MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY, true)).evaluate((HullWhiteStochasticVolatilityModelDataBundle) null);
}
@Test
public void test() {
HullWhiteStochasticVolatilityModelDataBundle data = new HullWhiteStochasticVolatilityModelDataBundle(CURVE, B, SURFACE, SPOT, DATE, LAMBDA, SIGMA_LR, VOL_OF_VOL, -0.75);
OptionDefinition definition = new EuropeanVanillaOptionDefinition(70, EXPIRY, false);
assertModel(0.0904, definition, data);
data = data.withCorrelation(-0.5);
definition = new EuropeanVanillaOptionDefinition(80, EXPIRY, false);
assertModel(0.4278, definition, data);
data = data.withCorrelation(-0.25);
definition = new EuropeanVanillaOptionDefinition(90, EXPIRY, false);
assertModel(1.6982, definition, data);
data = data.withCorrelation(0.);
definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, false);
assertModel(5.3061, definition, data);
definition = new EuropeanVanillaOptionDefinition(100, EXPIRY, true);
assertModel(5.3061, definition, data);
data = data.withCorrelation(0.25);
definition = new EuropeanVanillaOptionDefinition(110, EXPIRY, true);
assertModel(2.1274, definition, data);
data = data.withCorrelation(0.5);
definition = new EuropeanVanillaOptionDefinition(120, EXPIRY, true);
assertModel(0.8881, definition, data);
data = data.withCorrelation(0.75);
definition = new EuropeanVanillaOptionDefinition(130, EXPIRY, true);
assertModel(0.4287, definition, data);
}