@bmancini55/finance/__tests__/black-scholes.spec.ts

Finance utilities for JavaScript

import { expect } from "chai";
import { calcOptionPrice } from "../lib/black-scholes";
import { calcPutFromCall } from "../lib/black-scholes";
import { calcCallFromPut } from "../lib/black-scholes";
import { calcOptionDelta } from "../lib/black-scholes";
import { calcOptionGamma } from "../lib/black-scholes";
import { calcOptionTheta } from "../lib/black-scholes";
import { calcOptionVega } from "../lib/black-scholes";
import { calcOptionRho } from "../lib/black-scholes";
import { estimateIV } from "../lib/black-scholes";
import { calcIV } from "../lib/black-scholes";

describe("black-scholes", () => {
  describe(".calcOptionPrice", () => {
    it("should calculate price for a call", () => {
      expect(calcOptionPrice(true, 42, 40, 0.5, 0.05, 0.2)).to.be.closeTo(4.08, 0.01);
    });

    it("should calculate price for a put", () => {
      expect(calcOptionPrice(false, 42, 40, 0.5, 0.05, 0.2)).to.be.closeTo(1.09, 0.01);
    });
  });

  describe(".calcPutFromCall", () => {
    it("should calculate price correctly", () => {
      expect(calcPutFromCall(4.08, 42, 40, 0.5, 0.05)).to.be.closeTo(1.09, 0.01);
    });
  });

  describe(".calcCallFromPut", () => {
    it("should calculate price correctly", () => {
      expect(calcCallFromPut(1.09, 42, 40, 0.5, 0.05)).to.be.closeTo(4.08, 0.01);
    });
  });

  describe(".calcOptionDelta", () => {
    it("should calculate the option delta for a call", () => {
      expect(calcOptionDelta(true, 100, 100, 30 / 365, 0.05, 0.25)).to.be.closeTo(0.5371, 0.0001);
    });

    it("should calculate the option delta for a put", () => {
      expect(calcOptionDelta(false, 100, 100, 30 / 365, 0.05, 0.25)).to.be.closeTo(-0.4629, 0.0001);
    });
  });

  describe(".calcOptionGamma", () => {
    it("should calculate option gamma", () => {
      expect(calcOptionGamma(100, 100, 30 / 365, 0.05, 0.25)).to.be.closeTo(0.0554, 0.0001);
    });
  });

  describe(".calcOptionTheta", () => {
    it("should calculate theta for calls", () => {
      expect(calcOptionTheta(true, 100, 100, 30 / 365, 0.05, 0.25)).to.be.closeTo(-19.8513, 0.0001);
    });
    it("should calculate theta for puts", () => {
      expect(calcOptionTheta(false, 100, 100, 30 / 365, 0.05, 0.25)).to.be.closeTo(
        -14.8718,
        0.0001
      );
    });
  });

  describe(".calcOptionRho", () => {
    it("should calculate rho for calls", () => {
      expect(calcOptionRho(true, 100, 100, 30 / 365, 0.05, 0.25)).to.be.closeTo(4.1629, 0.0001);
    });

    it("should calculate rho for puts", () => {
      expect(calcOptionRho(false, 100, 100, 30 / 365, 0.05, 0.25)).to.be.closeTo(-4.0225, 0.0001);
    });
  });

  describe(".calcOptionVega", () => {
    it("should calculate the option vega", () => {
      expect(calcOptionVega(100, 100, 30 / 365, 0.05, 0.25)).to.be.closeTo(11.3877, 0.0001);
    });
  });

  describe(".calcIV", () => {
    it("should calculate the implied volatility for a call", () => {
      const x0 = estimateIV(1.25, 10.77, 27 / 365);
      expect(calcIV(true, 1.25, 10.77, 10, 27 / 365, 0.0152, x0)).to.be.closeTo(0.7113, 0.0001);
    });
    it("should calculate the implied volatility for a put", () => {
      const x0 = estimateIV(1.25, 10.77, 27 / 365);
      expect(calcIV(false, 0.47, 10.77, 10, 27 / 365, 0.0152, x0)).to.be.closeTo(0.7124, 0.0001);
    });
  });
});