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

Package com.opengamma.analytics.financial.greeks

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

com.opengamma.analytics.financial.greeks.GreekResultCollection

      final LatticeSpecification lattice = lattices[m];
      for (int j = 0; j < nInterests; ++j) {
        for (int k = 0; k < nStrikes; ++k) {
          for (int l = 0; l < nVols; ++l) {
            final OptionFunctionProvider1D function = new AmericanVanillaOptionFunctionProvider(STRIKES[k], TIME, steps, false);
            final GreekResultCollection greeks = _model.getGreeks(lattice, function, SPOT, VOLS[l], INTERESTS[j], 0.);
            assertEquals(greeks.get(Greek.DELTA), exDelta[j][k][l], Math.max(Math.abs(exDelta[j][k][l]), 1.) / Math.sqrt(steps));
            assertEquals(greeks.get(Greek.GAMMA), exGamma[j][k][l], Math.max(Math.abs(exGamma[j][k][l]), 1.) / Math.sqrt(steps));
            /*
             * Because theta is poorly approximated in binomial models, the output is not tested here
             * For the 3 cases below, the resulting value hugely depends on lattice specifications
             */
            if (exTheta[j][k][l] != -0.01110279072301 && exTheta[j][k][l] != 0.138 && exTheta[j][k][l] != 0.69 && exTheta[j][k][l] != 1.379999999999999) {
              assertEquals(greeks.get(Greek.THETA), exTheta[j][k][l], Math.max(Math.abs(exTheta[j][k][l]), 1.) / Math.sqrt(steps));
            }
            if (lattice instanceof CoxRossRubinsteinLatticeSpecification || lattice instanceof JarrowRuddLatticeSpecification || lattice instanceof TrigeorgisLatticeSpecification ||
                lattice instanceof TianLatticeSpecification) {
              final GreekResultCollection greeksTrinomial = _modelTrinomial.getGreeks(lattice, function, SPOT, VOLS[l], INTERESTS[j], 0.);
              assertEquals(greeksTrinomial.get(Greek.DELTA), exDelta[j][k][l], Math.max(Math.abs(exDelta[j][k][l]), 1.) / Math.sqrt(steps));
              assertEquals(greeksTrinomial.get(Greek.GAMMA), exGamma[j][k][l], Math.max(Math.abs(exGamma[j][k][l]), 1.) / Math.sqrt(steps));
              if (exTheta[j][k][l] != -0.01110279072301 && exTheta[j][k][l] != 0.138 && exTheta[j][k][l] != 0.69 && exTheta[j][k][l] != 1.379999999999999) {
                assertEquals(greeksTrinomial.get(Greek.THETA), exTheta[j][k][l], Math.max(Math.abs(exTheta[j][k][l]), 1.) / Math.sqrt(steps));
              }
            }
          }
        }
      }

