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

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

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  private static final double SPOT = 100;
  private static final double EPS = 1e-4;

  @Test
  public void test() {
    LogOptionDefinition definition = getDefinition(70);
    assertPriceEquals(definition, 0.2, 0.3510);
    assertPriceEquals(definition, 0.3, 0.3422);
    assertPriceEquals(definition, 0.4, 0.3379);
    assertPriceEquals(definition, 0.5, 0.3365);
    assertPriceEquals(definition, 0.6, 0.3362);
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  private StandardOptionDataBundle getBundle(final double sigma) {
    return new StandardOptionDataBundle(CURVE, B, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), SPOT, DATE);
  }

  private LogOptionDefinition getDefinition(final double strike) {
    return new LogOptionDefinition(strike, EXPIRY);
  }
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Related Classes of com.opengamma.analytics.financial.model.option.definition.LogOptionDefinition

  • com.opengamma.analytics.financial.model.option.pricing.analytic.LogOptionModelTest
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