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

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

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

com.opengamma.analytics.financial.model.option.definition.PoweredOptionDefinition
Definition for a powered option.
The exercise style is European. The payoff of these options is: $$ \begin{align*} c &= \max(S - K, 0)^i\\ p &= \max(K - S, 0)^i \end{align*} $$ where $K$ is the strike, $i$ is the power and $S$ is the spot.

  private static final double BIG_EPS = 1e-4;


  @Test
  public void testNonIntegerPower() {
    try {
      POWERED_MODEL.getGreeks(new PoweredOptionDefinition(100, EXPIRY, 1.3, true), getBundle(0.), REQUIRED_GREEKS);
      Assert.fail();
    } catch (final OptionPricingException e) {
      // Expected
    }
  }

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    }
  }


  @Test
  public void testPowerOfOne() {
    PoweredOptionDefinition poweredDefinition = getPoweredDefinition(1, true);
    EuropeanVanillaOptionDefinition vanillaDefinition = getVanillaOption(true);
    assertPriceEquals(poweredDefinition, vanillaDefinition, 0.1);
    assertPriceEquals(poweredDefinition, vanillaDefinition, 0.2);
    assertPriceEquals(poweredDefinition, vanillaDefinition, 0.3);
    poweredDefinition = getPoweredDefinition(1, false);

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    assertPriceEquals(poweredDefinition, vanillaDefinition, 0.3);
  }


  @Test
  public void test() {
    PoweredOptionDefinition definition = getPoweredDefinition(2, true);
    assertPriceEquals(definition, 0.1, 53.4487);
    assertPriceEquals(definition, 0.2, 160.2944);
    assertPriceEquals(definition, 0.3, 339.3713);
    definition = getPoweredDefinition(3, true);
    assertPriceEquals(definition, 0.1, 758.8427);

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  private StandardOptionDataBundle getBundle(final double sigma) {
    return new StandardOptionDataBundle(CURVE, B, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), SPOT, DATE);
  }


  private PoweredOptionDefinition getPoweredDefinition(final double power, final boolean isCall) {
    return new PoweredOptionDefinition(STRIKE, EXPIRY, power, isCall);
  }

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

com.opengamma.analytics.financial.model.option.pricing.analytic.PoweredOptionModelTest

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