Examples of com.opengamma.analytics.financial.model.option.definition.AsymmetricPowerOptionDefinition

Package com.opengamma.analytics.financial.model.option.definition

Examples of com.opengamma.analytics.financial.model.option.definition.AsymmetricPowerOptionDefinition

com.opengamma.analytics.financial.model.option.definition.AsymmetricPowerOptionDefinition
Definition for an asymmetric power options (a.k.a. standard power options).
The exercise style is European. The payoff of these options is: $$ \begin{align*} c &= \max(S^i - K, 0)\\\\ p &= \max(K - S^i, 0) \end{align*} $$ where $K$ is the strike, $i$ is the power, with $i > 0$, and $S$ is the spot.

    MODEL.getPricingFunction(null);
  }


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getPricingFunction(new AsymmetricPowerOptionDefinition(STRIKE, EXPIRY, 1, true)).evaluate((StandardOptionDataBundle) null);
  }

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    final StandardOptionDataBundle bsBundle = getModifiedDataBundle(BUNDLE, power);
    return BS_MODEL.getGreeks(getDefinition(power, isCall), bsBundle, REQUIRED_GREEKS).get(Greek.FAIR_PRICE);
  }


  private AsymmetricPowerOptionDefinition getDefinition(final double power, final boolean isCall) {
    return new AsymmetricPowerOptionDefinition(STRIKE, EXPIRY, power, isCall);
  }

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  private CappedPowerOptionDefinition getDefinition(final double power, final double cap, final boolean isCall) {
    return new CappedPowerOptionDefinition(STRIKE, EXPIRY, power, cap, isCall);
  }


  private AsymmetricPowerOptionDefinition getDefinition(final double power, final boolean isCall) {
    return new AsymmetricPowerOptionDefinition(STRIKE, EXPIRY, power, isCall);
  }

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Related Classes of com.opengamma.analytics.financial.model.option.definition.AsymmetricPowerOptionDefinition

com.opengamma.analytics.financial.model.option.pricing.analytic.AsymmetricPowerOptionModelTest

com.opengamma.analytics.financial.model.option.pricing.analytic.CappedPowerOptionModelTest

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