Files

DigitalCallOption.cpp

#include "DigitalCallOption.h"
#include "DigitalPutOption.h"
#include "MonteCarloPricer.h"
#include "matlib.h"


static void testMonteCarloPrice() {
	rng("default");
	DigitalCallOption option;
	option.setMaturity(1.0);
	option.setStrike(100.0);
	BlackScholesModel model;
	model.drift = 0.0;
	model.stockPrice = 100.0;
	model.volatility = 0.2;
	model.riskFreeRate = 0.0;
	MonteCarloPricer pricer;
	double price = pricer.price(option, model);
	ASSERT_APPROX_EQUAL(price, 0.5, 0.1);
}

void testDigitalCallOption() {
	TEST(testMonteCarloPrice);
}