tests/testthat/test-CBOE_VIX.R
In m-g-h/R.MFIV: Calculate Model Free Implied Volatility, i.e. the CBOE VIX from Option Quotes
test_that("CBOE_option_selection() works", {
## CREATE MOCK CALL AND PUT QUOTES
calls <- 16:1
puts <- 1:16
## FUNCTION TO SET INDIVIDUAL VALUES TO NA
set_NA <- function(indices, vector, rev = F){
if(rev){
vector <- rev(vector)
}
vector[indices] <- NA
if(rev){
rev(vector)
} else {
vector
}
}
## ALL COMBINATIONS OF POSSIBLE MISSING VALUES
na_list <- list(0,
c(1:2),
c(1:2, 4),
c(1:2, 4:5),
c(4:5),
c(2:3, 5:6),
c(2, 5:6),
c(1:2, 4, 6:7 ))
## CREATE INDIVIDUAL CALL AND PUT VECTORS
puts_NA <- purrr::map(.x = na_list,
.f = set_NA,
puts,
rev = F)
calls_NA <- purrr::map(.x = na_list,
.f = set_NA,
calls,
rev = T)
## CREATE THE CORRECT PUT AND CALL VECTORS AFTER SELECTION
na_list_cor <- list(0,
c(1:2),
c(1:2, 4),
c(1:5),
c(1:5),
c(1:6),
c(1:6),
c(1:7))
cor_puts_NA <- purrr::map(.x = na_list_cor,
.f = set_NA,
puts,
rev = F)
cor_calls_NA <- purrr::map(.x = na_list_cor,
.f = set_NA,
calls,
rev = T)
## CROSS THE TEST VECTORS
crossed_NA <- tidyr::expand_grid(calls_NA, puts_NA)
df_NA <- purrr::map2_dfr(crossed_NA, 1:length(crossed_NA),
.f = ~data.table::data.table(index = .y,
K = 1:16,
c = .x[[1]],
p = .x[[2]]))
nest_NA <- df_NA[, .(nest = list(.SD)),
by = index]
## CROSS THE CORRECT VECTORS
cor_crossed_NA <- tidyr::expand_grid(cor_calls_NA, cor_puts_NA)
cor_df_NA <- purrr::map2_dfr(cor_crossed_NA, 1:length(cor_crossed_NA),
.f = ~data.table::data.table(index = .y,
K = 1:16,
c = .x[[1]],
p = .x[[2]]))
cor_nest_NA <- cor_df_NA[!is.na(c)
][!is.na(p)
][, .(cor_nest = list(.SD)),
by = index]
## MERGE TEST AND CORRECT DATA
testdata <- nest_NA[cor_nest_NA, on = .(index = index)]
## SELECT OPTIONS VIA CBOE RULE
testdata[, sel_nest := list(list(CBOE_option_selection(nest[[1]], 7))),
by = index]
## ARE THE RESULTS CORRESPONDING?
testdata[, test := all.equal(cor_nest[[1]], sel_nest[[1]]),
by = index]
testthat::expect_equal(mean(testdata$test), 1)
})
test_that("CBOE_delta_K() works", {
strikes <- c(10, 12.5, c(1:10)*5 + 10, 62.5, 65)
testthat::expect_equal(CBOE_delta_K(K = strikes),
c(2.50, 2.50, 3.75, 5.00, 5.00, 5.00, 5.00, 5.00, 5.00, 5.00, 5.00, 3.75, 2.50, 2.50))
})
test_that("CBOE_F_0() works", {
testthat::expect_equal(CBOE_F_0(option_quotes = option_dataset$option_quotes[[1]],
R = 0.005,
maturity = 0.07),
147.40514177480915)
})
test_that("CBOE_K_0() works", {
## JUST NORMAL CALCULATION
testthat::expect_equal(CBOE_K_0(option_quotes = option_dataset$option_quotes[[1]],
F_0 = 147.5),
147)
## p is NA
nest_1 <- option_dataset$option_quotes[[1]]
nest_1[K == 147]$p <- NA
testthat::expect_equal(CBOE_K_0(option_quotes = nest_1,
F_0 = 147.5),
NA)
## c is NA
nest_2 <- option_dataset$option_quotes[[1]]
nest_2[K == 147]$c <- NA
testthat::expect_equal(CBOE_K_0(option_quotes = nest_2,
F_0 = 147.5),
NA)
})
test_that("CBOE_sigma_sq() works", {
sel_option_quotes <- CBOE_option_selection(option_dataset$option_quotes[[1]],
147)
testthat::expect_equal(CBOE_sigma_sq(sel_option_quotes = sel_option_quotes,
K_0 = 147,
F_0 = 147.5,
