Package com.opengamma.analytics.financial.commodity.definition

Examples of com.opengamma.analytics.financial.commodity.definition.EnergyFutureDefinition

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          underlyingDefinition,
          commodityOption.getStrike() * 100.0, // TODO: Remove when security stops scaling price
          exerciseType,
          isCall);
    } else if (underlyingSecurity instanceof EnergyFutureSecurity) {
      final EnergyFutureDefinition underlyingDefinition = (EnergyFutureDefinition) underlyingSecurity.accept(_futureSecurityConverter);
      return new EnergyFutureOptionDefinition(expiry,
          underlyingDefinition,
          commodityOption.getStrike() * 100.0, // TODO: Remove when security stops scaling price
          exerciseType,
          isCall);
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  @Test
  public void testEnergyFutureOption() {
    final double answer = 4.415360077156871;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }
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                1.0, futures.getUnitName(), futures.getSettlementType(), tradePrice, futures.getCurrency(), futures.getSettlementDate());
          }

          @Override
          public InstrumentDefinitionWithData<?, Double> visitEnergyFutureDefinition(final EnergyFutureDefinition futures) {
            return new EnergyFutureDefinition(futures.getExpiryDate(), futures.getUnderlying(), futures.getUnitAmount(), null, null,
                1.0, futures.getUnitName(), futures.getSettlementType(), tradePrice, futures.getCurrency(), futures.getSettlementDate());
          }

          @Override
          public InstrumentDefinitionWithData<?, Double> visitMetalFutureDefinition(final MetalFutureDefinition futures) {
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  @Test
  public void testEnergyFutureOption() {
    final double answer = 53.948020295136104;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }
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  @Test
  public void testEnergyFutureOption() {
    final double answer = 0.018277536548956183;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double gamma = option.accept(PRICER, MARKET);
    assertEquals(answer, gamma, TOLERANCE);
  }
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  @Test
  public void testEnergyFutureOption() {
    final double answer = -24.356026185994125;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }
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  @Test
  public void testEnergyFutureOption() {
    final double answer = 34.09937339281426;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }
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  @Test
  public void testEnergyFutureOption() {
    final double answer = -4.26707704009691;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }
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  @Test
  public void testEnergyFutureOption() {
    final double answer = 0.8830720154313743;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0, Currency.GBP,
        SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv, TOLERANCE);
  }
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  @Test
  public void testEnergyFutureOption() {
    final double answer = 0.09508183338835174;

    final EnergyFutureDefinition definition = new EnergyFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final EnergyFuture future = definition.toDerivative(A_DATE);
    final EnergyFutureOption option = new EnergyFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }
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Related Classes of com.opengamma.analytics.financial.commodity.definition.EnergyFutureDefinition

  • com.opengamma.analytics.financial.commodity.calculation.CommodityFutureOptionDeltaCalculatorTest
  • com.opengamma.analytics.financial.commodity.calculation.CommodityFutureOptionForwardDeltaCalculatorTest
  • com.opengamma.analytics.financial.commodity.calculation.CommodityFutureOptionForwardGammaCalculatorTest
  • com.opengamma.analytics.financial.commodity.calculation.CommodityFutureOptionForwardThetaCalculatorTest
  • com.opengamma.analytics.financial.commodity.calculation.CommodityFutureOptionGammaCalculatorTest
  • com.opengamma.analytics.financial.commodity.calculation.CommodityFutureOptionPresentValueCalculatorTest
  • com.opengamma.analytics.financial.commodity.calculation.CommodityFutureOptionThetaCalculatorTest
  • com.opengamma.analytics.financial.commodity.calculation.CommodityFutureOptionVegaCalculatorTest
  • com.opengamma.analytics.financial.commodity.derivative.EnergyFuture
  • com.opengamma.financial.analytics.conversion.CommodityFutureOptionConverter
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