tests

Author: risktoollib

NAMESPACE

@@ -43,7 +43,6 @@ export(swapInfo)
 export(tradeStats)
 export(tradeStrategyDY)
 export(tradeStrategySMA)
-import(numDeriv)
 import(rlang)
 importFrom(Rcpp,sourceCpp)
 importFrom(glue,glue)

tests/testthat/testthat.R

@@ -20,7 +20,7 @@ test_that("tradeCycle US Domestic",{
 
 test_that("barrierSpreadOption Boundary Conditions", {
   # Test setup
-  epsilon <- 1e-05
+  epsilon <- 1e-10
   F1 <- -12.00
   F2 <- -5.00
   T2M <- epsilon
@@ -32,8 +32,8 @@ test_that("barrierSpreadOption Boundary Conditions", {
   results <- tidyr::expand_grid(  # Using expand_grid instead of expand.grid for tibble output
     f1 = seq(-15, -8, by = 0.1),
     F2 = F2,
-    monitoring = c("continuous", "discrete", "terminal"),
-    type = c("call")
+    monitoring = c("continuous", "terminal"),
+    type = c("call","put")
   ) %>%
     dplyr::mutate(
       spread = F2 - f1,
@@ -71,21 +71,26 @@ test_that("barrierSpreadOption Boundary Conditions", {
   expect_true(all_match,
               label = "All prices should match intrinsic values at expiry")
 
-  # Additional specific tests
+  # Up and out options should have zero prices above barrier
+  zz = results %>% dplyr::filter(barrier_type == "uo", spread >= B)
   expect_true(
-    all(results$price[results$spread >= results$B] == 0),
+    all(dplyr::near(zz$price, zz$intrisic, tol = epsilon)),
     label = "Prices should be zero above barrier for up-and-out options"
   )
 
+  # Down and out options should have zero prices above barrier
+  zz = results %>% dplyr::filter(barrier_type == "do", spread <= B)
   expect_true(
-    all(results$price >= 0),
-    label = "All prices should be non-negative"
+    all(dplyr::near(zz$price, zz$intrisic, tol = epsilon)),
+    label = "Prices should be zero below barrier for dowm-and-out options"
   )
 
+  # All prices must be non-negative
   expect_true(
-    all(results$price[results$spread <= results$X] == 0),
-    label = "Prices should be zero below strike for call options"
+    all(results$price >= 0),
+    label = "All prices should be non-negative"
   )
+
 })