View Full Code Here

        for (int k = 0; k < nStrikes; ++k) {
          for (int l = 0; l < nVols; ++l) {
            for (int n = 0; n < nTf; ++n) {
              for (int i = 0; i < nDiv; ++i) {
                final OptionFunctionProvider1D function = new AmericanVanillaOptionFunctionProvider(STRIKES[k], time, steps, tfSet[n]);
                final GreekResultCollection resNew = _model.getGreeks(lattice, function, SPOT, VOLS[l], INTERESTS[j], DIVIDENDS[i]);
                final BjerksundStenslandModel bs = new BjerksundStenslandModel();
                final double[] first = bs.getPriceAdjoint(SPOT, STRIKES[k], INTERESTS[j], INTERESTS[j] - DIVIDENDS[i], time, VOLS[l], tfSet[n]);
                final double[] deltaGamma = bs.getPriceDeltaGamma(SPOT, STRIKES[k], INTERESTS[j], INTERESTS[j] - DIVIDENDS[i], time, VOLS[l], tfSet[n]);
                //                System.out.println(SPOT + "\t" + STRIKES[k] + "\t" + INTERESTS[j] + "\t" + DIVIDENDS[i] + "\t" + time + "\t" + VOLS[l] + "\t" + tfSet[n] + "\t" + m);
                assertEquals(resNew.get(Greek.FAIR_PRICE), deltaGamma[0], Math.abs(deltaGamma[0]));
                assertEquals(resNew.get(Greek.DELTA), deltaGamma[1], Math.abs(deltaGamma[1]));
                /*
                 * If the spot is close to the exercise boundary, c_{20} = c_{21} = c_{22} sometimes occurs in some lattice specification leading to vanishing gamma
                 * In this case, the gamma value is not accurate and we need to try other lattice specifications in order to to check if this is an artifact or not
                 */
                assertEquals(resNew.get(Greek.GAMMA), deltaGamma[2], Math.max(Math.abs(deltaGamma[2]), 0.1));
                /*
                 * Bjerksund-Stensland Model produces a negative "theta" by some reason
                 */
                if (first[5] > 0.) {
                  assertEquals(resNew.get(Greek.THETA), -first[5], Math.max(Math.abs(first[5]), 0.1));
                }


              }
            }
          }

View Full Code Here

          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 AmericanVanillaOptionFunctionProvider(strike, time, steps, isCall);
          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.abs(resPriceConst) * 1.e-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 AmericanVanillaOptionFunctionProvider(strike, time, stepsTri, isCall);
          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

              final double resSpot = SPOT * (1. - propDividends[0]) * (1. - propDividends[1]) * (1. - propDividends[2]);
              final double modSpot = SPOT - cashDividends[0] * Math.exp(-interest * dividendTimes[0]) - cashDividends[1] * Math.exp(-interest * dividendTimes[1]) - cashDividends[2] *
                  Math.exp(-interest * dividendTimes[2]);
              final OptionFunctionProvider1D function = new AmericanVanillaOptionFunctionProvider(strike, TIME, nSteps, isCall);


              final GreekResultCollection resRes = _model.getGreeks(lattice, function, resSpot, vol, interest, 0.);
              final GreekResultCollection resMod = _model.getGreeks(lattice, function, modSpot, vol, interest, 0.);
              final GreekResultCollection resBare = _model.getGreeks(lattice, function, SPOT, vol, interest, 0.);


              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);


              final double refPriceProp = Math.abs(resProp.get(Greek.FAIR_PRICE) - resRes.get(Greek.FAIR_PRICE)) > Math.abs(resProp.get(Greek.FAIR_PRICE) - resBare.get(Greek.FAIR_PRICE)) ? resBare
                  .get(Greek.FAIR_PRICE) : resRes.get(Greek.FAIR_PRICE);
              final double refDeltaProp = Math.abs(resProp.get(Greek.DELTA) - resRes.get(Greek.DELTA)) > Math.abs(resProp.get(Greek.DELTA) - resBare.get(Greek.DELTA)) ? resBare
                  .get(Greek.DELTA) : resRes.get(Greek.DELTA);
              final double refGammaProp = Math.abs(resProp.get(Greek.GAMMA) - resRes.get(Greek.GAMMA)) > Math.abs(resProp.get(Greek.GAMMA) - resBare.get(Greek.GAMMA)) ? resBare
                  .get(Greek.GAMMA) : resRes.get(Greek.GAMMA);
              final double refThetaProp = Math.abs(resProp.get(Greek.THETA) - resRes.get(Greek.THETA)) > Math.abs(resProp.get(Greek.THETA) - resBare.get(Greek.THETA)) ? resBare
                  .get(Greek.THETA) : resRes.get(Greek.THETA);
              assertEquals(resProp.get(Greek.FAIR_PRICE), refPriceProp, Math.max(1., Math.abs(refPriceProp)) * 1.e-1);
              assertEquals(resProp.get(Greek.DELTA), refDeltaProp, Math.max(1., Math.abs(refDeltaProp)) * 1.e-1);
              assertEquals(resProp.get(Greek.GAMMA), refGammaProp, Math.max(1., Math.abs(refGammaProp)) * 1.e-1);
              assertEquals(resProp.get(Greek.THETA), refThetaProp, Math.max(1., Math.abs(refThetaProp)));


