refactoring

tests/testthat/test-Malliavin_European_Greeks.R

@@ -22,7 +22,6 @@ test_that("Malliavin_European_Greeks is correct", {
  payoff <- c("call", "put", "cash_or_nothing_call", "cash_or_nothing_put",
  "asset_or_nothing_call", "asset_or_nothing_put")[i]
  antithetic <- sample(c(TRUE, FALSE), 1)
- greek <- Greeks
 
  Malliavin_Value <-
  Malliavin_European_Greeks(
@@ -32,7 +31,7 @@ test_that("Malliavin_European_Greeks is correct", {
  time_to_maturity = time_to_maturity,
  volatility = volatility,
  payoff = payoff,
- greek = greek,
+ greek = Greeks,
  paths = 2000000,
  antithetic = antithetic
  )
@@ -46,7 +45,7 @@ test_that("Malliavin_European_Greeks is correct", {
  volatility = volatility,
  dividend_yield = 0,
  payoff = payoff,
- greek = greek
+ greek = Greeks
  )
 
  error[i, ] <-

tests/testthat/test-Malliavin_Geometric_Asian_Greeks.R

@@ -5,7 +5,9 @@ test_that("Malliavin_Geometric_Asian_Greeks is correct", {
 
  number_of_runs <- 8
 
- error <- numeric(number_of_runs)
+ Greeks <- c("fair_value", "delta", "vega", "theta", "rho", "gamma")
+
+ error <- matrix(nrow = number_of_runs, ncol = length(Greeks))
 
  set.seed(42)
 
@@ -19,10 +21,8 @@ test_that("Malliavin_Geometric_Asian_Greeks is correct", {
  dividend_yield <- runif(1, 0, 0.1)
  volatility <- runif(1, 0.01, 1)
  model <- "Black_Scholes"
- greeks <- c("fair_value", "delta", "rho", "vega", "theta", "gamma")
  payoff <- rep(c("put", "call"), number_of_runs/2)[i]
- greek <- c("fair_value", "fair_value", "delta", "delta", "vega", "vega", "gamma", "gamma")[i]
- antithetic <- c(TRUE, FALSE)[i]
+ antithetic <- sample(c("call", "put"), 1)
 
  Value_MC <-
  Malliavin_Geometric_Asian_Greeks(
@@ -33,8 +33,8 @@ test_that("Malliavin_Geometric_Asian_Greeks is correct", {
  volatility = volatility,
  dividend_yield = dividend_yield,
  payoff = payoff,
- greek = greek,
- paths = 100000,
+ greek = Greeks,
+ paths = 10000,
  steps = 24,
  antithetic = antithetic
  )
@@ -48,17 +48,16 @@ test_that("Malliavin_Geometric_Asian_Greeks is correct", {
  volatility = volatility,
  dividend_yield = dividend_yield,
  payoff = payoff,
- greek = greek
+ greek = Greeks
  )
 
-
- error[i] <-
- min(abs(Value_MC - Value_exact)/(abs(Value_MC) + 1e-5), #TODO: Klammer hier überall richtig machen
+ error[i, ] <-
+ min(abs(Value_MC - Value_exact)/(abs(Value_MC) + 1e-5),
  abs(Value_MC - Value_exact))
 
  }
 
- expect(max(error) < 0.1)
+ expect(max(error) < 0.01)
 
  # We check, whether computation for vectorized parameters initial_value and
  # exercise price works
@@ -72,10 +71,10 @@ test_that("Malliavin_Geometric_Asian_Greeks is correct", {
  volatility = volatility,
  dividend_yield = dividend_yield,
  payoff = payoff,
- greek = greek,
+ greek = Greeks,
  paths = 100)
 
- single_initial_price_2 <-
+ single_initial_price <-
  Malliavin_Geometric_Asian_Greeks(
  initial_price = 100,
  exercise_price = exercise_price,
@@ -84,10 +83,10 @@ test_that("Malliavin_Geometric_Asian_Greeks is correct", {
  volatility = volatility,
  dividend_yield = dividend_yield,
  payoff = payoff,
- greek = greek,
+ greek = Greeks,
  paths = 100)
 
- expect(abs(vectorized_initial_price[2] - single_initial_price_2) < 1e-9,
+ expect(max(abs(vectorized_initial_price[2, ] - single_initial_price)) < 1e-9,
  "Malliavin_Geometric_Asian_Greeks: Vectorized computation wrt to
  initial_value does not work")
 
@@ -100,10 +99,10 @@ test_that("Malliavin_Geometric_Asian_Greeks is correct", {
  volatility = volatility,
  dividend_yield = dividend_yield,
  payoff = payoff,
- greek = greek,
+ greek = Greeks,
  paths = 100)
 
- single_exercise_price_2 <-
+ single_exercise_price <-
  Malliavin_Geometric_Asian_Greeks(
  initial_price = initial_price,
  exercise_price = 100,
@@ -112,10 +111,10 @@ test_that("Malliavin_Geometric_Asian_Greeks is correct", {
  volatility = volatility,
  dividend_yield = dividend_yield,
  payoff = payoff,
- greek = greek,
+ greek = Greeks,
  paths = 100)
 
- expect(abs(vectorized_exercise_price[2] - single_exercise_price_2) < 1e-9,
+ expect(max(abs(vectorized_exercise_price[2, ] - single_exercise_price)) < 1e-9,
  "Malliavin_Geometric_Asian_Greeks: Vectorized computation wrt to
  exercise_price does not work")
 
@@ -137,4 +136,4 @@ test_that("Malliavin_Geometric_Asian_Greeks is correct", {
  Malliavin_Geometric_Asian_Greeks(payoff = "digital_put", paths = 100))) < 1e-9,
  "Malliavin_Geometric_Asian_Greeks: Custom payoff functions do not work")
 
-})
+ })