inst/tinytest/test_black_scholes.R

In RcppFastAD: 'Rcpp' Bindings to 'FastAD' Auto-Differentiation

library(RcppFastAD)

bs <- black_scholes()
expect_equal(dim(bs), c(2,5))
expect_equal(colnames(bs), c("value", "delta", "vega", "rho", "theta"))
expect_equal(rownames(bs), c("call", "put"))
expect_equal(bs[1, "value"], 56.5136, tolerance=1e-4)
expect_equal(bs[1, "delta"], 0.77382, tolerance=1e-4)
expect_equal(bs[1, "vega"], 9.05493, tolerance=1e-4)
expect_equal(bs[1, "rho"], 2.03321, tolerance=1e-4)
expect_equal(bs[1, "theta"], 275.73, tolerance=1e-4)
expect_equal(bs[2, "value"], 51.4109, tolerance=1e-4)
expect_equal(bs[2, "delta"],-0.22618, tolerance=1e-4)
expect_equal(bs[2, "vega"], 9.05493, tolerance=1e-4)
expect_equal(bs[2, "rho"],-6.17753, tolerance=1e-4)
expect_equal(bs[2, "theta"], 274.48, tolerance=1e-4)