Package com.opengamma.analytics.financial.greeks

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

80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
            for (final double interest : INTERESTS) {
              for (final double vol : VOLS) {
                final int nSteps = 391;
                for (final double dividend : DIVIDENDS) {
                  final OptionFunctionProvider1D function = new CappedPowerOptionFunctionProvider(strike, TIME, nSteps, isCall, POWER, cap);
                  final GreekResultCollection resDiv = _modelTrinomial.getGreeks(lattice, function, SPOT, vol, interest, dividend);
                  final double priceDiv = price(SPOT, strike, TIME, vol, interest, interest - dividend, isCall, POWER, cap);
                  final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) * 1.e-2;
                  assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
                  final double deltaDiv = delta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall, POWER, cap);
                  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, isCall, POWER, cap);
                  final double refGammaDiv = Math.max(Math.abs(gammaDiv), 1.) * 1.e-1;
                  assertEquals(resDiv.get(Greek.GAMMA), gammaDiv, refGammaDiv);
                  final double thetaDiv = theta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall, POWER, cap);
                  final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) * 1.e-1;
                  assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
                }
              }
            }
          }
        }
View Full Code Here
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
            for (final double interest : INTERESTS) {
              for (final double vol : VOLS) {
                final int nSteps = 429;
                for (final double dividend : DIVIDENDS) {
                  final OptionFunctionProvider1D function = new CappedPowerOptionFunctionProvider(strike, TIME, nSteps, isCall, POWER, cap);
                  final GreekResultCollection resDiv = _model.getGreeks(lattice, function, SPOT, vol, interest, dividend);
                  final double priceDiv = price(SPOT, strike, TIME, vol, interest, interest - dividend, isCall, POWER, cap);
                  final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) * 1.e-2;
                  assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
                  final double deltaDiv = delta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall, POWER, cap);
                  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, isCall, POWER, cap);
                  final double refGammaDiv = Math.max(Math.abs(gammaDiv), 1.) * 1.e-1;
                  assertEquals(resDiv.get(Greek.GAMMA), gammaDiv, refGammaDiv);
                  final double thetaDiv = theta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall, POWER, cap);
                  final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) * 1.e-1;
                  assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
                }
              }
            }
          }
        }
View Full Code Here
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
                final double appThetaCash = theta(modSpot, strike, TIME, vol, interest, interest, isCall, POWER, cap);

                final OptionFunctionProvider1D function = new CappedPowerOptionFunctionProvider(strike, TIME, nSteps, isCall, POWER, cap);
                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-2);
                assertEquals(resProp.get(Greek.DELTA), exactDeltaProp, Math.max(1., Math.abs(exactDeltaProp)) * 1.e-1);
                assertEquals(resProp.get(Greek.GAMMA), exactGammaProp, Math.max(1., Math.abs(exactGammaProp)) * 1.e-1);
                assertEquals(resProp.get(Greek.THETA), exactThetaProp, Math.max(1., Math.abs(exactThetaProp)) * 1.e-1);

                assertEquals(resCash.get(Greek.FAIR_PRICE), appPriceCash, Math.max(1., Math.abs(appPriceCash)) * 1.e-1);
                assertEquals(resCash.get(Greek.DELTA), appDeltaCash, Math.max(1., Math.abs(appDeltaCash)) * 1.e-1);
                assertEquals(resCash.get(Greek.GAMMA), appGammaCash, Math.max(1., Math.abs(appGammaCash)) * 1.e-1);
                assertEquals(resCash.get(Greek.THETA), appThetaCash, Math.max(1., Math.abs(appThetaCash)));//theta is poorly approximated

                if (lattice instanceof CoxRossRubinsteinLatticeSpecification || lattice instanceof JarrowRuddLatticeSpecification || lattice instanceof TrigeorgisLatticeSpecification ||
                    lattice instanceof TianLatticeSpecification) {
                  final OptionFunctionProvider1D functionTri = new CappedPowerOptionFunctionProvider(strike, TIME, nStepsTri, isCall, POWER, cap);
                  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-2);
                  assertEquals(resPropTrinomial.get(Greek.DELTA), exactDeltaProp, Math.max(1., Math.abs(exactDeltaProp)) * 1.e-1);
                  assertEquals(resPropTrinomial.get(Greek.GAMMA), exactGammaProp, Math.max(1., Math.abs(exactGammaProp)) * 1.e-1);
                  assertEquals(resPropTrinomial.get(Greek.THETA), exactThetaProp, Math.max(1., Math.abs(exactThetaProp)) * 1.e-1);