maturity = 0.07,
R = 0.005),
0.014171619562701705)
})
test_that("CBOE_VIX_vars() works", {
nest <- option_dataset$option_quotes[[1]]
## SINGLE RESULT
testthat::expect_equal(CBOE_VIX_vars(option_quotes = nest,
R = 0.005,
maturity = 0.07,
ret_vars = F),
0.014228381720205173)
## LIST RESULT
VIX_vars <- CBOE_VIX_vars(option_quotes = nest,
R = 0.005,
maturity = 0.07,
ret_vars = T)
# ## SAVE RESULTS
# saveRDS(VIX_vars, "tests/testthat/cor_VIX_vars")
## LOAD RESULTS
cor_VIX_vars <- readRDS("cor_VIX_vars")
testthat::expect_equal(VIX_vars,
cor_VIX_vars)
})
test_that("CBOE_VIX_vars() warnings work", {
## FIRST WARNING
nest_1 <- option_dataset$option_quotes[[1]][1,]
## IS A NA VALUE RETURNED?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_1,
R = 0.005,
maturity = 0.07,
ret_vars = F)),
NA)
## IS A LIST OF NA VALUES RETURNED FOR ret_vars = T?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_1,
R = 0.005,
maturity = 0.07,
ret_vars = T)),
list("F_0" = NA,
"K_0" = NA,
"n_put_raw" = NA,
"n_call_raw" = NA,
"n_put" = NA,
"n_call" = NA,
"sigma_sq" = NA))
## IS IT THE FIRST WARNING MESSAGE?
testthat::expect_warning(CBOE_VIX_vars(option_quotes = nest_1,
R = 0.005,
maturity = 0.07,
ret_vars = F),
regexp = "There were less than two quotes in")
## SECOND WARNING
nest_2 <- option_dataset$option_quotes[[1]][1:2,]
## IS A NA VALUE RETURNED?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_2,
R = 0.005,
maturity = 0.07,
ret_vars = F)),
NA)
## IS A LIST OF NA VALUES RETURNED FOR ret_vars = T?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_2,
R = 0.005,
maturity = 0.07,
ret_vars = T)),
list("F_0" = NA,
"K_0" = NA,
"n_put_raw" = NA,
"n_call_raw" = NA,
"n_put" = NA,
"n_call" = NA,
"sigma_sq" = NA))
## IS IT THE SECOND WARNING MESSAGE?
testthat::expect_warning(CBOE_VIX_vars(option_quotes = nest_2,
R = 0.005,
maturity = 0.07,
ret_vars = F),
regexp = "Could not calculate")
## THIRD WARNING
nest_3 <- option_dataset$option_quotes[[1]][32:37,]
## IS A NA VALUE RETURNED?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_3,
R = 0.005,
maturity = 0.07,
ret_vars = F)),
NA)
## IS A LIST OF NA VALUES RETURNED FOR ret_vars = T?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_3,
R = 0.005,
maturity = 0.07,
ret_vars = T)),
list("F_0" = 147.38783437093494,
"K_0" = 125,
"n_put_raw" = 3,
"n_call_raw" = 0,
"n_put" = NA,
"n_call" = NA,
"sigma_sq" = NA))
## IS IT THE THIRD WARNING MESSAGE?
testthat::expect_warning(CBOE_VIX_vars(option_quotes = nest_3,
R = 0.005,
maturity = 0.07,
ret_vars = F),
regexp = "There were no put / call quotes in")
## FOURTH WARNING FOR CALLS
nest_4 <- option_dataset$option_quotes[[1]]
nest_4$c[60:61] <- NA
## IS A NA VALUE RETURNED?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_4,
R = 0.005,
maturity = 0.07,
ret_vars = F)),
NA)
## IS A LIST OF NA VALUES RETURNED FOR ret_vars = T?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_4,
R = 0.005,
maturity = 0.07,
ret_vars = T)),
list("F_0" = 147.40514177480915,
"K_0" = 147,
"n_put_raw" = 24,
"n_call_raw" = 6,
"n_put" = 24,
"n_call" = 0,
"sigma_sq" = NA))
