tst_approximate.cc

Financial Recipes

// tst_approximate.cc 

void tst_quadratic_approximation(){
    cout << " testing quadratic approximation " << endl;
    double X = 100;
    double r = 0.08;
    double sigma = 0.20;
    double time = 0.25;
    double b = -0.04;
    double S=100;
    cout << " call "
	 << option_price_american_call_approximated_baw(S,X,r,b,sigma,time)
	 << endl;
    cout << " put " 
	 << option_price_american_put_approximated_baw(S,X,r,b,sigma,time)
	 << endl;
    cout << "done test of approximation " << endl;
};
 
void tst_geske_johnson(){
    cout << "TESTING geske johnson american put approximation " << endl;
    cout << " not done " << endl;
    cout << "DONE TESTING geske johnson american put approximation " << endl;
};

void test_approximate(){
    tst_quadratic_approximation();
}