dispatch for am and eu options

Author: alexandrebrilhante

README.md

@@ -2,4 +2,4 @@
 
 [![Build Status](https://travis-ci.org/JuliaQuant/FinancialDerivatives.jl.svg?branch=master)](https://travis-ci.org/JuliaQuant/FinancialDerivatives.jl)
 
-[![](https://img.shields.io/badge/docs-stable-blue.svg)](https://juliaquant.github.io/FinancialDerivatives.jl/stable) or [![](https://img.shields.io/badge/docs-dev-blue.svg)](https://juliaquant.github.io/FinancialDerivatives.jl/dev/)
+[![](https://img.shields.io/badge/docs-stable-blue.svg)](https://juliaquant.github.io/FinancialDerivatives.jl/stable)[![](https://img.shields.io/badge/docs-dev-blue.svg)](https://juliaquant.github.io/FinancialDerivatives.jl/dev/)

src/models/black_scholes.jl

@@ -13,7 +13,7 @@ Evaluate option `O` using `BlackScholes` model.
 # Arguments
 - `O::Option`: Option
 """
-function evaluate(O::Option, m::BlackScholes)
+function evaluate(O::EuropeanOption, m::BlackScholes)
     d1 = (log(O.s / O.k) + (O.r + O.σ * O.σ / 2) * O.t) / (O.σ * √O.t)
     d2 = d1 - O.σ * √O.t
 
@@ -30,4 +30,4 @@ end
 
 Evaluate option `o` using Back-Scholes model as default valuation model.
 """
-evaluate(O::Option) = evaluate(O::Option, m::BlackScholes)
+evaluate(O::EuropeanOption) = evaluate(O::EuropeanOption, m::BlackScholes)

src/models/longstaff_schwartz.jl

@@ -14,7 +14,7 @@ Evaluate option `O` using `LongstaffSchwartz` binomial model.
 - `N`: number of paths to simulate
 - `P`: number of periods
 """
-function evaluate(O::Option, m::LongstaffSchwartz, N::Int64 = 1000, P::Int64 = 10000)
+function evaluate(O::AmericanOption, m::LongstaffSchwartz, N::Int64 = 1000, P::Int64 = 10000)
     Δt = O.t / N
     R = exp(O.r * Δt)
     T = typeof(O.s * exp(-O.σ^2 * Δt / 2 + O.σ * √Δt * 0.1) / R)

test/runtests.jl

@@ -1,34 +1,37 @@
 using FinancialDerivatives
 using Test
 
-op = AmericanOption(100.0, 90.0, 0.05, 0.3, 180/365, -1)
-oc = AmericanOption(100.0, 90.0, 0.05, 0.3, 180/365, 1)
+eu_put = AmericanOption(100.0, 90.0, 0.05, 0.3, 180/365, -1)
+eu_call = AmericanOption(100.0, 90.0, 0.05, 0.3, 180/365, 1)
+
+am_put = AmericanOption(100.0, 90.0, 0.05, 0.3, 180/365, -1)
+am_call = AmericanOption(100.0, 90.0, 0.05, 0.3, 180/365, 1)
 
 @testset "Black-Scholes" begin
-    @test isapprox(evaluate(op, BlackScholes()), 3.22, atol=0.1)
-    @test isapprox(evaluate(oc, BlackScholes()), 15.42, atol=0.1)
+    @test isapprox(evaluate(eu_put, BlackScholes()), 3.22, atol=0.1)
+    @test isapprox(evaluate(eu_call, BlackScholes()), 15.42, atol=0.1)
 end
 
 @testset "Cox-Ross-Rubinstein" begin
-    @test isapprox(evaluate(op, CoxRossRubinstein()), 3.22, atol=0.1)
-    @test isapprox(evaluate(oc, CoxRossRubinstein()), 15.42, atol=0.1)
+    @test isapprox(evaluate(am_put, CoxRossRubinstein()), 3.22, atol=0.1)
+    @test isapprox(evaluate(am_call, CoxRossRubinstein()), 15.42, atol=0.1)
 end
 
 @testset "Jarrow-Rudd" begin
-    @test isapprox(evaluate(op, JarrowRudd()), 3.22, atol=0.25)
-    @test isapprox(evaluate(oc, JarrowRudd()), 15.42, atol=0.25)
-    @test isapprox(evaluate(op, JarrowRudd(), false), 3.22, atol=0.25)
-    @test isapprox(evaluate(oc, JarrowRudd(), false), 15.42, atol=0.25)
+    @test isapprox(evaluate(am_put, JarrowRudd()), 3.22, atol=0.25)
+    @test isapprox(evaluate(am_call, JarrowRudd()), 15.42, atol=0.25)
+    @test isapprox(evaluate(am_put, JarrowRudd(), false), 3.22, atol=0.25)
+    @test isapprox(evaluate(am_call, JarrowRudd(), false), 15.42, atol=0.25)
 end
 
 @testset "Longstaff-Schwartz" begin
-    @test isapprox(evaluate(op, LongstaffSchwartz()), 3.22, atol=1)
-    @test isapprox(evaluate(oc, LongstaffSchwartz()), 15.42, atol=1)
+    @test isapprox(evaluate(am_put, LongstaffSchwartz()), 3.22, atol=1)
+    @test isapprox(evaluate(am_call, LongstaffSchwartz()), 15.42, atol=1)
 end
 
 @testset "Tian" begin
-    @test isapprox(evaluate(op, Tian()), 5.15, atol=0.25)
-    @test isapprox(evaluate(oc, Tian()), 11.87, atol=0.25)
+    @test isapprox(evaluate(am_put, Tian()), 5.15, atol=0.25)
+    @test isapprox(evaluate(am_call, Tian()), 11.87, atol=0.25)
 end
 
 @testset "Garman–Kohlhagen" begin
@@ -45,8 +48,8 @@ ird = InterestRateDerivative(0.01875, 0.20, 0.01, 0.012, 180/365)
 end
 
 @testset "Rendleman-Bartter" begin
-    @test isapprox(evaluate(op, RendlemanBartter()), 3.22, atol=0.25)
-    @test isapprox(evaluate(oc, RendlemanBartter()), 15.42, atol=0.25)
+    @test isapprox(evaluate(am_put, RendlemanBartter()), 3.22, atol=0.25)
+    @test isapprox(evaluate(am_call, RendlemanBartter()), 15.42, atol=0.25)
     @test isapprox(evaluate(ird, RendlemanBartter(), 2), [0.2, 0.2, 0.2, 0.2], atol=0.025)
 end