it('testLongCall', function() {
var bs1=new OptionsStrategy([{q: 1, o: new BlackScholes('C',80,0,0.25,0)}]);
(bs1.loss(120,0)==0).should.eql(true);
(bs1.loss(100,0)==0).should.eql(true);
(bs1.loss(80,0)==0).should.eql(true);
(bs1.loss(60,0)==0).should.eql(true);
});
it('testShortPut', function() {
var bs1=new OptionsStrategy([{q: -1, o: new BlackScholes('P',80,0,0.25,0)}]);
(bs1.loss(120,0)==0).should.eql(true);
(bs1.loss(100,0)==0).should.eql(true);
(bs1.loss(80,0)==0).should.eql(true);
(bs1.loss(60,0)==-20).should.eql(true);
});
it('testQtyZero', function() {
var bs2=new OptionsStrategy([{q: 0, o: new BlackScholes('C',80,0,0.25,0)}]);
(bs2.loss(120,0)==0).should.eql(true);
(bs2.loss(100,0)==0).should.eql(true);
(bs2.loss(80,0)==0).should.eql(true);
(bs2.loss(60,0)==0).should.eql(true);
});
it('testLong2xCall', function() {
var bs2=new OptionsStrategy([{q:2, o: new BlackScholes('C',80,0,0.25,0)}]);
(bs2.loss(120,0)).should.eql(0);
(bs2.loss(100,0)).should.eql(0);
(bs2.loss(80,0)).should.eql(0);
(bs2.loss(60,0)).should.eql(0);
});
it('testTensor', function() {
var bs1=new OptionsStrategy([{q: 1, o: new BlackScholes('P',80,0,0.25,0.2)}]);
var x3=bs1.loss([60,80,100,120],[0,0.1,0.2]);
(Object.keys(x3).length==4).should.eql(true);
for(var k in x3) {
(Object.keys(x3[k]).length==3).should.eql(true);
}
});
it('testVector', function() {
var bs1=new OptionsStrategy([{q: 1, o: new BlackScholes('P',80,0,0.25,0)}]);
var x=bs1.loss([60,80,100,120],0);
(Object.keys(x).length==4).should.eql(true);
});