## IS IT THE FOURTH WARNING MESSAGE ?
testthat::expect_warning(CBOE_VIX_vars(option_quotes = nest_4,
R = 0.005,
maturity = 0.07,
ret_vars = F),
regexp = "after selecting by the CBOE rule")
## FOURTH WARNING FOR PUTS
nest_5 <- option_dataset$option_quotes[[1]]
nest_5$p[58:57] <- NA
## IS A NA VALUE RETURNED?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_5,
R = 0.005,
maturity = 0.07,
ret_vars = F)),
NA)
## IS A LIST OF NA VALUES RETURNED FOR ret_vars = T?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_5,
R = 0.005,
maturity = 0.07,
ret_vars = T)),
list("F_0" = 147.40514177480915,
"K_0" = 147,
"n_put_raw" = 22,
"n_call_raw" = 8,
"n_put" = 0,
"n_call" = 8,
"sigma_sq" = NA))
## IS IT THE FOURTH WARNING MESSAGE ?
testthat::expect_warning(CBOE_VIX_vars(option_quotes = nest_5,
R = 0.005,
maturity = 0.07,
ret_vars = F),
regexp = "after selecting by the CBOE rule")
})
test_that("CBOE_interpolation_terms() works", {
## WEEKLY
vals <- c(22.9, 23, 23.1,
29.9, 30, 30.1,
36.9, 37, 37.1)/365
res_wk <- numeric()
for (i in vals) {
res_wk <- c(res_wk, CBOE_interpolation_terms(maturity = i, method = "weekly"))
}
testthat::expect_equal(res_wk, c(NA, NA,1, 1, 1, 2, 2, 2, NA))
## MONTHLY
## 2020-17-01 is first, 2020-02-21 is second, 2020-03-20, is third 2020-04-17 is fourth valid friday
t <- lubridate::ymd("2020-01-09", # 17th is near-term, 21st next-term, 20th NA
"2020-01-10", # 17th is NA, 21st near-term, 20th next-term
"2020-01-11", # 17th is NA, 21st near-term, 20th next-term
"2020-02-13", # 17th is NA, 21st near-term, 20th next-term
"2020-02-14") # 21st is NA, 20th near-term, 17th next-term
exp <- lubridate::ymd("2020-01-24", # invalid friday, always NA
"2020-01-17",
"2020-02-21",
"2020-03-20",
"2020-04-17")
res_mn <- numeric()
for (i in 1:length(t)) {
for (j in 1:length(exp)) {
res_mn <- c(res_mn,
CBOE_interpolation_terms(date_t = t[i],
date_exp = exp[j],
method = "monthly")
)
}
}
testthat::expect_equal(res_mn, c(NA, 1, 2, NA, NA,
NA, NA, 1, 2, NA,
NA, NA, 1, 2, NA,
NA, NA, 1, 2, NA,
NA, NA, NA, 1, 2))
## Test special Case that threw an error in practice
testthat::expect_equal(CBOE_interpolation_terms(date_t = lubridate::ymd("2017-02-09"),
date_exp = lubridate::ymd("2017-03-31"),
method = "monthly"),
NA_integer_)
})
test_that("CBOE_VIX_index() works", {
## TEST ERROR MESSAGES
testthat::expect_error(CBOE_VIX_index(maturity = 1, sigma_sq = c(1,2)))
testthat::expect_error(CBOE_VIX_index(maturity = c(1,2), sigma_sq = 1))
testthat::expect_error(CBOE_VIX_index(maturity = 1, sigma_sq = 1))
## NORMAL CALCULATION (INTRAPOLATION)
testthat::expect_equal(CBOE_VIX_index(maturity = c(0.074, 0.09),
sigma_sq = c(0.3, 0.5)),
64.196962544967803)
## NORMAL CALCULATION (EXTRAPOLATION)
testthat::expect_equal(CBOE_VIX_index(maturity = c(0.09, 0.12),
sigma_sq = c(0.3, 0.5)),
47.328638264796922)
})
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test_that("CBOE_option_selection() works", {
## CREATE MOCK CALL AND PUT QUOTES
calls <- 16:1