              final double refPriceCash = Math.abs(resCash.get(Greek.FAIR_PRICE) - resMod.get(Greek.FAIR_PRICE)) > Math.abs(resCash.get(Greek.FAIR_PRICE) - resBare.get(Greek.FAIR_PRICE)) ? resBare
                  .get(Greek.FAIR_PRICE) : resRes.get(Greek.FAIR_PRICE);
              final double refDeltaCash = Math.abs(resCash.get(Greek.DELTA) - resMod.get(Greek.DELTA)) > Math.abs(resCash.get(Greek.DELTA) - resBare.get(Greek.DELTA)) ? resBare
                  .get(Greek.DELTA) : resRes.get(Greek.DELTA);
              final double refGammaCash = Math.abs(resCash.get(Greek.GAMMA) - resMod.get(Greek.GAMMA)) > Math.abs(resCash.get(Greek.GAMMA) - resBare.get(Greek.GAMMA)) ? resBare
                  .get(Greek.GAMMA) : resRes.get(Greek.GAMMA);
              final double refThetaCash = Math.abs(resCash.get(Greek.THETA) - resMod.get(Greek.THETA)) > Math.abs(resCash.get(Greek.THETA) - resBare.get(Greek.THETA)) ? resBare
                  .get(Greek.THETA) : resRes.get(Greek.THETA);
              assertEquals(resCash.get(Greek.FAIR_PRICE), refPriceCash, Math.max(1., Math.abs(refPriceCash)) * 1.e-1);
              assertEquals(resCash.get(Greek.DELTA), refDeltaCash, Math.max(1., Math.abs(refDeltaCash)) * 1.e-1);
              assertEquals(resCash.get(Greek.GAMMA), refGammaCash, Math.max(1., Math.abs(refGammaCash)) * 1.e-1);
              assertEquals(resCash.get(Greek.THETA), refThetaCash, Math.max(1., Math.abs(refThetaCash)));


              if (lattice instanceof TrigeorgisLatticeSpecification) {
                final LatticeSpecification[] latticesTri = new LatticeSpecification[] {new CoxRossRubinsteinLatticeSpecification(), new JarrowRuddLatticeSpecification(),
                    new TrigeorgisLatticeSpecification(), new TianLatticeSpecification() };
                final int stepsTri = 11;
                for (final LatticeSpecification latticeTri : latticesTri) {
                  final OptionFunctionProvider1D functionTri = new AmericanVanillaOptionFunctionProvider(strike, TIME, stepsTri, isCall);
                  final GreekResultCollection resPropTrinomial = _modelTrinomial.getGreeks(latticeTri, functionTri, SPOT, vol, interest, propDividend);
                  final GreekResultCollection resCashTrinomial = _modelTrinomial.getGreeks(latticeTri, functionTri, SPOT, vol, interest, cashDividend);


