Package com.opengamma.analytics.financial.greeks

Examples of com.opengamma.analytics.financial.greeks.GreekResultCollection

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        for (final double interest : INTERESTS) {
          for (final double vol : VOLS) {
            final int nSteps = 91;
            for (final double dividend : DIVIDENDS) {
              final OptionFunctionProvider1D function = new LogOptionFunctionProvider(strike, TIME, nSteps);
              final GreekResultCollection resDiv = _modelTrinomial.getGreeks(lattice, function, SPOT, vol, interest, dividend);
              final double priceDiv = price(SPOT, strike, TIME, vol, interest, interest - dividend);
              final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) * 1.e-3;
              assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
              final double deltaDiv = delta(SPOT, strike, TIME, vol, interest, interest - dividend);
              final double refDeltaDiv = Math.max(Math.abs(deltaDiv), 1.) * 1.e-3;
              assertEquals(resDiv.get(Greek.DELTA), deltaDiv, refDeltaDiv);
              final double gammaDiv = gamma(SPOT, strike, TIME, vol, interest, interest - dividend);
              final double refGammaDiv = Math.max(Math.abs(gammaDiv), 1.) * 1.e-3;
              assertEquals(resDiv.get(Greek.GAMMA), gammaDiv, refGammaDiv);
              final double thetaDiv = theta(SPOT, strike, TIME, vol, interest, interest - dividend);
              final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) * 1.e-3;
              assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
            }
          }
        }
      }
    }
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        for (final double interest : INTERESTS) {
          for (final double vol : VOLS) {
            final int nSteps = 163; //Slow convergence
            for (final double dividend : DIVIDENDS) {
              final OptionFunctionProvider1D function = new LogOptionFunctionProvider(strike, TIME, nSteps);
              final GreekResultCollection resDiv = _model.getGreeks(lattice, function, SPOT, vol, interest, dividend);
              final double priceDiv = price(SPOT, strike, TIME, vol, interest, interest - dividend);
              final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) * 1.e-3;
              assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
              final double deltaDiv = delta(SPOT, strike, TIME, vol, interest, interest - dividend);
              final double refDeltaDiv = Math.max(Math.abs(deltaDiv), 1.) * 1.e-2;
              assertEquals(resDiv.get(Greek.DELTA), deltaDiv, refDeltaDiv);
              final double gammaDiv = gamma(SPOT, strike, TIME, vol, interest, interest - dividend);
              final double refGammaDiv = Math.max(Math.abs(gammaDiv), 1.) * 1.e-2;
              assertEquals(resDiv.get(Greek.GAMMA), gammaDiv, refGammaDiv);
              final double thetaDiv = theta(SPOT, strike, TIME, vol, interest, interest - dividend);
              final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) * 1.e-2;
              assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
            }
          }
        }
      }
    }
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      for (final double interest : INTERESTS) {
        for (final double vol : VOLS) {
          final int nSteps = 919;
          for (final double dividend : DIVIDENDS) {
            final OptionFunctionProvider1D function = new LogOptionFunctionProvider(strike, TIME, nSteps);
            final GreekResultCollection resDiv = _model.getGreeks(lattice, function, SPOT, vol, interest, dividend);
            final double priceDiv = price(SPOT, strike, TIME, vol, interest, interest - dividend);
            final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) * 1.e-4;
            assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
            final double deltaDiv = delta(SPOT, strike, TIME, vol, interest, interest - dividend);
            final double refDeltaDiv = Math.max(Math.abs(deltaDiv), 1.) * 1.e-3;
            assertEquals(resDiv.get(Greek.DELTA), deltaDiv, refDeltaDiv);
            final double gammaDiv = gamma(SPOT, strike, TIME, vol, interest, interest - dividend);
            final double refGammaDiv = Math.max(Math.abs(gammaDiv), 1.) * 1.e-3;
            assertEquals(resDiv.get(Greek.GAMMA), gammaDiv, refGammaDiv);
            final double thetaDiv = theta(SPOT, strike, TIME, vol, interest, interest - dividend);
            final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) * 1.e-3;
            assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
          }
        }
      }
    }
  }
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            final double appThetaCash = theta(modSpot, strike, TIME, vol, interest, interest);

