it('testCoveredCallShort', function() {
var bs1=new OptionsStrategy([
{ q: 1, o: new BlackScholes('C',80,0,0.25,0)},
{ q: -1, o: new BlackScholes('S',80,0,0.25,0)}
]);
var x=bs1.margin([60,80,100,120],0);
(x==80).should.eql(true);
});
it('testSpreadShort', function() {
var bs1=new OptionsStrategy([
{ q: -1, o: new BlackScholes('C',80,0,0.25,0.2)},
{ q: 1, o: new BlackScholes('C',90,0,0.25,0.2)}
]);
var x=bs1.margin([60,80,100,120],[0,0.1,0.2]);
(x==10).should.eql(true);
});
it('testStraddleShort', function() {
var bs1=new OptionsStrategy([
{ q: -1, o: new BlackScholes('C',80,0,0.25,0.2)},
{ q: -1, o: new BlackScholes('P',80,0,0.25,0.2)}
]);
var x=bs1.margin([60,80,100,120],[0,0.1,0.2]);
(x>40&&x<41).should.eql(true);
});
it('testMarginNumeric', function() {
// test that margin is always numeric
var bs1=new OptionsStrategy([{q: 1, o: new BlackScholes('P',80,0,0.25,0)}]);
var x=bs1.margin(60,0);
(is_numeric(x)).should.eql(true);
bs1=new OptionsStrategy([{q: 1, o: new BlackScholes('P',80,0,0.25,0)}]);
x=bs1.margin([60,80,100,120],0);
(is_numeric(x)).should.eql(true);
bs1=new OptionsStrategy([{q: 1, o: new BlackScholes('P',80,0,0.25,0.2)}]);
x=bs1.margin([60,80,100,120],[0,0.1,0.2]);
(is_numeric(x)).should.eql(true);
bs1=new OptionsStrategy([
{q:1, o: new BlackScholes('P',80,0,0.25,0)},
{q:-1, o: new BlackScholes('P',90,0,0.25,0)}
]);
x=bs1.margin(60,0);
(is_numeric(x)).should.eql(true);
});
it('testLongCallPremium', function() {
var bs1=new OptionsStrategy([{q: 1, o: new BlackScholes('C',80,0,0.25,0,2.12)}]);
var x=bs1.margin([60,80,100,120],0);
(x==2.12).should.eql(true);
});
it('testSecurityShort', function() {
var bs1=new OptionsStrategy([{q: -1, o: new BlackScholes('S',80,0,0.25,0)}]);
var x=bs1.margin([60,80,100,120],0);
(x==120).should.eql(true);
});
it('testShortCallVector', function() {
var bs1=new OptionsStrategy([{q: -1, o: new BlackScholes('C',80,0,0.25,0)}]);
var x=bs1.margin([60,80,100,120],0);
(x==40).should.eql(true);
});