Package com.opengamma.analytics.financial.model.volatility.surface

Examples of com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface

52
53
54
55
56
57
58
59
60
61
62
  }

  @Test
  public void testZeroVol() {
    final double delta = 20;
    final StandardOptionDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    Function1D<StandardOptionDataBundle, Double> f = MODEL.getPricingFunction(PUT);
    final double df = Math.exp(-R * T);
    assertEquals(f.evaluate(data.withSpot(STRIKE - delta)), df * PAYMENT, EPS);
    assertEquals(f.evaluate(data.withSpot(STRIKE + delta)), 0, EPS);
    final CashOrNothingOptionDefinition call = new CashOrNothingOptionDefinition(STRIKE, EXPIRY, true, PAYMENT);
View Full Code Here
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
  private static final double EPS = 1e-4;

  @Test
  public void test() {
    DoubleTimeSeries<?> ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 100});
    StandardOptionWithSpotTimeSeriesDataBundle data = new StandardOptionWithSpotTimeSeriesDataBundle(CURVE, B, new VolatilitySurface(ConstantDoublesSurface.from(0.15)), SPOT, DATE, ts);
    ExtremeSpreadOptionDefinition option = new ExtremeSpreadOptionDefinition(EXPIRY, true, new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.25)), false);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 10.6618, EPS);
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 110});
    data = data.withSpotTimeSeries(ts);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 8.4878, EPS);
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 120});
    data = data.withSpotTimeSeries(ts);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 4.5235, EPS);
    option = new ExtremeSpreadOptionDefinition(EXPIRY, true, new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.75)), true);
    data = data.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.3)));
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 100});
    data = data.withSpotTimeSeries(ts);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 13.3404, EPS);
    ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {DateUtils.getUTCDate(2010, 6, 1), DateUtils.getUTCDate(2010, 11, 1)}, new double[] {SPOT, 90});
    data = data.withSpotTimeSeries(ts);
View Full Code Here
49
50
51
52
53
54
55
56
57
58
59
    MODEL.getPricingFunction(PUT).evaluate((StandardOptionDataBundle) null);
  }

  @Test
  public void testZeroVol() {
    StandardOptionDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    final double df = Math.exp(T * (B - R));
    assertEquals(MODEL.getPricingFunction(CALL).evaluate(data), df * SPOT, EPS);
    assertEquals(MODEL.getPricingFunction(PUT).evaluate(data), 0, 0);
    data = data.withSpot(60);
    assertEquals(MODEL.getPricingFunction(CALL).evaluate(data), 0, 0);
View Full Code Here
98
99
100
101
102
103
104
    final GreekResultCollection actual = POWERED_MODEL.getGreeks(poweredDefinition, bundle, REQUIRED_GREEKS);
    assertEquals(price, actual.get(Greek.FAIR_PRICE), BIG_EPS * price);
  }

  private StandardOptionDataBundle getBundle(final double sigma) {
    return new StandardOptionDataBundle(CURVE, B, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), SPOT, DATE);
  }
View Full Code Here
123
124
125
126
127
128
129
130
131
132
133
    }
  }

  @Test
  public void testPriceTimeDependent() {
    final GeneralNormalOptionDataBundle data = new GeneralNormalOptionDataBundle(YIELD_CURVE, DRIFTLESS, new VolatilitySurface(FunctionalDoublesSurface.from(TIME_DEPENDENT_LOCAL_VOL)), FORWARD, DATE);
    final RecombiningBinomialTree<BinomialTreeNode<Double>> assetPriceTree = BUILDER.buildAssetTree(T, data, 200);
    RecombiningBinomialTree<BinomialTreeNode<Double>> optionPriceTree = BUILDER.buildOptionPriceTree(OPTION, data, assetPriceTree);
    final double vol = Math.sqrt(7.0 / 3.0) * ATM_VOL;
    EuropeanVanillaOption o = new EuropeanVanillaOption(FORWARD, T, true);
    final BlackFunctionData bfd = new BlackFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), 0);
View Full Code Here
148
149
150
151
152
153
154
155
156
157
158
    }
  }