            final OptionFunctionProvider1D function = new LogOptionFunctionProvider(strike, TIME, nSteps);
            final DividendFunctionProvider cashDividend = new CashDividendFunctionProvider(dividendTimes, cashDividends);
            final DividendFunctionProvider propDividend = new ProportionalDividendFunctionProvider(dividendTimes, propDividends);
            final GreekResultCollection resProp = _model.getGreeks(lattice, function, SPOT, vol, interest, propDividend);
            final GreekResultCollection resCash = _model.getGreeks(lattice, function, SPOT, vol, interest, cashDividend);

            assertEquals(resProp.get(Greek.FAIR_PRICE), exactPriceProp, Math.max(1., Math.abs(exactPriceProp)) * 1.e-3);
            assertEquals(resProp.get(Greek.DELTA), exactDeltaProp, Math.max(1., Math.abs(exactDeltaProp)) * 1.e-2);
            assertEquals(resProp.get(Greek.GAMMA), exactGammaProp, Math.max(1., Math.abs(exactGammaProp)) * 1.e-2);
            assertEquals(resProp.get(Greek.THETA), exactThetaProp, Math.max(1., Math.abs(exactThetaProp)) * 1.e-2);

            assertEquals(resCash.get(Greek.FAIR_PRICE), appPriceCash, Math.max(1., Math.abs(appPriceCash)) * 1.e-3);
            assertEquals(resCash.get(Greek.DELTA), appDeltaCash, Math.max(1., Math.abs(appDeltaCash)) * 1.e-2);
            assertEquals(resCash.get(Greek.GAMMA), appGammaCash, Math.max(1., Math.abs(appGammaCash)) * 1.e-2);
            assertEquals(resCash.get(Greek.THETA), appThetaCash, Math.max(1., Math.abs(appThetaCash)) * 1.e-2);

            if (lattice instanceof CoxRossRubinsteinLatticeSpecification || lattice instanceof JarrowRuddLatticeSpecification || lattice instanceof TrigeorgisLatticeSpecification ||
                lattice instanceof TianLatticeSpecification) {
              final int nStepsTri = 85;
              final OptionFunctionProvider1D functionTri = new LogOptionFunctionProvider(strike, TIME, nStepsTri);
              final GreekResultCollection resPropTrinomial = _modelTrinomial.getGreeks(lattice, functionTri, SPOT, vol, interest, propDividend);
              final GreekResultCollection resCashTrinomial = _modelTrinomial.getGreeks(lattice, functionTri, SPOT, vol, interest, cashDividend);

              assertEquals(resPropTrinomial.get(Greek.FAIR_PRICE), exactPriceProp, Math.max(1., Math.abs(exactPriceProp)) * 1.e-3);
              assertEquals(resPropTrinomial.get(Greek.DELTA), exactDeltaProp, Math.max(1., Math.abs(exactDeltaProp)) * 1.e-2);
              assertEquals(resPropTrinomial.get(Greek.GAMMA), exactGammaProp, Math.max(1., Math.abs(exactGammaProp)) * 1.e-2);
              assertEquals(resPropTrinomial.get(Greek.THETA), exactThetaProp, Math.max(1., Math.abs(exactThetaProp)) * 1.e-2);

              assertEquals(resCashTrinomial.get(Greek.FAIR_PRICE), appPriceCash, Math.max(1., Math.abs(appPriceCash)) * 1.e-3);
              assertEquals(resCashTrinomial.get(Greek.DELTA), appDeltaCash, Math.max(1., Math.abs(appDeltaCash)) * 1.e-2);
              assertEquals(resCashTrinomial.get(Greek.GAMMA), appGammaCash, Math.max(1., Math.abs(appGammaCash)) * 1.e-2);
              assertEquals(resCashTrinomial.get(Greek.THETA), appThetaCash, Math.max(1., Math.abs(appThetaCash)) * 1.e-2);
            }
          }
        }
      }
    }
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        final double rateRef = constA + 0.5 * constB * time;
        final double volRef = Math.sqrt(constC * constC + 0.5 * constD * constD + 2. * constC * constD / time * (1. - Math.cos(time)) - constD * constD * 0.25 / time * Math.sin(2. * time));

