fix(quantil-prime-oob): out of bounds test for quantile prime

primitivefinance · Aug 4, 2021 · 08991de · 08991de
1 parent 79dfb91
commit 08991de
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Showing 3 changed files with 19 additions and 8 deletions.
diff --git a/test/book.test.ts b/test/book.test.ts
@@ -22,7 +22,6 @@ describe('Book', () => {
       const premiums = poolKeys.map(key => {
         const iv = +pools[strike][key].iv / 100
         const premium = math.callPremium(strike, iv, tau, spot)
-        console.log({ strike, iv, tau, spot, premium })
         return premium
       })
 
@@ -54,9 +53,8 @@ describe('Book', () => {
         return costs.reduce((a, b) => a + b) / totalSize
       }
 
-      const avg = calcAvgPrice(costs, totalSize)
-
-      console.log({ avg, costs, premiums })
+      calcAvgPrice(costs, totalSize)
+      //console.log({ avg, costs, premiums })
     })
   })
 })
diff --git a/test/cumulativeNormalDistribution.test.ts b/test/cumulativeNormalDistribution.test.ts
@@ -25,6 +25,15 @@ describe('Stats Math Library', () => {
       const x = 1.5
       expect(math.quantilePrime(x)).toEqual(NaN)
     })
+
+    it('return a number for in bounds number', () => {
+      const x = 1
+      expect(math.quantilePrime(x) > 0).toEqual(!NaN)
+    })
+    it('return a number for in bounds number', () => {
+      const x = 0
+      expect(math.quantilePrime(x) > 0).toEqual(!NaN)
+    })
   })
 
   describe('solidityNormalCDF', () => {

diff --git a/test/replicationMath.test.ts b/test/replicationMath.test.ts
@@ -1,13 +1,13 @@
 import * as math from '../src/ReplicationMath'
 
 describe('Replication math', () => {
-  describe('trading function', () => {
+  describe('getStableGivenRisky', () => {
     it('return 0 if strike price and invariant is 0', () => {
       expect(math.getStableGivenRisky(0.5, 0, 1, 1)).toEqual(0)
     })
 
     it('return 0 if risky reserve is 1', () => {
-      expect(math.getStableGivenRisky(1, 1, 1, 1, 1)).toEqual(0)
+      expect(math.getStableGivenRisky(1, 1, 1, 1)).toEqual(0)
     })
 
     it('return K if risky reserve is 0', () => {
@@ -21,7 +21,7 @@ describe('Replication math', () => {
     })
   })
 
-  describe('inverse trading function', () => {
+  describe('getRiskyGivenStable', () => {
     it('return 0 if strike price is 0', () => {
       expect(2).toEqual(2)
     })
@@ -37,7 +37,11 @@ describe('Replication math', () => {
 
   describe('calculate spot price', () => {
     it('shouldnt be nan', () => {
-      expect(math.getSpotPrice(1, 2, 1, 1) > 0).toBe(!NaN)
+      expect(math.getSpotPrice(0.999, 1, 1, 1) > 0).toBe(!NaN)
+    })
+
+    it('should be nan if 1 - reserveRisky is 0 or less', () => {
+      expect(math.getSpotPrice(1, 1, 1, 1)).toBe(NaN)
     })
 
     it('should be nan if reserveRisky is greater than 1', () => {