Nothing
context("Testing simulation function")
test_that("Cliam in vignette about equal result holds", {
# assign parameters
vol <- .1
mu <- .05
dt <- .05
V_0 <- 100
t. <- (1:50 - 1L) * dt
D <- c(rep(80, 27), rep( 70, length(t.) - 27))
r <- c(rep( 0, 13), rep(.02, length(t.) - 13))
# simulate underlying
set.seed(seed <- 83992673)
V <- V_0 * exp(
(mu - vol^2/2) * t. + cumsum(c(
0, rnorm(length(t.) - 1, sd = vol * sqrt(dt)))))
# compute stock price
S <- mapply(BS_call, V, D, T = 1, r, vol)
# with simulation function
set.seed(seed) # use same seed
sims <- BS_sim(vol = vol, mu = mu, dt = dt, V_0 = V_0, D = D, r = r, T. = 1)
expect_equal(sims$V, V)
expect_equal(sims$S, S)
})
test_that("Simulation function gives previous results", {
set.seed(17194596)
sims <- BS_sim(
vol = .1, mu = .05, dt = .1, V_0 = 100, T. = 1,
D = c(rep(80, 20), rep( 60, 20)),
r = c(rep( 0, 10), rep(.01, 30)))
expect_known_value(sims, "known_value/sims.RDS", update = FALSE)
})
test_that("We can get S and V from the simulated output", {
set.seed(36646265)
sims <- BS_sim(
vol = .1, mu = .05, dt = .1, V_0 = 100, T. = 1,
D = c(rep(80, 20), rep( 60, 20)),
r = c(rep( 0, 10), rep(.01, 30)))
with(sims, expect_equal(V, get_underlying(S, D, T, r, vol)))
with(sims, expect_equal(S, BS_call(V, D, T, r, vol)))
})
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