        final OptionFunctionProvider1D function = new LogOptionFunctionProvider(strike, time, steps);
        final double resPrice = _model.getPrice(function, SPOT, vol, rate, dividend);
        final GreekResultCollection resGreeks = _model.getGreeks(function, SPOT, vol, rate, dividend);

        final double resPriceConst = _model.getPrice(lattice1, function, SPOT, volRef, rateRef, dividend[0]);
        final GreekResultCollection resGreeksConst = _model.getGreeks(lattice1, function, SPOT, volRef, rateRef, dividend[0]);
        assertEquals(resPrice, resPriceConst, Math.max(Math.abs(resPriceConst), 1.) * 1.e-3);
        assertEquals(resGreeks.get(Greek.FAIR_PRICE), resGreeksConst.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConst.get(Greek.FAIR_PRICE)), 1.) * 1.e-3);
        assertEquals(resGreeks.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 1.) * 1.e-3);
        assertEquals(resGreeks.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 1.) * 1.e-3);
        assertEquals(resGreeks.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 1.) * 1.e-1);

        final OptionFunctionProvider1D functionTri = new LogOptionFunctionProvider(strike, time, stepsTri);
        final double resPriceTrinomial = _modelTrinomial.getPrice(functionTri, SPOT, volTri, rateTri, dividendTri);
        assertEquals(resPriceTrinomial, resPriceConst, Math.max(Math.abs(resPriceConst), 1.) * 1.e-2);
        final GreekResultCollection resGreeksTrinomial = _modelTrinomial.getGreeks(functionTri, SPOT, volTri, rateTri, dividendTri);
        assertEquals(resGreeksTrinomial.get(Greek.FAIR_PRICE), resGreeksConst.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConst.get(Greek.FAIR_PRICE)), 1.) * 1.e-2);
        assertEquals(resGreeksTrinomial.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 1.) * 1.e-2);
        assertEquals(resGreeksTrinomial.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 1.) * 1.e-2);
        assertEquals(resGreeksTrinomial.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 1.) * 1.e-1);
      }
    }
  }
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                  final double delta = 0.5 * (priceSpotUp - priceSpotDown) / eps;
                  final double deltaUp = 0.5 * (priceSpot2Up - price) / eps;
                  final double deltaDown = 0.5 * (price - priceSpot2Down) / eps;
                  final double gamma = 0.5 * (deltaUp - deltaDown) / eps;
                  final double theta = -0.5 * (priceTimeUp - priceTimeDown) / eps;
                  final GreekResultCollection res = _modelTrinomial.getGreeks(lattice, function, SPOT, vol, interest, dividend);
                  assertEquals(res.get(Greek.FAIR_PRICE), price, Math.max(price, 1.) * 1.e-2);
                  assertEquals(res.get(Greek.DELTA), delta, Math.max(delta, 1.) * 1.e-2);
                  assertEquals(res.get(Greek.GAMMA), gamma, Math.max(gamma, 1.) * 1.e-1);
                  assertEquals(res.get(Greek.THETA), theta, Math.max(theta, 1.) * 1.e-1);
                }
              }
            }
          }
        }
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                  final double delta = 0.5 * (priceSpotUp - priceSpotDown) / eps;
                  final double deltaUp = 0.5 * (priceSpot2Up - price) / eps;
                  final double deltaDown = 0.5 * (price - priceSpot2Down) / eps;
                  final double gamma = 0.5 * (deltaUp - deltaDown) / eps;
                  final double theta = -0.5 * (priceTimeUp - priceTimeDown) / eps;
                  final GreekResultCollection res = _model.getGreeks(lattice, function, SPOT, vol, interest, dividend);
                  assertEquals(res.get(Greek.FAIR_PRICE), price, Math.max(price, 1.) * 1.e-2);
                  assertEquals(res.get(Greek.DELTA), delta, Math.max(delta, 1.) * 1.e-2);
                  assertEquals(res.get(Greek.GAMMA), gamma, Math.max(gamma, 1.) * 1.e-1);
                  assertEquals(res.get(Greek.THETA), theta, Math.max(theta, 1.) * 1.e-1);
                }
              }
            }
          }
        }
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          for (final double interest : INTERESTS) {
            for (final double vol : VOLS) {
              final int nSteps = 177;
              for (final double dividend : DIVIDENDS) {
                final OptionFunctionProvider1D function = new EuropeanVanillaOptionFunctionProvider(strike, TIME, nSteps, isCall);
                final GreekResultCollection resDiv = _modelTrinomial.getGreeks(lattice, function, SPOT, vol, interest, dividend);