puts <- 1:16
## FUNCTION TO SET INDIVIDUAL VALUES TO NA
set_NA <- function(indices, vector, rev = F){
if(rev){
vector <- rev(vector)
}
vector[indices] <- NA
if(rev){
rev(vector)
} else {
vector
}
}
## ALL COMBINATIONS OF POSSIBLE MISSING VALUES
na_list <- list(0,
c(1:2),
c(1:2, 4),
c(1:2, 4:5),
c(4:5),
c(2:3, 5:6),
c(2, 5:6),
c(1:2, 4, 6:7 ))
## CREATE INDIVIDUAL CALL AND PUT VECTORS
puts_NA <- purrr::map(.x = na_list,
.f = set_NA,
puts,
rev = F)
calls_NA <- purrr::map(.x = na_list,
.f = set_NA,
calls,
rev = T)
## CREATE THE CORRECT PUT AND CALL VECTORS AFTER SELECTION
na_list_cor <- list(0,
c(1:2),
c(1:2, 4),
c(1:5),
c(1:5),
c(1:6),
c(1:6),
c(1:7))
cor_puts_NA <- purrr::map(.x = na_list_cor,
.f = set_NA,
puts,
rev = F)
cor_calls_NA <- purrr::map(.x = na_list_cor,
.f = set_NA,
calls,
rev = T)
## CROSS THE TEST VECTORS
crossed_NA <- tidyr::expand_grid(calls_NA, puts_NA)
df_NA <- purrr::map2_dfr(crossed_NA, 1:length(crossed_NA),
.f = ~data.table::data.table(index = .y,
K = 1:16,
c = .x[[1]],
p = .x[[2]]))
nest_NA <- df_NA[, .(nest = list(.SD)),
by = index]
## CROSS THE CORRECT VECTORS
cor_crossed_NA <- tidyr::expand_grid(cor_calls_NA, cor_puts_NA)
cor_df_NA <- purrr::map2_dfr(cor_crossed_NA, 1:length(cor_crossed_NA),
.f = ~data.table::data.table(index = .y,
K = 1:16,
c = .x[[1]],
p = .x[[2]]))
cor_nest_NA <- cor_df_NA[!is.na(c)
][!is.na(p)
][, .(cor_nest = list(.SD)),
by = index]
## MERGE TEST AND CORRECT DATA
testdata <- nest_NA[cor_nest_NA, on = .(index = index)]
## SELECT OPTIONS VIA CBOE RULE
testdata[, sel_nest := list(list(CBOE_option_selection(nest[[1]], 7))),
by = index]
## ARE THE RESULTS CORRESPONDING?
testdata[, test := all.equal(cor_nest[[1]], sel_nest[[1]]),
by = index]
testthat::expect_equal(mean(testdata$test), 1)
})
test_that("CBOE_delta_K() works", {
strikes <- c(10, 12.5, c(1:10)*5 + 10, 62.5, 65)
testthat::expect_equal(CBOE_delta_K(K = strikes),
c(2.50, 2.50, 3.75, 5.00, 5.00, 5.00, 5.00, 5.00, 5.00, 5.00, 5.00, 3.75, 2.50, 2.50))
})
test_that("CBOE_F_0() works", {
testthat::expect_equal(CBOE_F_0(option_quotes = option_dataset$option_quotes[[1]],
R = 0.005,
maturity = 0.07),
147.40514177480915)
})
test_that("CBOE_K_0() works", {
## JUST NORMAL CALCULATION
testthat::expect_equal(CBOE_K_0(option_quotes = option_dataset$option_quotes[[1]],
F_0 = 147.5),
147)
## p is NA
nest_1 <- option_dataset$option_quotes[[1]]
nest_1[K == 147]$p <- NA
testthat::expect_equal(CBOE_K_0(option_quotes = nest_1,
F_0 = 147.5),
NA)
## c is NA
nest_2 <- option_dataset$option_quotes[[1]]
nest_2[K == 147]$c <- NA
testthat::expect_equal(CBOE_K_0(option_quotes = nest_2,
F_0 = 147.5),
NA)
})
test_that("CBOE_sigma_sq() works", {
sel_option_quotes <- CBOE_option_selection(option_dataset$option_quotes[[1]],
147)
testthat::expect_equal(CBOE_sigma_sq(sel_option_quotes = sel_option_quotes,
K_0 = 147,
F_0 = 147.5,
maturity = 0.07,
R = 0.005),
0.014171619562701705)
})
test_that("CBOE_VIX_vars() works", {