                  assertEquals(resCashTrinomial.get(Greek.FAIR_PRICE), appPriceCash, Math.max(1., Math.abs(appPriceCash)) * 1.e-1);
                  assertEquals(resCashTrinomial.get(Greek.DELTA), appDeltaCash, Math.max(1., Math.abs(appDeltaCash)) * 1.e-1);
                  assertEquals(resCashTrinomial.get(Greek.GAMMA), appGammaCash, Math.max(1., Math.abs(appGammaCash)) * 1.e-1);
                  assertEquals(resCashTrinomial.get(Greek.THETA), appThetaCash, Math.max(1., Math.abs(appThetaCash)));//theta is poorly approximated
                }
              }
            }
          }
        }
View Full Code Here
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
            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 CappedPowerOptionFunctionProvider(strike, time, steps, isCall, POWER, cap);
            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-2);
            assertEquals(resGreeks.get(Greek.FAIR_PRICE), resGreeksConst.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConst.get(Greek.FAIR_PRICE)), 1.) * 1.e-2);
            assertEquals(resGreeks.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 1.) * 1.e-2);
            assertEquals(resGreeks.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 1.) * 1.e-1);
            assertEquals(resGreeks.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 1.));

            final OptionFunctionProvider1D functionTri = new CappedPowerOptionFunctionProvider(strike, time, stepsTri, isCall, POWER, cap);
            final double resPriceTrinomial = _modelTrinomial.getPrice(functionTri, SPOT, volTri, rateTri, dividendTri);
            assertEquals(resPriceTrinomial, resPriceConst, Math.max(Math.abs(resPriceConst), 1.) * 1.e-1);
            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.) * 0.1);
            assertEquals(resGreeksTrinomial.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 1.) * 0.1);
            assertEquals(resGreeksTrinomial.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 1.) * 0.1);
            assertEquals(resGreeksTrinomial.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 1.));
          }
        }
      }
    }
  }
View Full Code Here
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
          for (final double interest : INTERESTS) {
            for (final double vol : VOLS) {
              for (final double dividend : DIVIDENDS) {
                final OptionFunctionProvider1D function = new BermudanOptionFunctionProvider(strike, TIME, steps, isCall, exerciseTimes);
                final OptionFunctionProvider1D functionEu = new EuropeanVanillaOptionFunctionProvider(strike, TIME, steps, isCall);
                final GreekResultCollection res = _model.getGreeks(lattice, function, SPOT, vol, interest, dividend);
                final GreekResultCollection resEu = _model.getGreeks(lattice, functionEu, SPOT, vol, interest, dividend);
                assertEquals(res.get(Greek.FAIR_PRICE), resEu.get(Greek.FAIR_PRICE), 1.e-14);
                assertEquals(res.get(Greek.DELTA), resEu.get(Greek.DELTA), 1.e-14);
                assertEquals(res.get(Greek.GAMMA), resEu.get(Greek.GAMMA), 1.e-14);
                assertEquals(res.get(Greek.THETA), resEu.get(Greek.THETA), 1.e-14);
              }
            }
          }
        }
      }
View Full Code Here
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
      for (final boolean isCall : tfSet) {
        for (final double strike : STRIKES) {
          for (final double interest : INTERESTS) {
            for (final double vol : VOLS) {
              final OptionFunctionProvider1D function = new BermudanOptionFunctionProvider(strike, time, steps, isCall, exerciseTimes);
              final GreekResultCollection resCash = _model.getGreeks(lattice, function, SPOT, vol, interest, cashDividend);
              final GreekResultCollection resProp = _model.getGreeks(lattice, function, SPOT, vol, interest, propDividend);
              final OptionFunctionProvider1D functionTri = new BermudanOptionFunctionProvider(strike, time, stepsTri, isCall, exerciseTimes);
              final GreekResultCollection resCashTrinomial = _modelTrinomial.getGreeks(lattice, functionTri, SPOT, vol, interest, cashDividend);
              final GreekResultCollection resPropTrinomial = _modelTrinomial.getGreeks(lattice, functionTri, SPOT, vol, interest, propDividend);
              assertEquals(resCash.get(Greek.FAIR_PRICE), resCashTrinomial.get(Greek.FAIR_PRICE), Math.max(Math.abs(resCashTrinomial.get(Greek.FAIR_PRICE)), 1.) * 1.e-1);
              assertEquals(resCash.get(Greek.DELTA), resCashTrinomial.get(Greek.DELTA), Math.max(Math.abs(resCashTrinomial.get(Greek.DELTA)), 1.) * 1.e-1);
              assertEquals(resCash.get(Greek.GAMMA), resCashTrinomial.get(Greek.GAMMA), Math.max(Math.abs(resCashTrinomial.get(Greek.GAMMA)), 1.) * 1.e-1);
              assertEquals(resCash.get(Greek.THETA), resCashTrinomial.get(Greek.THETA), Math.max(Math.abs(resCashTrinomial.get(Greek.THETA)), 1.) * 1.);