                final double priceDiv = BlackScholesFormulaRepository.price(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) * 1.e-2;
                assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
                final double deltaDiv = BlackScholesFormulaRepository.delta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                final double refDeltaDiv = Math.max(Math.abs(deltaDiv), 0.1) * 1.e-1;
                assertEquals(resDiv.get(Greek.DELTA), deltaDiv, refDeltaDiv);
                final double gammaDiv = BlackScholesFormulaRepository.gamma(SPOT, strike, TIME, vol, interest, interest - dividend);
                final double refGammaDiv = Math.max(Math.abs(gammaDiv), 0.1) * 1.e-1;
                assertEquals(resDiv.get(Greek.GAMMA), gammaDiv, refGammaDiv);
                final double thetaDiv = BlackScholesFormulaRepository.theta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                final double refThetaDiv = Math.max(Math.abs(thetaDiv), 0.1) * 1.e-1;
                assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
              }
            }
          }
        }
      }
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            for (final double vol : VOLS) {
              final int[] choicesSteps = new int[] {31, 112, 301 };
              for (final int nSteps : choicesSteps) {
                for (final double dividend : DIVIDENDS) {
                  final OptionFunctionProvider1D function = new EuropeanVanillaOptionFunctionProvider(strike, TIME, nSteps, isCall);
                  final GreekResultCollection resDiv = _model.getGreeks(lattice, function, SPOT, vol, interest, dividend);
                  final double priceDiv = BlackScholesFormulaRepository.price(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                  final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) / Math.sqrt(nSteps);
                  assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
                  final double deltaDiv = BlackScholesFormulaRepository.delta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                  final double refDeltaDiv = Math.max(Math.abs(deltaDiv), 1.) / Math.sqrt(nSteps);
                  assertEquals(resDiv.get(Greek.DELTA), deltaDiv, refDeltaDiv);
                  final double gammaDiv = BlackScholesFormulaRepository.gamma(SPOT, strike, TIME, vol, interest, interest - dividend);
                  final double refGammaDiv = Math.max(Math.abs(gammaDiv), 1.) / Math.sqrt(nSteps);
                  assertEquals(resDiv.get(Greek.GAMMA), gammaDiv, refGammaDiv);
                  final double thetaDiv = BlackScholesFormulaRepository.theta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                  final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) / Math.sqrt(nSteps);
                  assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
                }
              }
            }
          }
        }
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          for (final double vol : VOLS) {
            final int[] choicesSteps = new int[] {31, 109, 301 };
            for (final int nSteps : choicesSteps) {
              for (final double dividend : DIVIDENDS) {
                final OptionFunctionProvider1D function = new EuropeanVanillaOptionFunctionProvider(strike, TIME, nSteps, isCall);
                final GreekResultCollection resDiv = _model.getGreeks(lattice, function, SPOT, vol, interest, dividend);
                final double priceDiv = BlackScholesFormulaRepository.price(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) / nSteps;
                assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
                final double deltaDiv = BlackScholesFormulaRepository.delta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                final double refDeltaDiv = Math.max(Math.abs(deltaDiv), 1.) / nSteps;
                assertEquals(resDiv.get(Greek.DELTA), deltaDiv, refDeltaDiv);
                final double gammaDiv = BlackScholesFormulaRepository.gamma(SPOT, strike, TIME, vol, interest, interest - dividend);
                final double refGammaDiv = Math.max(Math.abs(gammaDiv), 1.) / nSteps;
                assertEquals(resDiv.get(Greek.GAMMA), gammaDiv, refGammaDiv);
                final double thetaDiv = BlackScholesFormulaRepository.theta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall);
                final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) / nSteps;
                assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv * 10.);
              }
            }
          }
        }
      }
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