                  assertEquals(resPropTrinomial.get(Greek.FAIR_PRICE), resProp.get(Greek.FAIR_PRICE), Math.max(1., Math.abs(resProp.get(Greek.FAIR_PRICE))) * 1.e-1);
                  assertEquals(resPropTrinomial.get(Greek.DELTA), resProp.get(Greek.DELTA), Math.max(1., Math.abs(resProp.get(Greek.DELTA))) * 1.e-1);
                  assertEquals(resPropTrinomial.get(Greek.GAMMA), resProp.get(Greek.GAMMA), Math.max(1., Math.abs(resProp.get(Greek.GAMMA))) * 1.e-1);
                  if (resProp.get(Greek.THETA) > 0.) {
                    assertEquals(resPropTrinomial.get(Greek.THETA), resProp.get(Greek.THETA), Math.max(1., Math.abs(resProp.get(Greek.THETA))));
                  }
                  assertEquals(resCashTrinomial.get(Greek.FAIR_PRICE), resCash.get(Greek.FAIR_PRICE), Math.max(1., Math.abs(resCash.get(Greek.FAIR_PRICE))) * 1.e-1);
                  assertEquals(resCashTrinomial.get(Greek.DELTA), resCash.get(Greek.DELTA), Math.max(1., Math.abs(resCash.get(Greek.DELTA))) * 1.e-1);
                  assertEquals(resCashTrinomial.get(Greek.GAMMA), resCash.get(Greek.GAMMA), Math.max(1., Math.abs(resCash.get(Greek.GAMMA))) * 1.e-1);
                  if (resCash.get(Greek.THETA) > 0.) {
                    assertEquals(resCashTrinomial.get(Greek.THETA), resCash.get(Greek.THETA), Math.max(1., Math.abs(resCash.get(Greek.THETA))));
                  }
                }
              }
            }
          }

View Full Code Here

        final OptionFunctionProvider1D functionPut = new AmericanSingleBarrierOptionFunctionProvider(SPOT * SPOT / strike, TIME, steps, false, SPOT * SPOT / barrier, uao);
        for (final double interest : INTERESTS) {
          for (final double vol : VOLS) {
            for (final double dividend : DIVIDENDS) {
              for (final LatticeSpecification lattice : lattices) {
                final GreekResultCollection greekCall = _model.getGreeks(lattice, functionCall, SPOT, vol, interest, dividend);
                final GreekResultCollection greekPut = _model.getGreeks(lattice, functionPut, SPOT, vol, dividend, interest);
                final double priceCall = greekCall.get(Greek.FAIR_PRICE);
                final double thetaCall = greekCall.get(Greek.THETA);
                final double pricePut = greekPut.get(Greek.FAIR_PRICE);
                final double thetaPut = greekPut.get(Greek.THETA);
                final double refPrice = strike * pricePut / SPOT;
                final double refTheta = strike * thetaPut / SPOT;
                assertEquals(priceCall, refPrice, Math.max(refPrice, 1.) * 1.e-5);
                assertEquals(thetaCall, refTheta, Math.max(Math.abs(refTheta), 1.) * 1.e-2);
              }

View Full Code Here

                      lattice instanceof TrigeorgisLatticeSpecification || lattice instanceof TianLatticeSpecification) && strike != STRIKES[1];
                  if (canBeTrinomial) {
                    resModTrinomial = _modelTrinomial.getPrice(lattice, function, SPOT, vol, interest, cashDividend);
                    resResTrinomial = _modelTrinomial.getPrice(lattice, function, SPOT, vol, interest, propDividend);


                    final GreekResultCollection greekMod = _model.getGreeks(lattice, function, SPOT, vol, interest, cashDividend);
                    final GreekResultCollection greekRes = _model.getGreeks(lattice, function, SPOT, vol, interest, propDividend);
                    final GreekResultCollection greekModTrinomial = _modelTrinomial.getGreeks(lattice, function, SPOT, vol, interest, cashDividend);
                    final GreekResultCollection greekResTrinomial = _modelTrinomial.getGreeks(lattice, function, SPOT, vol, interest, propDividend);


