Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.EuropeanExchangeAssetOptionDefinition

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

Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.EuropeanExchangeAssetOptionDefinition

com.opengamma.analytics.financial.model.option.definition.twoasset.EuropeanExchangeAssetOptionDefinition
Defines a European-style exchange-one-asset-for-another option. The holder can exchange an amount $Q_1$ of the first underlying for an amount $Q_2$ of the second underlying.
The payoff of this option is: $$ \begin{eqnarray*} max\left(Q_1S_1 - Q_2S_2, 0\right) \end{eqnarray*} $$ where $Q_1$ is the quantity of the first asset, $S_1$ is the spot price of the first underlying, $Q_2$ is the quantity of the second asset and $S_2$ is the spot price of the second underlying.

    MODEL.getPricingFunction(null);
  }


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getPricingFunction(new EuropeanExchangeAssetOptionDefinition(EXPIRY1, Q1, Q2)).evaluate((StandardTwoAssetOptionDataBundle) null);
  }

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Related Classes of com.opengamma.analytics.financial.model.option.definition.twoasset.EuropeanExchangeAssetOptionDefinition

com.opengamma.analytics.financial.model.option.pricing.analytic.twoasset.EuropeanExchangeAssetOptionModelTest

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