Examples of BlackScholesMertonModel

Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.BlackScholesMertonModel

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    final int n = 1001;
    final OptionDefinition call1 = new EuropeanVanillaOptionDefinition(SPOT * .9, EXPIRY, true);
    final OptionDefinition put1 = new EuropeanVanillaOptionDefinition(SPOT * .9, EXPIRY, false);
    final OptionDefinition call2 = new EuropeanVanillaOptionDefinition(SPOT * 1.1, EXPIRY, true);
    final OptionDefinition put2 = new EuropeanVanillaOptionDefinition(SPOT * 1.1, EXPIRY, false);
    final AnalyticOptionModel<OptionDefinition, StandardOptionDataBundle> bsm = new BlackScholesMertonModel();
    TreeOptionModel<OptionDefinition, StandardOptionDataBundle> treeModel = new BinomialOptionModel<>(CRR, n, 5);
    assertGreeks(call1, treeModel, bsm);
    assertGreeks(put1, treeModel, bsm);
    assertGreeks(call2, treeModel, bsm);
    assertGreeks(put2, treeModel, bsm);
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