Package com.opengamma.analytics.financial.commodity.derivative

Examples of com.opengamma.analytics.financial.commodity.derivative.EnergyFutureOption

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    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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    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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    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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    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 testToDerivative() {
    EnergyFutureOptionDefinition first = new EnergyFutureOptionDefinition(EXPIRY_DATE, AN_UNDERLYING, 100, ExerciseDecisionType.EUROPEAN, true);
    EnergyFutureOptionDefinition second = new EnergyFutureOptionDefinition(EXPIRY_DATE, AN_UNDERLYING, 100, ExerciseDecisionType.AMERICAN, false);

    EnergyFutureOption firstDerivative = first.toDerivative(A_DATE);
    EnergyFutureOption secondDerivative = second.toDerivative(A_DATE);
    assertEquals(firstDerivative.getStrike(), 100.);
    assertEquals(firstDerivative.getExerciseType(), ExerciseDecisionType.EUROPEAN);
    assertEquals(firstDerivative.getUnderlying(), AN_UNDERLYING.toDerivative(A_DATE));
    assertTrue(firstDerivative.isCall());
    assertEquals(secondDerivative.getExerciseType(), ExerciseDecisionType.AMERICAN);
    assertFalse(secondDerivative.isCall());

    EnergyFutureOption firstDerivative2 = new EnergyFutureOption(0.0027397260273972603, AN_UNDERLYING.toDerivative(A_DATE), 100, ExerciseDecisionType.EUROPEAN, true);
    assertEquals(firstDerivative.hashCode(), firstDerivative2.hashCode());
    assertEquals(firstDerivative, firstDerivative2);
  }
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    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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    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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    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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    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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  @Override
  public EnergyFutureOption toDerivative(final ZonedDateTime date) {
    ArgumentChecker.inOrderOrEqual(date, this.getExpiryDate(), "date", "expiry date");
    final double timeToFixing = TimeCalculator.getTimeBetween(date, this.getExpiryDate());
    return new EnergyFutureOption(timeToFixing, getUnderlying().toDerivative(date), getStrike(), getExerciseType(), isCall());
  }
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Related Classes of com.opengamma.analytics.financial.commodity.derivative.EnergyFutureOption

  • 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.definition.EnergyFutureOptionDefinition
  • com.opengamma.analytics.financial.commodity.definition.EnergyFutureOptionDefinitionTest
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