fixup Equity & Option Module & tests, add EuroPut (#172)

src/Contract.jl

@@ -358,11 +358,30 @@ A European call option on the given contract with the given strike and maturity.
 
     EuroCall{S,K,M} <: FinanceCore.AbstractContract <: Any
 
+"""
+struct EuroCall{S<:AbstractContract,K<:Real,M<:Timepoint} <: AbstractContract
+    underlying::S
+    strike::K
+    maturity::M
+end
 
+"""
+    EuroPut(contract,strike,maturity)
 
+A European put option on the given contract with the given strike and maturity.
+
+# Arguments
+ - contract::AbstractContract -  The underlying contract.
+ - strike::Real -  The strike price.
+ - maturity::Union{Real,Date} -  The maturity of the option.
+
+ Supertype Hierarchy
+≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡
+
+    EuroPut{S,K,M} <: FinanceCore.AbstractContract <: Any
 
 """
-struct EuroCall{S<:AbstractContract,K<:Real,M<:Timepoint} <: AbstractContract
+struct EuroPut{S<:AbstractContract,K<:Real,M<:Timepoint} <: AbstractContract
     underlying::S
     strike::K
     maturity::M

src/model/Equity.jl

@@ -4,7 +4,13 @@ The `Equity` module provides equity-related model definitions.
 See also: the [`Volatility`](@ref FinanceModels.Volatility-API-Reference) module.
 """
 module Equity
+
 import ..AbstractModel
+import ..Volatility
+import ..Option
+import ..CommonEquity
+import ..eurocall, ..europut
+using ..FinanceCore
 
 abstract type AbstractEquityModel <: AbstractModel end
 
@@ -14,8 +20,8 @@ abstract type AbstractEquityModel <: AbstractModel end
 A struct representing the Black-Scholes-Merton model for equity prices.
 
 # Arguments
-- `r`: The risk-free rate.
-- `q`: The dividend yield.
+- `r`: The risk-free rate (continuously compounded scalar or a `FinanceCore.Rate` type).
+- `q`: The dividend yield (continuously compounded scalar or a `FinanceCore.Rate` type).
 - `σ`: The volatility model of the underlying asset (see [`Volatility`](@ref FinanceModels.Volatility-API-Reference) module) 
 
 # Fields
@@ -57,20 +63,31 @@ struct BlackScholesMerton{T,U,V} <: AbstractEquityModel
     r::T # risk free rate
     q::U # dividend yield
     σ::V # roughly equivalent to the volatility in the usual lognormal model multiplied by F^{1-β}_{0}
-end
+    # an inner constructor:
+
+    function BlackScholesMerton(r, q, σ::V) where {V}
+        rc = rate(Continuous(r))
+        qc = rate(Continuous(q))
+        new{typeof(rc),typeof(qc),V}(rc, qc, σ)
+    end
 
 end
 
 """
-    volatility(volatiltiy_model,strike_ratio,time_to_maturity)
+    volatility(volatility_model,strike_ratio,time_to_maturity)
 
-Returns the volatility associated with the moneyness (strike/price ratio) and time to maturity.
+Returns the volatility associated with the money-ness (strike/price ratio) and time to maturity.
 """
 function volatility(vol::Volatility.Constant, strike_ratio, time_to_maturity)
     return vol.σ
 end
 
 function FinanceCore.present_value(model::M, c::Option.EuroCall{CommonEquity,K,T}) where {M<:Equity.BlackScholesMerton,K,T}
     eurocall(; S=1.0, K=c.strike, τ=c.maturity, r=model.r, q=model.q, σ=model.σ)
+end
+
+function FinanceCore.present_value(model::M, c::Option.EuroPut{CommonEquity,K,T}) where {M<:Equity.BlackScholesMerton,K,T}
+    europut(; S=1.0, K=c.strike, τ=c.maturity, r=model.r, q=model.q, σ=model.σ)
+end
 
 end

test/Equity.jl

@@ -4,28 +4,28 @@
         # tested against https://option-price.com/index.php
         params = (S=1.0, K=1.0, τ=1, r=0.05, σ=0.25, q=0.0)
 
