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

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

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  }

  @Test
  public void test() {
    ProductOptionDefinition option = new ProductOptionDefinition(15000, EXPIRY1, true);
    StandardTwoAssetOptionDataBundle data = new StandardTwoAssetOptionDataBundle(R, B1, B2, new VolatilitySurface(ConstantDoublesSurface.from(0.2)), new VolatilitySurface(
        ConstantDoublesSurface.from(0.3)), S1, S2, -0.5, DATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 0.0028, EPS);
    data = data.withFirstVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.3))).withCorrelation(0);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 2.4026, EPS);
    option = new ProductOptionDefinition(15000, EXPIRY2, true);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 266.1594, EPS);
  }
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  }

  @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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  }

  @Test
  public void test() {
    final double eps = 1e-4;
    StandardTwoAssetOptionDataBundle data = new StandardTwoAssetOptionDataBundle(R, B1, B2, SIGMA1, new VolatilitySurface(ConstantDoublesSurface.from(0.15)), S1, S2, -0.5, DATE);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1251, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.7619, eps);
    data = data.withCorrelation(0);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0446, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.4793, eps);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 1.9736, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.1378, eps);
    data = data.withSecondVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.2)));
    data = data.withCorrelation(-0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1986, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.9881, eps);
    data = data.withCorrelation(0.);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0913, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.6496, eps);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 1.9891, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.2306, eps);
    data = data.withSecondVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.25)));
    data = data.withCorrelation(-0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.2827, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 3.2272, eps);
    data = data.withCorrelation(0.);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1520, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.8472, eps);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0189, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.3736, eps);
  }
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Related Classes of com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle

  • com.opengamma.analytics.financial.model.option.pricing.analytic.twoasset.EuropeanExchangeAssetOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.twoasset.ProductOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.twoasset.RelativeOutperformanceOptionModelTest
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