              assertEquals(resProp.get(Greek.FAIR_PRICE), resPropTrinomial.get(Greek.FAIR_PRICE), Math.max(Math.abs(resPropTrinomial.get(Greek.FAIR_PRICE)), 1.) * 1.e-1);
              assertEquals(resProp.get(Greek.DELTA), resPropTrinomial.get(Greek.DELTA), Math.max(Math.abs(resPropTrinomial.get(Greek.DELTA)), 1.) * 1.e-1);
              assertEquals(resProp.get(Greek.GAMMA), resPropTrinomial.get(Greek.GAMMA), Math.max(Math.abs(resPropTrinomial.get(Greek.GAMMA)), 1.) * 1.e-1);
              assertEquals(resProp.get(Greek.THETA), resPropTrinomial.get(Greek.THETA), Math.max(Math.abs(resPropTrinomial.get(Greek.THETA)), 1.) * 1.);
            }
          }
        }
      }
    }
View Full Code Here
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
          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 BermudanOptionFunctionProvider(strike, time, steps, isCall, exerciseTimes);
          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), 0.1) * 0.1);
          assertEquals(resGreeks.get(Greek.FAIR_PRICE), resGreeksConst.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConst.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
          assertEquals(resGreeks.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 0.1) * 0.1);
          assertEquals(resGreeks.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 0.1) * 0.1);
          assertEquals(resGreeks.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 0.1));

          final OptionFunctionProvider1D functionTri = new BermudanOptionFunctionProvider(strike, time, stepsTri, isCall, exerciseTimes);
          final double resPriceTrinomial = _modelTrinomial.getPrice(functionTri, SPOT, volTri, rateTri, dividendTri);
          assertEquals(resPriceTrinomial, resPriceConst, Math.max(Math.abs(resPriceConst), .1) * 1.e-1);
          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)), 0.1) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.DELTA), resGreeksConst.get(Greek.DELTA), Math.max(Math.abs(resGreeksConst.get(Greek.DELTA)), 0.1) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.GAMMA), resGreeksConst.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConst.get(Greek.GAMMA)), 0.1) * 0.1);
          assertEquals(resGreeksTrinomial.get(Greek.THETA), resGreeksConst.get(Greek.THETA), Math.max(Math.abs(resGreeksConst.get(Greek.THETA)), 0.1));
        }
      }
    }
  }
View Full Code Here
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
          for (final double interest : INTERESTS) {
            for (final double vol : VOLS) {
              final int nSteps = 551;
              for (final double dividend : DIVIDENDS) {
                final OptionFunctionProvider1D function = new PoweredOptionFunctionProvider(strike, TIME, nSteps, isCall, POWER);
                final GreekResultCollection resDiv = _modelTrinomial.getGreeks(lattice, function, SPOT, vol, interest, dividend);
                final double priceDiv = price(SPOT, strike, TIME, vol, interest, interest - dividend, isCall, POWER);
                final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) * 1.e-2;
                assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
                final double deltaDiv = delta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall, POWER);
                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, isCall, POWER);
                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, isCall, POWER);
                final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) * 1.e-1;
                assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
              }
            }
          }
        }
      }
View Full Code Here
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
          for (final double interest : INTERESTS) {
            for (final double vol : VOLS) {
              final int nSteps = 611;
              for (final double dividend : DIVIDENDS) {
                final OptionFunctionProvider1D function = new PoweredOptionFunctionProvider(strike, TIME, nSteps, isCall, POWER);
                final GreekResultCollection resDiv = _model.getGreeks(lattice, function, SPOT, vol, interest, dividend);
                final double priceDiv = price(SPOT, strike, TIME, vol, interest, interest - dividend, isCall, POWER);
                final double refPriceDiv = Math.max(Math.abs(priceDiv), 1.) * 1.e-2;
                assertEquals(resDiv.get(Greek.FAIR_PRICE), priceDiv, refPriceDiv);
                final double deltaDiv = delta(SPOT, strike, TIME, vol, interest, interest - dividend, isCall, POWER);
                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, isCall, POWER);
                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, isCall, POWER);
                final double refThetaDiv = Math.max(Math.abs(thetaDiv), 1.) * 1.e-1;
                assertEquals(resDiv.get(Greek.THETA), thetaDiv, refThetaDiv);
              }
            }
          }
        }
      }
View Full Code Here
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
              final double appThetaCash = theta(modSpot, strike, TIME, vol, interest, interest, isCall, POWER);

