44 additions & 8 deletions pdesolvers/tests/test_black_scholes.py
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Original file line number Diff line number Diff line change
Expand Up @@ -28,29 +28,48 @@ class TestBlackScholesSolvers:

def setup_method(self):
self.equation = bse.BlackScholesEquation(OptionType.EUROPEAN_CALL, 300, 100, 0.05, 0.2, 1, 100, 2000)
self.test_asset_grid = self.equation.generate_grid(self.equation.S_max, self.equation.s_nodes)
self.test_time_grid = self.equation.generate_grid(self.equation.expiry, self.equation.t_nodes)

# explicit method tests

def test_check_lower_boundary_for_call_explicit(self):
result = solver.BlackScholesExplicitSolver(self.equation).solve().get_result()
assert np.all(result[0,:]) == 0

def test_check_upper_boundary_for_call_explicit(self):
result = solver.BlackScholesExplicitSolver(self.equation).solve().get_result()

expected_value = self.test_asset_grid[-1] - self.equation.strike_price * np.exp(-self.equation.rate * (self.equation.expiry - self.test_time_grid))
assert np.isclose(result[-1, :], expected_value, atol=1e-6).all()

def test_check_terminal_condition_for_call_explicit(self):
result = solver.BlackScholesExplicitSolver(self.equation).solve().get_result()

test_asset_grid = self.equation.generate_grid(self.equation.S_max, self.equation.s_nodes)
test_strike_price = self.equation.strike_price
expected_payoff = np.maximum(test_asset_grid - test_strike_price, 0)
expected_payoff = np.maximum(self.test_asset_grid - test_strike_price, 0)

assert np.array_equal(result[:, -1], expected_payoff)

def test_check_lower_boundary_for_put_explicit(self):
self.equation.option_type = OptionType.EUROPEAN_PUT
result = solver.BlackScholesExplicitSolver(self.equation).solve().get_result()

expected_value = self.equation.strike_price * np.exp(-self.equation.rate * (self.equation.expiry - self.test_time_grid))
assert np.isclose(result[0, :], expected_value, atol=1e-6).all()

def test_check_upper_boundary_for_put_explicit(self):
self.equation.option_type = OptionType.EUROPEAN_PUT
result = solver.BlackScholesExplicitSolver(self.equation).solve().get_result()

assert np.all(result[-1,:]) == 0

def test_check_terminal_condition_for_put_explicit(self):
self.equation.option_type = OptionType.EUROPEAN_PUT
result = solver.BlackScholesExplicitSolver(self.equation).solve().get_result()

test_asset_grid = self.equation.generate_grid(self.equation.S_max, self.equation.s_nodes)
test_strike_price = self.equation.strike_price
expected_payoff = np.maximum(test_strike_price - test_asset_grid, 0)
expected_payoff = np.maximum(test_strike_price - self.test_asset_grid, 0)

assert np.array_equal(result[:,-1], expected_payoff)

Expand All @@ -66,22 +85,39 @@ def test_check_lower_boundary_for_call_cn(self):
result = solver.BlackScholesCNSolver(self.equation).solve().get_result()
assert np.all(result[0,:]) == 0

def test_check_upper_boundary_for_call_cn(self):
result = solver.BlackScholesCNSolver(self.equation).solve().get_result()

expected_value = self.test_asset_grid[-1] - self.equation.strike_price * np.exp(-self.equation.rate * (self.equation.expiry - self.test_time_grid))
assert np.isclose(result[-1, :], expected_value, atol=1e-6).all()

def test_check_terminal_condition_for_call_cn(self):
result = solver.BlackScholesCNSolver(self.equation).solve().get_result()

test_asset_grid = self.equation.generate_grid(self.equation.S_max, self.equation.s_nodes)
test_strike_price = self.equation.strike_price
expected_payoff = np.maximum(test_asset_grid - test_strike_price, 0)
expected_payoff = np.maximum(self.test_asset_grid - test_strike_price, 0)

assert np.array_equal(result[:, -1], expected_payoff)

def test_check_lower_boundary_for_put_cn(self):
self.equation.option_type = OptionType.EUROPEAN_PUT
result = solver.BlackScholesCNSolver(self.equation).solve().get_result()

expected_value = self.equation.strike_price * np.exp(-self.equation.rate * (self.equation.expiry - self.test_time_grid))
assert np.isclose(result[0, :], expected_value, atol=1e-6).all()

def test_check_upper_boundary_for_cn(self):
self.equation.option_type = OptionType.EUROPEAN_PUT
result = solver.BlackScholesCNSolver(self.equation).solve().get_result()

assert np.all(result[-1,:]) == 0

def test_check_terminal_condition_for_put_cn(self):
self.equation.option_type = OptionType.EUROPEAN_PUT
result = solver.BlackScholesCNSolver(self.equation).solve().get_result()

test_asset_grid = self.equation.generate_grid(self.equation.S_max, self.equation.s_nodes)
test_strike_price = self.equation.strike_price
expected_payoff = np.maximum(test_strike_price - test_asset_grid, 0)
expected_payoff = np.maximum(test_strike_price - self.test_asset_grid, 0)

assert np.array_equal(result[:,-1], expected_payoff)

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