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Adapt Yield Curve and Volatility Surface and Market Data, to be better compatible with unit test.
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This commit is contained in:
David Doebel
2026-03-12 12:10:13 +01:00
parent 08298439ea
commit f98de4d0a3
13 changed files with 50 additions and 80 deletions
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18
tests/test_black_scholes.cpp
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@@ -11,7 +11,6 @@
#include "stubs/FlatYieldCurve.hpp"
#include "stubs/FlatVolatilitySurface.hpp"
#include "stubs/FakeMarketData.hpp"
TEST(BlackScholesProcess, ExpectedValue) {
// Market setup (via test stubs): S0=100, r=1%, sigma=20%
@@ -19,9 +18,14 @@ TEST(BlackScholesProcess, ExpectedValue) {
const double T = 1.0;
const int numPaths = 300000; // enough for stable MC estimate
// Build Black-Scholes process with fake flat market data
auto processCall = std::make_unique<BlackScholesProcess>(std::make_unique<FakeMarketData>());
auto processPut = std::make_unique<BlackScholesProcess>(std::make_unique<FakeMarketData>());
const MarketData marketData(
100.0,
std::make_shared<FlatYieldCurve>(0.01),
std::make_shared<FlatVolatilitySurface>(0.2));
// Build Black-Scholes process from an immutable market snapshot
auto processCall = std::make_unique<BlackScholesProcess>(marketData);
auto processPut = std::make_unique<BlackScholesProcess>(marketData);
// RNG shared between engines is fine
auto rng = std::make_shared<MersenneTwister>();
@@ -38,12 +42,12 @@ TEST(BlackScholesProcess, ExpectedValue) {
const double putPrice = putInstr.price();
// Ground truth Black–Scholes prices provided
const double callGT = 10.450583572;
const double putGT = 5.573526022;
const double callGT = 8.4333186901;
const double putGT = 7.4383020650;
// Monte Carlo tolerance
const double tol = 0.10; // 10 cents tolerance
ASSERT_NEAR(callPrice, callGT, tol);
ASSERT_NEAR(putPrice, putGT, tol);
}
}