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

  }


  @Test
  public void testAgainstBSM() {
    final double eps = 1e-6;
    FadeInOptionDefinition definition = new FadeInOptionDefinition(SPOT, EXPIRY, false, 20, 180);
    final StandardOptionWithSpotTimeSeriesDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    assertEquals(BSM.getPricingFunction(definition).evaluate(data), MODEL.getPricingFunction(definition).evaluate(data), eps);
    definition = new FadeInOptionDefinition(SPOT, EXPIRY, true, 95, 105);
    assertEquals(BSM.getPricingFunction(definition).evaluate(data), MODEL.getPricingFunction(definition).evaluate(data), eps);
    definition = new FadeInOptionDefinition(SPOT, EXPIRY, false, 95, 105);
    assertEquals(BSM.getPricingFunction(definition).evaluate(data), MODEL.getPricingFunction(definition).evaluate(data), eps);
  }

  }


  @Test
  public void test() {
    StandardOptionWithSpotTimeSeriesDataBundle data = DATA;
    FadeInOptionDefinition definition = new FadeInOptionDefinition(SPOT, EXPIRY, true, 85, 115);
    assertEquals(MODEL.getPricingFunction(definition).evaluate(data), 2.58, 1e-2);
    data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.4)));
    definition = new FadeInOptionDefinition(SPOT, EXPIRY, true, 95, 105);
    assertEquals(MODEL.getPricingFunction(definition).evaluate(data), 2.036, 1e-3);
  }

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

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