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

    }
  }


  @Test
  public void testPriceTimeDependent() {
    final GeneralLogNormalOptionDataBundle data = new GeneralLogNormalOptionDataBundle(YIELD_CURVE, DRIFTLESS, new VolatilitySurface(FunctionalDoublesSurface.from(TIME_DEPENDENT_LOCAL_VOL)), FORWARD,
        DATE);
    final RecombiningBinomialTree<BinomialTreeNode<Double>> assetPriceTree = BUILDER.buildAssetTree(T, data, 200);
    RecombiningBinomialTree<BinomialTreeNode<Double>> optionPriceTree = BUILDER.buildOptionPriceTree(OPTION, data, assetPriceTree);
    final double vol = Math.sqrt(7.0 / 3.0) * ATM_VOL;
    EuropeanVanillaOption o = new EuropeanVanillaOption(FORWARD, T, true);

    }
  }


  @Test
  public void testCEV() {
    final GeneralLogNormalOptionDataBundle data = new GeneralLogNormalOptionDataBundle(YIELD_CURVE, DRIFTLESS, new VolatilitySurface(FunctionalDoublesSurface.from(CEV_LOCAL_VOL)), FORWARD, DATE);
    final RecombiningBinomialTree<BinomialTreeNode<Double>> assetPriceTree = BUILDER.buildAssetTree(T, data, 200);
    RecombiningBinomialTree<BinomialTreeNode<Double>> optionPriceTree = BUILDER.buildOptionPriceTree(OPTION, data, assetPriceTree);
    EuropeanVanillaOption o = new EuropeanVanillaOption(FORWARD, T, true);
    final CEVFunctionData cfd = new CEVFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), SIGMA_BETA, BETA);

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

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