tests/testthat/jump_tests.R

In derivmkts: Functions and R Code to Accompany Derivatives Markets

source('~/git/derivmkts/R/jumps.R')

library(testthat)
## we will generally use these parameters:
#kseq <- rep(c(35, 40, 45), times=3)
#Hseq <- rep(c(35, 40, 45), each=3)
#s <- 40; v <- 0.30; r <- 0.08;  tt <- 0.25; d <- 0.02

## The saved file has the parameter values used in the test along with
## the uppercased names of the functions, which have been downcased
## for this version file
#load('~/git/derivmkts/tests/testthat/option_testvalues.Rdata')
#load('option_testvalues.Rdata')
load('~/git/derivmkts/tests/testthat/option_testvalues.Rdata')
## for each function name, we will generate results believed correct
## from options.R. Then we will test against barriers.R


for (i in jumpfns) {
##    i <- 'CashCallJump'
    jumpfn <- gsub('call', '', tolower(i))
    test_that(paste(jumpfn, 'works'), {
        correct <- jumpvals[, i]
        p <- list(s=s, k=kseqjump, v=v, r=r,
                            tt=tt, d=d, lambda=lambda,
                            alphaj=alphaj, vj=vj,
                            complete = TRUE
                            )
        tmp <- unique(do.call(jumpfn, p)[c('Call', 'Put')])
        unknown <- tmp[grep('Call', names(tmp))][[1]]
        expect_equivalent(correct, unknown)
    }
    )
    print(paste(i, 'okay'))
}