                    assertEquals(resModTrinomial, resMod, Math.max(resMod, 1.) * eps * eps);
                    assertEquals(resResTrinomial, resRes, Math.max(resRes, 1.) * eps * eps);
                    assertEquals(greekModTrinomial.get(Greek.FAIR_PRICE), greekMod.get(Greek.FAIR_PRICE), Math.max(Math.abs(greekMod.get(Greek.FAIR_PRICE)), 1.) * eps * eps);
                    assertEquals(greekModTrinomial.get(Greek.DELTA), greekMod.get(Greek.DELTA), Math.max(Math.abs(greekMod.get(Greek.DELTA)), 1.) * eps * eps);
                    assertEquals(greekModTrinomial.get(Greek.GAMMA), greekMod.get(Greek.GAMMA), Math.max(Math.abs(greekMod.get(Greek.GAMMA)), 1.) * eps * eps);
                    assertEquals(greekModTrinomial.get(Greek.THETA), greekMod.get(Greek.THETA), Math.max(Math.abs(greekMod.get(Greek.THETA)), 1.) * eps * eps);
                    assertEquals(greekResTrinomial.get(Greek.FAIR_PRICE), greekRes.get(Greek.FAIR_PRICE), Math.max(Math.abs(greekRes.get(Greek.FAIR_PRICE)), 1.) * eps * eps);
                    assertEquals(greekResTrinomial.get(Greek.DELTA), greekRes.get(Greek.DELTA), Math.max(Math.abs(greekRes.get(Greek.DELTA)), 1.) * eps * eps);
                    assertEquals(greekResTrinomial.get(Greek.GAMMA), greekRes.get(Greek.GAMMA), Math.max(Math.abs(greekRes.get(Greek.GAMMA)), 1.) * eps * eps);
                    assertEquals(greekResTrinomial.get(Greek.THETA), greekRes.get(Greek.THETA), Math.max(Math.abs(greekRes.get(Greek.THETA)), 1.) * eps * eps);
                  }


                  if (type == "DownAndOut") {
                    if (strike > barrier) {
                      double exactMod = isCall ? getA(modSpot, strike, time, vol, interest, 0., 1.) - getC(modSpot, strike, time, vol, interest, 0., barrier, 1., 1.) : getA(

View Full Code Here

                AmericanSingleBarrierOptionFunctionProvider.BarrierTypes.DownAndOut);
            final OptionFunctionProvider1D functionBarrierUp = new AmericanSingleBarrierOptionFunctionProvider(strike, time, steps, isCall, barrier,
                AmericanSingleBarrierOptionFunctionProvider.BarrierTypes.UpAndOut);


            final double resPriceBarrierDown = _model.getPrice(functionBarrierDown, SPOT, vol, rate, dividend);
            final GreekResultCollection resGreeksBarrierDown = _model.getGreeks(functionBarrierDown, SPOT, vol, rate, dividend);
            final double resPriceConstBarrierDown = _model.getPrice(lattice1, functionBarrierDown, SPOT, volRef, rateRef, dividend[0]);
            final GreekResultCollection resGreeksConstBarrierDown = _model.getGreeks(lattice1, functionBarrierDown, SPOT, volRef, rateRef, dividend[0]);
            assertEquals(resPriceBarrierDown, resPriceConstBarrierDown, Math.max(Math.abs(resPriceConstBarrierDown), 0.1) * 1.e-1);
            assertEquals(resGreeksBarrierDown.get(Greek.FAIR_PRICE), resGreeksConstBarrierDown.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierDown.get(Greek.DELTA), resGreeksConstBarrierDown.get(Greek.DELTA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.DELTA)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierDown.get(Greek.GAMMA), resGreeksConstBarrierDown.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.GAMMA)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierDown.get(Greek.THETA), resGreeksConstBarrierDown.get(Greek.THETA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.THETA)), 0.1));


            final double resPriceBarrierUp = _model.getPrice(functionBarrierUp, SPOT, vol, rate, dividend);
            final GreekResultCollection resGreeksBarrierUp = _model.getGreeks(functionBarrierUp, SPOT, vol, rate, dividend);
            final double resPriceConstBarrierUp = _model.getPrice(lattice1, functionBarrierUp, SPOT, volRef, rateRef, dividend[0]);
            final GreekResultCollection resGreeksConstBarrierUp = _model.getGreeks(lattice1, functionBarrierUp, SPOT, volRef, rateRef, dividend[0]);
            assertEquals(resPriceBarrierUp, resPriceConstBarrierUp, Math.max(Math.abs(resPriceConstBarrierUp), 0.1) * 1.e-1);
            assertEquals(resGreeksBarrierUp.get(Greek.FAIR_PRICE), resGreeksConstBarrierUp.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierUp.get(Greek.DELTA), resGreeksConstBarrierUp.get(Greek.DELTA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.DELTA)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierUp.get(Greek.GAMMA), resGreeksConstBarrierUp.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.GAMMA)), 0.1) * 0.1);
            assertEquals(resGreeksBarrierUp.get(Greek.THETA), resGreeksConstBarrierUp.get(Greek.THETA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.THETA)), 0.1));