              final OptionFunctionProvider1D function = new PoweredOptionFunctionProvider(strike, TIME, nSteps, isCall, POWER);
              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-2);
              assertEquals(resProp.get(Greek.DELTA), exactDeltaProp, Math.max(1., Math.abs(exactDeltaProp)) * 1.e-1);
              assertEquals(resProp.get(Greek.GAMMA), exactGammaProp, Math.max(1., Math.abs(exactGammaProp)) * 1.e-1);
              assertEquals(resProp.get(Greek.THETA), exactThetaProp, Math.max(1., Math.abs(exactThetaProp)) * 1.e-1);

              assertEquals(resCash.get(Greek.FAIR_PRICE), appPriceCash, Math.max(1., Math.abs(appPriceCash)) * 1.e-1);
              assertEquals(resCash.get(Greek.DELTA), appDeltaCash, Math.max(1., Math.abs(appDeltaCash)) * 1.e-1);
              assertEquals(resCash.get(Greek.GAMMA), appGammaCash, Math.max(1., Math.abs(appGammaCash)) * 1.e-1);
              assertEquals(resCash.get(Greek.THETA), appThetaCash, Math.max(1., Math.abs(appThetaCash)));//theta is poorly approximated

              if (lattice instanceof CoxRossRubinsteinLatticeSpecification || lattice instanceof JarrowRuddLatticeSpecification || lattice instanceof TrigeorgisLatticeSpecification ||
                  lattice instanceof TianLatticeSpecification) {
                final int nStepsTri = 791;
                final OptionFunctionProvider1D functionTri = new PoweredOptionFunctionProvider(strike, TIME, nStepsTri, isCall, POWER);
                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-1);
                assertEquals(resPropTrinomial.get(Greek.DELTA), exactDeltaProp, Math.max(1., Math.abs(exactDeltaProp)) * 1.e-1);
                assertEquals(resPropTrinomial.get(Greek.GAMMA), exactGammaProp, Math.max(1., Math.abs(exactGammaProp)) * 1.e-1);
                assertEquals(resPropTrinomial.get(Greek.THETA), exactThetaProp, Math.max(1., Math.abs(exactThetaProp)) * 1.e-1);

                assertEquals(resCashTrinomial.get(Greek.FAIR_PRICE), appPriceCash, Math.max(1., Math.abs(appPriceCash)) * 1.e-1);
                assertEquals(resCashTrinomial.get(Greek.DELTA), appDeltaCash, Math.max(1., Math.abs(appDeltaCash)) * 1.e-1);
                assertEquals(resCashTrinomial.get(Greek.GAMMA), appGammaCash, Math.max(1., Math.abs(appGammaCash)) * 1.e-1);
                assertEquals(resCashTrinomial.get(Greek.THETA), appThetaCash, Math.max(1., Math.abs(appThetaCash)));
              }
            }
          }
        }
      }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.greeks.GreekResultCollection

  • com.opengamma.analytics.financial.commodity.calculator.ComFutOptBAWGreekCalculator
  • com.opengamma.analytics.financial.commodity.calculator.ComFutOptBjerksundStenslandGreekCalculator
  • com.opengamma.analytics.financial.equity.EqyOptBaroneAdesiWhaleyGreekCalculator
  • com.opengamma.analytics.financial.equity.EqyOptBjerksundStenslandGreekCalculator
  • com.opengamma.analytics.financial.model.finitedifference.ConvectionDiffusionPDESolverTestCase
  • com.opengamma.analytics.financial.model.option.pricing.analytic.AnalyticOptionModel
  • com.opengamma.analytics.financial.model.option.pricing.analytic.AnalyticOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.BensoussanCrouhyGalaiOptionOnOptionModel
  • com.opengamma.analytics.financial.model.option.pricing.analytic.BlackScholesMertonModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.JuZhongModel
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.