context("VIX")
test_that("test.vix_ci", {
load(system.file("data", "vix_spx.RData", package = "ifrogs"))
load(system.file("data", "vix_nifty.RData", package = "ifrogs"))
# load the test output data
load(system.file("tests", "data_vix_ci.RData", package = "ifrogs"))
set.seed(101)
test_spx_near <- prep_maturity(maturity=vix_spx$opt_near$maturity[[1]],
riskfree=vix_spx$opt_near$riskfree[[1]],
carry=vix_spx$opt_near$riskfree[[1]],
type=vix_spx$opt_near$type,
strike=vix_spx$opt_near$strike,
underlying=vix_spx$opt_near$underlying,
schemes="vega",
bid=vix_spx$opt_near$bid,
ask=vix_spx$opt_near$ask,
tv_filter=FALSE)
test_spx_next <- prep_maturity(maturity=vix_spx$opt_next$maturity[[1]],
riskfree=vix_spx$opt_next$riskfree[[1]],
carry=vix_spx$opt_next$riskfree[[1]],
type=vix_spx$opt_next$type,
strike=vix_spx$opt_next$strike,
underlying=vix_spx$opt_next$underlying,
schemes="vega",
bid=vix_spx$opt_next$bid,
ask=vix_spx$opt_next$ask,
tv_filter=FALSE)
test_spx_ci <- vix_ci(prep_near=test_spx_near,
prep_next=test_spx_next,
n_samples=1e3, conf=0.95,
verbose=TRUE)
cat("\ntest.vix_ci: spx_near ")
expect_that(test_spx_near, equals(spx_near))
cat("\ntest.vix_ci: spx_next ")
expect_that(test_spx_next, equals(spx_next))
cat("\ntest.vix_ci: spx_ci ")
expect_that(test_spx_ci, equals(spx_ci))
##
set.seed(101)
test_nifty_near <- prep_maturity(maturity=vix_nifty$opt_near$maturity[[1]],
riskfree=vix_nifty$opt_near$riskfree[[1]],
carry=vix_nifty$opt_near$riskfree[[1]],
type=vix_nifty$opt_near$type,
strike=vix_nifty$opt_near$strike,
underlying=vix_nifty$opt_near$underlying,
schemes="vega",
bid=vix_nifty$opt_near$bid,
ask=vix_nifty$opt_near$ask,
traded_vol=vix_nifty$opt_near$traded_vol,
tv_filter=TRUE)
test_nifty_next <- prep_maturity(maturity=vix_nifty$opt_next$maturity[[1]],
riskfree=vix_nifty$opt_next$riskfree[[1]],
carry=vix_nifty$opt_next$riskfree[[1]],
type=vix_nifty$opt_next$type,
strike=vix_nifty$opt_next$strike,
underlying=vix_nifty$opt_next$underlying,
schemes="vega",
bid=vix_nifty$opt_next$bid,
ask=vix_nifty$opt_next$ask,
traded_vol=vix_nifty$opt_next$traded_vol,
tv_filter=TRUE)
test_nifty_ci <- vix_ci(prep_near=test_nifty_near,
prep_next=test_nifty_next,
n_samples=1e3, conf=0.95,
verbose=TRUE)
cat("\ntest.vix_ci: nifty_near ")
expect_that(test_nifty_near, equals(nifty_near))
cat("\ntest.vix_ci: nifty_next ")
expect_that(test_nifty_next, equals(nifty_next))
cat("\ntest.vix_ci: nifty_ci ")
expect_that(test_nifty_ci, equals(nifty_ci))
})
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