            final OptionFunctionProvider1D functionBarrierDownTri = new AmericanSingleBarrierOptionFunctionProvider(strike, time, stepsTri, isCall, barrier,
                EuropeanSingleBarrierOptionFunctionProvider.BarrierTypes.DownAndOut);
            final OptionFunctionProvider1D functionBarrierUpTri = new AmericanSingleBarrierOptionFunctionProvider(strike, time, stepsTri, isCall, barrier,
                EuropeanSingleBarrierOptionFunctionProvider.BarrierTypes.UpAndOut);


            final double resPriceBarrierDownTri = _modelTrinomial.getPrice(functionBarrierDownTri, SPOT, volTri, rateTri, dividendTri);
            final GreekResultCollection resGreeksBarrierDownTri = _modelTrinomial.getGreeks(functionBarrierDownTri, SPOT, volTri, rateTri, dividendTri);
            assertEquals(resPriceBarrierDownTri, resPriceConstBarrierDown, Math.max(Math.abs(resPriceConstBarrierDown), 1.) * 1.e-1);
            assertEquals(resGreeksBarrierDownTri.get(Greek.FAIR_PRICE), resGreeksConstBarrierDown.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.FAIR_PRICE)), 1.) * 0.1);
            assertEquals(resGreeksBarrierDownTri.get(Greek.DELTA), resGreeksConstBarrierDown.get(Greek.DELTA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.DELTA)), 1.) * 0.1);
            assertEquals(resGreeksBarrierDownTri.get(Greek.GAMMA), resGreeksConstBarrierDown.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.GAMMA)), 1.) * 0.1);
            assertEquals(resGreeksBarrierDownTri.get(Greek.THETA), resGreeksConstBarrierDown.get(Greek.THETA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.THETA)), 1.));


            final double resPriceBarrierUpTri = _modelTrinomial.getPrice(functionBarrierUpTri, SPOT, volTri, rateTri, dividendTri);
            final GreekResultCollection resGreeksBarrierUpTri = _modelTrinomial.getGreeks(functionBarrierUpTri, SPOT, volTri, rateTri, dividendTri);
            assertEquals(resPriceBarrierUpTri, resPriceConstBarrierUp, Math.max(Math.abs(resPriceConstBarrierUp), 1.) * 1.e-1);
            assertEquals(resGreeksBarrierUpTri.get(Greek.FAIR_PRICE), resGreeksConstBarrierUp.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.FAIR_PRICE)), 1.) * 0.1);
            assertEquals(resGreeksBarrierUpTri.get(Greek.DELTA), resGreeksConstBarrierUp.get(Greek.DELTA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.DELTA)), 1.) * 0.1);
            assertEquals(resGreeksBarrierUpTri.get(Greek.GAMMA), resGreeksConstBarrierUp.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.GAMMA)), 1.) * 0.1);
            assertEquals(resGreeksBarrierUpTri.get(Greek.THETA), resGreeksConstBarrierUp.get(Greek.THETA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.THETA)), 1.));