nest <- option_dataset$option_quotes[[1]]
## SINGLE RESULT
testthat::expect_equal(CBOE_VIX_vars(option_quotes = nest,
R = 0.005,
maturity = 0.07,
ret_vars = F),
0.014228381720205173)
## LIST RESULT
VIX_vars <- CBOE_VIX_vars(option_quotes = nest,
R = 0.005,
maturity = 0.07,
ret_vars = T)
# ## SAVE RESULTS
# saveRDS(VIX_vars, "tests/testthat/cor_VIX_vars")
## LOAD RESULTS
cor_VIX_vars <- readRDS("cor_VIX_vars")
testthat::expect_equal(VIX_vars,
cor_VIX_vars)
})
test_that("CBOE_VIX_vars() warnings work", {
## FIRST WARNING
nest_1 <- option_dataset$option_quotes[[1]][1,]
## IS A NA VALUE RETURNED?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_1,
R = 0.005,
maturity = 0.07,
ret_vars = F)),
NA)
## IS A LIST OF NA VALUES RETURNED FOR ret_vars = T?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_1,
R = 0.005,
maturity = 0.07,
ret_vars = T)),
list("F_0" = NA,
"K_0" = NA,
"n_put_raw" = NA,
"n_call_raw" = NA,
"n_put" = NA,
"n_call" = NA,
"sigma_sq" = NA))
## IS IT THE FIRST WARNING MESSAGE?
testthat::expect_warning(CBOE_VIX_vars(option_quotes = nest_1,
R = 0.005,
maturity = 0.07,
ret_vars = F),
regexp = "There were less than two quotes in")
## SECOND WARNING
nest_2 <- option_dataset$option_quotes[[1]][1:2,]
## IS A NA VALUE RETURNED?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_2,
R = 0.005,
maturity = 0.07,
ret_vars = F)),
NA)
## IS A LIST OF NA VALUES RETURNED FOR ret_vars = T?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_2,
R = 0.005,
maturity = 0.07,
ret_vars = T)),
list("F_0" = NA,
"K_0" = NA,
"n_put_raw" = NA,
"n_call_raw" = NA,
"n_put" = NA,
"n_call" = NA,
"sigma_sq" = NA))
## IS IT THE SECOND WARNING MESSAGE?
testthat::expect_warning(CBOE_VIX_vars(option_quotes = nest_2,
R = 0.005,
maturity = 0.07,
ret_vars = F),
regexp = "Could not calculate")
## THIRD WARNING
nest_3 <- option_dataset$option_quotes[[1]][32:37,]
## IS A NA VALUE RETURNED?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_3,
R = 0.005,
maturity = 0.07,
ret_vars = F)),
NA)
## IS A LIST OF NA VALUES RETURNED FOR ret_vars = T?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_3,
R = 0.005,
maturity = 0.07,
ret_vars = T)),
list("F_0" = 147.38783437093494,
"K_0" = 125,
"n_put_raw" = 3,
"n_call_raw" = 0,
"n_put" = NA,
"n_call" = NA,
"sigma_sq" = NA))
## IS IT THE THIRD WARNING MESSAGE?
testthat::expect_warning(CBOE_VIX_vars(option_quotes = nest_3,
R = 0.005,
maturity = 0.07,
ret_vars = F),
regexp = "There were no put / call quotes in")
## FOURTH WARNING FOR CALLS
nest_4 <- option_dataset$option_quotes[[1]]
nest_4$c[60:61] <- NA
## IS A NA VALUE RETURNED?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_4,
R = 0.005,
maturity = 0.07,
ret_vars = F)),
NA)
## IS A LIST OF NA VALUES RETURNED FOR ret_vars = T?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_4,
R = 0.005,
maturity = 0.07,
ret_vars = T)),
list("F_0" = 147.40514177480915,
"K_0" = 147,
"n_put_raw" = 24,
"n_call_raw" = 6,
"n_put" = 24,
"n_call" = 0,
"sigma_sq" = NA))
