I believe that examples should be nontrivial, interesting and useful for library testing. What do you think?
To start with I’ll write two examples:
BSM European Option Test:
Goal: tests errors of the solutions using different methods.
Computes and compares European call value using BSM formula, Monte-Carlo and Finite-Differences method, displays relative error.
Tests put-call parity.
Hedging error example:
Goals: shows usage of the QL for experimental study.
Computes profit/loss of the short European option position due to discrete hedging.
It would be nice to receive your example ideas.