            final LatticeSpecification[] lattices = new LatticeSpecification[] {new CoxRossRubinsteinLatticeSpecification(), new JarrowRuddLatticeSpecification(),
                new TrigeorgisLatticeSpecification(), new TianLatticeSpecification() };
            for (final LatticeSpecification lattice : lattices) {
              final GreekResultCollection resGreeksBarrierDownTriRe = _modelTrinomial.getGreeks(lattice, functionBarrierDown, SPOT, volRef, rateRef, dividend[0]);
              assertEquals(resGreeksBarrierDownTriRe.get(Greek.FAIR_PRICE), resGreeksConstBarrierDown.get(Greek.FAIR_PRICE),
                  Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
              assertEquals(resGreeksBarrierDownTriRe.get(Greek.DELTA), resGreeksConstBarrierDown.get(Greek.DELTA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.DELTA)), 0.1) * 0.1);
              assertEquals(resGreeksBarrierDownTriRe.get(Greek.GAMMA), resGreeksConstBarrierDown.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.GAMMA)), 0.1) * 0.1);
              assertEquals(resGreeksBarrierDownTriRe.get(Greek.THETA), resGreeksConstBarrierDown.get(Greek.THETA), Math.max(Math.abs(resGreeksConstBarrierDown.get(Greek.THETA)), 0.1));
              final GreekResultCollection resGreeksBarrierUpTriRe = _modelTrinomial.getGreeks(lattice, functionBarrierUp, SPOT, volRef, rateRef, dividend[0]);
              assertEquals(resGreeksBarrierUpTriRe.get(Greek.FAIR_PRICE), resGreeksConstBarrierUp.get(Greek.FAIR_PRICE), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.FAIR_PRICE)), 0.1) * 0.1);
              assertEquals(resGreeksBarrierUpTriRe.get(Greek.DELTA), resGreeksConstBarrierUp.get(Greek.DELTA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.DELTA)), 0.1) * 0.1);
              assertEquals(resGreeksBarrierUpTriRe.get(Greek.GAMMA), resGreeksConstBarrierUp.get(Greek.GAMMA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.GAMMA)), 0.1) * 0.1);
              assertEquals(resGreeksBarrierUpTriRe.get(Greek.THETA), resGreeksConstBarrierUp.get(Greek.THETA), Math.max(Math.abs(resGreeksConstBarrierUp.get(Greek.THETA)), 0.1));
            }
          }


        }
      }

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    // testGreeks(put2, treeModel, bs);
  }


  @SuppressWarnings("unchecked")
  private <T extends OptionDefinition, U extends T> void assertGreeks(final T definition, final OptionModel<T, StandardOptionDataBundle> first, final OptionModel<U, StandardOptionDataBundle> second) {
    final GreekResultCollection firstResult = first.getGreeks(definition, DATA, REQUIRED_GREEKS);
    final GreekResultCollection secondResult = second.getGreeks((U) definition, DATA, REQUIRED_GREEKS);
    if (first instanceof TrinomialOptionModel) {
      assertEquals(firstResult.get(Greek.FAIR_PRICE), secondResult.get(Greek.FAIR_PRICE), EPS);
      return;
    }
    assertEquals(firstResult.size(), secondResult.size());
    final Iterator<Greek> iter = firstResult.keySet().iterator();
    while (iter.hasNext()) {
      final Greek greek = iter.next();
      final Double result = firstResult.get(greek);
      assertTrue(secondResult.contains(greek));
      assertEquals(result, secondResult.get(greek), EPS);
    }
  }

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    DUMMY.getGreeks(OPTION, DATA, Collections.<Greek> emptySet());
  }


  @Test
  public void test() {
    final GreekResultCollection result = DUMMY.getGreeks(OPTION, DATA, REQUIRED_GREEKS);
    assertEquals(result.size(), 1);
    assertEquals(result.get(Greek.FAIR_PRICE), RESULT, 0);
  }

View Full Code Here

          for (final double interest : INTERESTS) {
            for (final double vol : VOLS) {
              final int nSteps = 391;
              for (final double dividend : DIVIDENDS) {
                final OptionFunctionProvider1D function = new AsymmetricPowerOptionFunctionProvider(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-1;
                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);
              }
            }
          }
        }
      }

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