-        @test eurocall(; params...) ≈ 0.12336 atol = 1e-5
-        @test europut(; params...) ≈ 0.07459 atol = 1e-5
+        @test FinanceModels.eurocall(; params...) ≈ 0.12336 atol = 1e-5
+        @test FinanceModels.europut(; params...) ≈ 0.07459 atol = 1e-5
 
         params = (S=1.0, K=1.0, τ=1, r=0.05, σ=0.25, q=0.03)
-        @test eurocall(; params...) ≈ 0.105493 atol = 1e-5
-        @test europut(; params...) ≈ 0.086277 atol = 1e-5
+        @test FinanceModels.eurocall(; params...) ≈ 0.105493 atol = 1e-5
+        @test FinanceModels.europut(; params...) ≈ 0.086277 atol = 1e-5
 
         params = (S=1.0, K=0.5, τ=1, r=0.05, σ=0.25, q=0.03)
-        @test eurocall(; params...) ≈ 0.49494 atol = 1e-5
-        @test europut(; params...) ≈ 0.00011 atol = 1e-5
+        @test FinanceModels.eurocall(; params...) ≈ 0.49494 atol = 1e-5
+        @test FinanceModels.europut(; params...) ≈ 0.00011 atol = 1e-5
 
         params = (S=1.0, K=0.5, τ=1, r=0.05, σ=0.25, q=0.03)
-        @test eurocall(; params...) ≈ 0.49494 atol = 1e-5
-        @test europut(; params...) ≈ 0.00011 atol = 1e-5
+        @test FinanceModels.eurocall(; params...) ≈ 0.49494 atol = 1e-5
+        @test FinanceModels.europut(; params...) ≈ 0.00011 atol = 1e-5
 
         params = (S=1.0, K=0.5, τ=0, r=0.05, σ=0.25, q=0.03)
-        @test eurocall(; params...) ≈ 0.5 atol = 1e-5
-        @test europut(; params...) ≈ 0.0 atol = 1e-5
+        @test FinanceModels.eurocall(; params...) ≈ 0.5 atol = 1e-5
+        @test FinanceModels.europut(; params...) ≈ 0.0 atol = 1e-5
 
         params = (S=1.0, K=1.5, τ=0, r=0.05, σ=0.25, q=0.03)
-        @test eurocall(; params...) ≈ 0.0 atol = 1e-5
-        @test europut(; params...) ≈ 0.5 atol = 1e-5
+        @test FinanceModels.eurocall(; params...) ≈ 0.0 atol = 1e-5
+        @test FinanceModels.europut(; params...) ≈ 0.5 atol = 1e-5
 
     end
 end
@@ -40,11 +40,28 @@ end
 
     @test pv(m, a) ≈ 0.05410094201902403
 
+    ap = Option.EuroPut(CommonEquity(), 1.0, 1.0)
+
+    # put call parity with continuous dividend yield
+    # https://web.ma.utexas.edu/users/mcudina/m339d_lecture6.pdf, pg 2
+    @test pv(m, a) - pv(m, ap) ≈ 1.0 * exp(-0.02) - exp(-0.01) * 1.0
+
+
+    # test fitting volatility
     qs = [
         Quote(0.0541, a),
         Quote(0.072636, b),
     ]
     m = Equity.BlackScholesMerton(0.01, 0.02, Volatility.Constant())
     fit(m, qs)
     @test fit(m, qs).σ ≈ 0.15 atol = 1e-4
+
+    # test constructor with Rates
+    @test Equity.BlackScholesMerton(Continuous(0.01), Continuous(0.02), 0.15) isa Equity.BlackScholesMerton
+    m = Equity.BlackScholesMerton(Periodic(0.01, 1), Periodic(0.02, 1), 0.15)
+    # periodic rates should convert to Continuous equivalent that's higher than the Continuous rate
+    @test m.r < 0.01
+    @test m.q < 0.02
+
+
 end

test/runtests.jl

@@ -12,6 +12,7 @@ using Transducers
 include("generic.jl")
 include("sp.jl")
 
+include("Equity.jl")
 include("Yield.jl")
 include("CompositeYield.jl")
 include("SmithWilson.jl")