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

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

Defines a European-style relative outperformance option (also known as quotient options).

The payoff of a relative outperformance call option is: $$ \begin{eqnarray*} max\left(\frac{S_1}{S_2} - K, 0\right) \end{eqnarray*} $$ and that of a put is: $$ \begin{eqnarray*} max\left(K - \frac{S_1}{S_2}, 0\right) \end{eqnarray*} $$ where $K$ is the strike, $S_1$ is the spot price of the first underlying and $S_2$ is the spot price of the second underlying.

    MODEL.getPricingFunction(null);
  }


  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getPricingFunction(new RelativeOutperformanceOptionDefinition(0.1, EXPIRY, true)).evaluate((StandardTwoAssetOptionDataBundle) null);
  }

    MODEL.getPricingFunction(new RelativeOutperformanceOptionDefinition(0.1, EXPIRY, true)).evaluate((StandardTwoAssetOptionDataBundle) null);
  }


  @Test
  public void test() {
    RelativeOutperformanceOptionDefinition option = new RelativeOutperformanceOptionDefinition(0.1, EXPIRY, true);
    StandardTwoAssetOptionDataBundle data = new StandardTwoAssetOptionDataBundle(R, B1, B2, SIGMA1, SIGMA2, S1, S2, -0.5, DATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 1.2582, EPS);
    option = new RelativeOutperformanceOptionDefinition(0.5, EXPIRY, true);
    data = data.withCorrelation(0);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.8449, EPS);
    option = new RelativeOutperformanceOptionDefinition(1, EXPIRY, true);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.3382, EPS);
  }

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