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

    }
  }


  @Test
  public void testPriceTimeDependent() {
    final GeneralNormalOptionDataBundle data = new GeneralNormalOptionDataBundle(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);
    final BlackFunctionData bfd = new BlackFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), 0);

    }
  }


  @Test
  public void testCEV() {
    final GeneralNormalOptionDataBundle data = new GeneralNormalOptionDataBundle(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);
    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);

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

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