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

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

52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
  @Test
  public void test() {
    double strike = SPOT;
    final StandardOptionDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    SimpleChooserOptionDefinition chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
    OptionDefinition vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);
    strike = SPOT / 2;
    chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
    vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);
    chooser = new SimpleChooserOptionDefinition(CHOOSE_DATE, strike, UNDERLYING_EXPIRY);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    strike = SPOT * 2;
    chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
    vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, false);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);
    chooser = new SimpleChooserOptionDefinition(CHOOSE_DATE, strike, UNDERLYING_EXPIRY);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    assertEquals(MODEL.getGreeks(DEFINITION, DATA, Sets.newHashSet(Greek.FAIR_PRICE)).get(Greek.FAIR_PRICE), 6.1071, EPS);
  }
View Full Code Here
110
111
112
113
114
115
116
117
118
119
120
    //double impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, FORWARD, YIELD_CURVE.getDiscountFactor(T), T, true);
    assertEquals(ATM_VOL, impVol, 1e-3);
    for (int i = 0; i < 10; i++) {
      final double m = -1.5 + 3.0 * i / 10.0;
      final double strike = FORWARD * Math.exp(ATM_VOL * Math.sqrt(T) * m);
      final OptionDefinition option = new EuropeanVanillaOptionDefinition(strike, OPTION.getExpiry(), OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, DATA, assetPriceTree);
      o = new EuropeanVanillaOption(strike, T, OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, DATA, assetPriceTree);
      impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(data, o, optionPriceTree.getNode(0, 0).getValue());
      //      impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, strike, YIELD_CURVE.getDiscountFactor(T), T, true);
View Full Code Here
136
137
138
139
140
141
142
143
144
145
146
    //    double impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, FORWARD, df, T, true);
    assertEquals(vol, impVol, 1e-3);
    for (int i = 0; i < 10; i++) {
      final double m = -1.5 + 3.0 * i / 10.0;
      final double strike = FORWARD * Math.exp(ATM_VOL * Math.sqrt(T) * m);
      final OptionDefinition option = new EuropeanVanillaOptionDefinition(strike, OPTION.getExpiry(), OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, data, assetPriceTree);
      o = new EuropeanVanillaOption(strike, T, OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, DATA, assetPriceTree);
      impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(bfd, o, optionPriceTree.getNode(0, 0).getValue());
      //      impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, strike, df, T, true);
View Full Code Here
158
159
160
161
162
163
164
165
166
167
168
    final CEVFunctionData cfd = new CEVFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), SIGMA_BETA, BETA);

    for (int i = 0; i < 10; i++) {
      final double m = -1.5 + 3.0 * i / 10.0;
      final double strike = FORWARD * Math.exp(ATM_VOL * Math.sqrt(T) * m);
      final OptionDefinition option = new EuropeanVanillaOptionDefinition(strike, OPTION.getExpiry(), OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, data, assetPriceTree);
      o = new EuropeanVanillaOption(strike, T, true);
      final double cevPrice = CEV_PRICE.getPriceFunction(o).evaluate(cfd);
      final double cevVol = BLACK_IMPLIED_VOL.getImpliedVolatility(new BlackFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), SIGMA_BETA), o, cevPrice);
      final double impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(new BlackFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), SIGMA_BETA), o, optionPriceTree.getNode(0, 0).getValue());
View Full Code Here
44
45
46
47
48
49
50
    MODEL.getPricingFunction(null);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY1, true)).evaluate((BatesGeneralizedJumpDiffusionModelDataBundle) null);
  }
View Full Code Here
49
50
51
52
53
54
55
56
57
58
59
60
61
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
    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY1, true)).evaluate((BatesGeneralizedJumpDiffusionModelDataBundle) null);
  }

