49 lines
1.7 KiB
C++
49 lines
1.7 KiB
C++
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//
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// Created by David Doebel on 06.03.2026.
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//
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#include <gtest/gtest.h>
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#include "BlackScholesProcess.hpp"
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#include "MonteCarloEngine.hpp"
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#include "Instrument.hpp"
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#include "Option.hpp"
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#include "Payoff.hpp"
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#include "stubs/FlatYieldCurve.hpp"
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#include "stubs/FlatVolatilitySurface.hpp"
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#include "stubs/FakeMarketData.hpp"
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TEST(BlackScholesProcess, ExpectedValue) {
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// Market setup (via test stubs): S0=100, r=1%, sigma=20%
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const double K = 100.0;
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const double T = 1.0;
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const int numPaths = 300000; // enough for stable MC estimate
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// Build Black-Scholes process with fake flat market data
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auto processCall = std::make_unique<BlackScholesProcess>(std::make_unique<FakeMarketData>());
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auto processPut = std::make_unique<BlackScholesProcess>(std::make_unique<FakeMarketData>());
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// RNG shared between engines is fine
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auto rng = std::make_shared<MersenneTwister>();
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// Pricing engines
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auto mcCall = std::make_unique<MonteCarloEngine>(numPaths, std::move(processCall), rng);
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auto mcPut = std::make_unique<MonteCarloEngine>(numPaths, std::move(processPut), rng);
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// Instruments (European vanilla) with call and put payoffs
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Instrument callInstr(T, std::make_unique<CallPayoff>(K), std::move(mcCall));
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Instrument putInstr(T, std::make_unique<PutPayoff>(K), std::move(mcPut));
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const double callPrice = callInstr.price();
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const double putPrice = putInstr.price();
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// Ground truth Black–Scholes prices provided
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const double callGT = 10.450583572;
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const double putGT = 5.573526022;
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// Monte Carlo tolerance
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const double tol = 0.10; // 10 cents tolerance
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ASSERT_NEAR(callPrice, callGT, tol);
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ASSERT_NEAR(putPrice, putGT, tol);
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}
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