## IS IT THE FOURTH WARNING MESSAGE ?
testthat::expect_warning(CBOE_VIX_vars(option_quotes = nest_4,
R = 0.005,
maturity = 0.07,
ret_vars = F),
regexp = "after selecting by the CBOE rule")
## FOURTH WARNING FOR PUTS
nest_5 <- option_dataset$option_quotes[[1]]
nest_5$p[58:57] <- NA
## IS A NA VALUE RETURNED?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_5,
R = 0.005,
maturity = 0.07,
ret_vars = F)),
NA)
## IS A LIST OF NA VALUES RETURNED FOR ret_vars = T?
testthat::expect_equal(suppressWarnings(CBOE_VIX_vars(option_quotes = nest_5,
R = 0.005,
maturity = 0.07,
ret_vars = T)),
list("F_0" = 147.40514177480915,
"K_0" = 147,
"n_put_raw" = 22,
"n_call_raw" = 8,
"n_put" = 0,
"n_call" = 8,
"sigma_sq" = NA))
## IS IT THE FOURTH WARNING MESSAGE ?
testthat::expect_warning(CBOE_VIX_vars(option_quotes = nest_5,
R = 0.005,
maturity = 0.07,
ret_vars = F),
regexp = "after selecting by the CBOE rule")
})
test_that("CBOE_interpolation_terms() works", {
## WEEKLY
vals <- c(22.9, 23, 23.1,
29.9, 30, 30.1,
36.9, 37, 37.1)/365
res_wk <- numeric()
for (i in vals) {
res_wk <- c(res_wk, CBOE_interpolation_terms(maturity = i, method = "weekly"))
}
testthat::expect_equal(res_wk, c(NA, NA,1, 1, 1, 2, 2, 2, NA))
## MONTHLY
## 2020-17-01 is first, 2020-02-21 is second, 2020-03-20, is third 2020-04-17 is fourth valid friday
t <- lubridate::ymd("2020-01-09", # 17th is near-term, 21st next-term, 20th NA
"2020-01-10", # 17th is NA, 21st near-term, 20th next-term
"2020-01-11", # 17th is NA, 21st near-term, 20th next-term
"2020-02-13", # 17th is NA, 21st near-term, 20th next-term
"2020-02-14") # 21st is NA, 20th near-term, 17th next-term
exp <- lubridate::ymd("2020-01-24", # invalid friday, always NA
"2020-01-17",
"2020-02-21",
"2020-03-20",
"2020-04-17")
res_mn <- numeric()
for (i in 1:length(t)) {
for (j in 1:length(exp)) {
res_mn <- c(res_mn,
CBOE_interpolation_terms(date_t = t[i],
date_exp = exp[j],
method = "monthly")
)
}
}
testthat::expect_equal(res_mn, c(NA, 1, 2, NA, NA,
NA, NA, 1, 2, NA,
NA, NA, 1, 2, NA,
NA, NA, 1, 2, NA,
NA, NA, NA, 1, 2))
## Test special Case that threw an error in practice
testthat::expect_equal(CBOE_interpolation_terms(date_t = lubridate::ymd("2017-02-09"),
date_exp = lubridate::ymd("2017-03-31"),
method = "monthly"),
NA_integer_)
})
test_that("CBOE_VIX_index() works", {
## TEST ERROR MESSAGES
testthat::expect_error(CBOE_VIX_index(maturity = 1, sigma_sq = c(1,2)))
testthat::expect_error(CBOE_VIX_index(maturity = c(1,2), sigma_sq = 1))
testthat::expect_error(CBOE_VIX_index(maturity = 1, sigma_sq = 1))
## NORMAL CALCULATION (INTRAPOLATION)
testthat::expect_equal(CBOE_VIX_index(maturity = c(0.074, 0.09),
sigma_sq = c(0.3, 0.5)),
64.196962544967803)
## NORMAL CALCULATION (EXTRAPOLATION)
testthat::expect_equal(CBOE_VIX_index(maturity = c(0.09, 0.12),
sigma_sq = c(0.3, 0.5)),
47.328638264796922)
})
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