  @Test
  public void test() {
    OptionDefinition call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    BatesGeneralizedJumpDiffusionModelDataBundle data = new BatesGeneralizedJumpDiffusionModelDataBundle(CURVE, B, SURFACE, SPOT, DATE, 0., -0.04, 0.);
    assertEquals(BSM.getPricingFunction(call).evaluate(data), MODEL.getPricingFunction(call).evaluate(data), EPS2);
    call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    data = data.withLambda(1.).withDelta(0.1);
    assertEquals(20.67, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(14.13, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(13.62, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withDelta(0.25);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY1, true);
    assertEquals(11.57, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(12.25, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(20.43, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withDelta(0.5);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY1, true);
    assertEquals(5.18, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(16.52, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(120, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(37.03, MODEL.getPricingFunction(call).evaluate(data), EPS1);
  }
View Full Code Here
44
45
46
47
48
49
50
    MODEL.getPricingFunction(null);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY1, true)).evaluate((MertonJumpDiffusionModelDataBundle) null);
  }
View Full Code Here
49
50
51
52
53
54
55
56
57
58
59
60
61
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
    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY1, true)).evaluate((MertonJumpDiffusionModelDataBundle) null);
  }

  @Test
  public void test() {
    OptionDefinition call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    MertonJumpDiffusionModelDataBundle data = new MertonJumpDiffusionModelDataBundle(CURVE, B, SURFACE, SPOT, DATE, 1., 0.);
    assertEquals(BSM.getPricingFunction(call).evaluate(data), MODEL.getPricingFunction(call).evaluate(data), EPS2);
    call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    data = data.withLambda(1.).withGamma(0.25);
    assertEquals(20.67, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(12.75, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(9.03, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withGamma(0.5);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(90, EXPIRY1, true);
    assertEquals(11.04, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(5.87, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(4.71, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    data = data.withGamma(0.75);
    data = data.withLambda(1.);
    call = new EuropeanVanillaOptionDefinition(100, EXPIRY1, true);
    assertEquals(2.70, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(110, EXPIRY2, true);
    data = data.withLambda(5.);
    assertEquals(2.05, MODEL.getPricingFunction(call).evaluate(data), EPS1);
    call = new EuropeanVanillaOptionDefinition(120, EXPIRY3, true);
    data = data.withLambda(10.);
    assertEquals(2.23, MODEL.getPricingFunction(call).evaluate(data), EPS1);
  }
View Full Code Here
53
54
55
56
57
58
59
60
61
62
  @Test
  public void testAgainstBSM() {
    final StandardOptionDataBundle data = DATA;
    final Function1D<StandardOptionDataBundle, Double> call = MODEL.getPricingFunction(new GapOptionDefinition(STRIKE, EXPIRY, true, STRIKE));
    final Function1D<StandardOptionDataBundle, Double> put = MODEL.getPricingFunction(new GapOptionDefinition(STRIKE, EXPIRY, false, STRIKE));
    final Function1D<StandardOptionDataBundle, Double> bsmCall = BSM.getPricingFunction(new EuropeanVanillaOptionDefinition(STRIKE, EXPIRY, true));
    final Function1D<StandardOptionDataBundle, Double> bsmPut = BSM.getPricingFunction(new EuropeanVanillaOptionDefinition(STRIKE, EXPIRY, false));
    assertEquals(call.evaluate(data), bsmCall.evaluate(data), EPS);
    assertEquals(put.evaluate(data), bsmPut.evaluate(data), EPS);
  }
View Full Code Here
53
54
55
56
57
58
59
60
61
62
63
  }

  @Test
  public void testPowerOfOne() {
    PoweredOptionDefinition poweredDefinition = getPoweredDefinition(1, true);
    EuropeanVanillaOptionDefinition vanillaDefinition = getVanillaOption(true);
    assertPriceEquals(poweredDefinition, vanillaDefinition, 0.1);
    assertPriceEquals(poweredDefinition, vanillaDefinition, 0.2);
    assertPriceEquals(poweredDefinition, vanillaDefinition, 0.3);
    poweredDefinition = getPoweredDefinition(1, false);
    vanillaDefinition = getVanillaOption(false);
View Full Code Here
TOP

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

  • com.opengamma.analytics.financial.model.option.pricing.analytic.BatesGeneralizedJumpDiffusionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.BensoussanCrouhyGalaiOptionOnOptionModel
  • com.opengamma.analytics.financial.model.option.pricing.analytic.BensoussanCrouhyGalaiOptionOnOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.BlackScholesMertonModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.EuropeanOptionOnEuropeanVanillaOptionModel
  • com.opengamma.analytics.financial.model.option.pricing.analytic.EuropeanOptionOnEuropeanVanillaOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.FloatingStrikeLookbackOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.GapOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.HullWhiteStochasticVolatilityModel
  • com.opengamma.analytics.financial.model.option.pricing.analytic.HullWhiteStochasticVolatilityModelTest
    • 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.