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

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

191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
        ConstantDoublesSurface.from(VOLATILITY)),
        SPOT, REFERENCE_DATE);
    final Expiry expiry = new Expiry(EXPIRY_DATE);

    final double priceDI1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierDI = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_DOWN_IN, REBATE);
    final double priceDI2 = model.getPricingFunction(optionBarrierDI).evaluate(data);
    assertEquals("Comparison Down In", priceDI2, priceDI1, 1.0E-10);

    final double priceDO1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierDO = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_DOWN_OUT, REBATE);
    final double priceDO2 = model.getPricingFunction(optionBarrierDO).evaluate(data);
    assertEquals("Comparison Down Out", priceDO2, priceDO1, 1.0E-10);

    final double priceUI1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierUI = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_UP_IN, REBATE);
    final double priceUI2 = model.getPricingFunction(optionBarrierUI).evaluate(data);
    assertEquals("Comparison Up In", priceUI2, priceUI1, 1.0E-10);

    final double priceUO1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierUO = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_UP_OUT, REBATE);
    final double priceUO2 = model.getPricingFunction(optionBarrierUO).evaluate(data);
    assertEquals("Comparison Up Out", priceUO2, priceUO1, 1.0E-10);

    final double vol0 = 0.0;
    final double priceVol01 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, vol0);
View Full Code Here
42
43
44
45
46
47
48
49
    MODEL.getPricingFunction(null);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getPricingFunction(new EuropeanStandardBarrierOptionDefinition(SPOT, EXPIRY, true, new Barrier(KnockType.IN, BarrierType.DOWN, ObservationType.CONTINUOUS, SPOT))).evaluate(
        (StandardOptionDataBundle) null);
  }
View Full Code Here
51
52
53
54
55
56
57
58
59
60
61
  @Test
  public void testZeroVol() {
    final double delta = 10;
    final StandardOptionDataBundle data = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.)), 0, new VolatilitySurface(ConstantDoublesSurface.from(0.)), SPOT, DATE);
    Barrier barrier = new Barrier(KnockType.OUT, BarrierType.DOWN, ObservationType.CONTINUOUS, 95);
    EuropeanStandardBarrierOptionDefinition option = new EuropeanStandardBarrierOptionDefinition(SPOT - delta, EXPIRY, true, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 10, 0);
    barrier = new Barrier(KnockType.IN, BarrierType.UP, ObservationType.CONTINUOUS, 105);
    option = new EuropeanStandardBarrierOptionDefinition(SPOT - delta, EXPIRY, true, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), REBATE, 0);
  }
View Full Code Here
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
  @Test
  public void test() {
    final StandardOptionDataBundle data = new StandardOptionDataBundle(R, B, new VolatilitySurface(ConstantDoublesSurface.from(0.25)), SPOT, DATE);
    Barrier barrier = new Barrier(KnockType.OUT, BarrierType.DOWN, ObservationType.CONTINUOUS, 95);
    EuropeanStandardBarrierOptionDefinition option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, true, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 9.0246, EPS);
    barrier = new Barrier(KnockType.OUT, BarrierType.UP, ObservationType.CONTINUOUS, 105);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, true, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 2.6789, EPS);
    barrier = new Barrier(KnockType.OUT, BarrierType.DOWN, ObservationType.CONTINUOUS, 95);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, false, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 2.2798, EPS);
    barrier = new Barrier(KnockType.OUT, BarrierType.UP, ObservationType.CONTINUOUS, 105);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, false, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 3.7760, EPS);
    barrier = new Barrier(KnockType.IN, BarrierType.DOWN, ObservationType.CONTINUOUS, 95);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, true, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 7.7627, EPS);
    barrier = new Barrier(KnockType.IN, BarrierType.UP, ObservationType.CONTINUOUS, 105);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, true, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 14.1112, EPS);
    barrier = new Barrier(KnockType.IN, BarrierType.DOWN, ObservationType.CONTINUOUS, 95);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, false, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 2.9586, EPS);
    barrier = new Barrier(KnockType.IN, BarrierType.UP, ObservationType.CONTINUOUS, 105);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, false, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 1.4653, EPS);
  }
View Full Code Here
TOP

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

  • com.opengamma.analytics.financial.model.option.pricing.analytic.EuropeanStandardBarrierOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackBarrierPriceFunctionTest
    • 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.