  @Test
  public void testCEV() {
    final GeneralNormalOptionDataBundle data = new GeneralNormalOptionDataBundle(YIELD_CURVE, DRIFTLESS, new VolatilitySurface(FunctionalDoublesSurface.from(CEV_LOCAL_VOL)), FORWARD, DATE);
    final RecombiningBinomialTree<BinomialTreeNode<Double>> assetPriceTree = BUILDER.buildAssetTree(T, data, 200);
    RecombiningBinomialTree<BinomialTreeNode<Double>> optionPriceTree = BUILDER.buildOptionPriceTree(OPTION, data, assetPriceTree);
    for (int i = 0; i < 10; i++) {
      final double m = -1.5 + 3.0 * i / 10.0;
      final double strike = FORWARD * Math.exp(ATM_VOL * Math.sqrt(T) * m);
 
View Full Code Here
91
92
93
94
95
96
97
98
99
100
  }

  private void assertPrices(final Set<Greek> greeks, final double strike, final Expiry expiry, final boolean isCall, final double r, final double b, final double sigma, final double spot,
      final GreekResultCollection expected) {
    final EuropeanVanillaOptionDefinition definition = new EuropeanVanillaOptionDefinition(strike, expiry, isCall);
    final StandardOptionDataBundle data = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(r)), b, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), spot, DATE);
    final GreekResultCollection result = MODEL.getGreeks(definition, data, greeks);
    assertResults(result, expected);
    assertPutCallParity(strike, expiry, r, b, sigma, spot);
  }
View Full Code Here
100
101
102
103
104
105
106
107
108
  }

  private void assertGreek(final Greek greek, final double strike, final Expiry expiry, final boolean isCall, final double r, final double b, final double sigma, final double spot,
      final GreekResultCollection expected) {
    final EuropeanVanillaOptionDefinition definition = new EuropeanVanillaOptionDefinition(strike, expiry, isCall);
    final StandardOptionDataBundle data = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(r)), b, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), spot, DATE);
    final GreekResultCollection result = MODEL.getGreeks(definition, data, Collections.singleton(greek));
    assertResults(result, expected);
  }
View Full Code Here
109
110
111
112
113
114
115
116
117
118
119
  private void assertPutCallParity(final double strike, final Expiry expiry, final double r, final double b, final double sigma, final double spot) {
    final Set<Greek> greeks = Collections.singleton(Greek.FAIR_PRICE);
    final EuropeanVanillaOptionDefinition call = new EuropeanVanillaOptionDefinition(strike, expiry, true);
    final EuropeanVanillaOptionDefinition put = new EuropeanVanillaOptionDefinition(strike, expiry, false);
    final StandardOptionDataBundle data = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(r)), b, new VolatilitySurface(ConstantDoublesSurface.from(sigma)), spot, DATE);
    final GreekResultCollection callResult = MODEL.getGreeks(call, data, greeks);
    final GreekResultCollection putResult = MODEL.getGreeks(put, data, greeks);
    final Double c = callResult.values().iterator().next();
    final Double p = putResult.values().iterator().next();
    final double t = call.getTimeToExpiry(DATE);
View Full Code Here
49
50
51
52
53
54
55
56
57
58
59
  }

  @Test
  public void testZeroVol() {
    final double delta = 10;
    final StandardOptionDataBundle data = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.)), 0, new VolatilitySurface(ConstantDoublesSurface.from(0.)), SPOT, DATE);
    Barrier barrier = new Barrier(KnockType.OUT, BarrierType.DOWN, ObservationType.CONTINUOUS, 95);
    EuropeanStandardBarrierOptionDefinition option = new EuropeanStandardBarrierOptionDefinition(SPOT - delta, EXPIRY, true, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 10, 0);
    barrier = new Barrier(KnockType.IN, BarrierType.UP, ObservationType.CONTINUOUS, 105);
    option = new EuropeanStandardBarrierOptionDefinition(SPOT - delta, EXPIRY, true, barrier, REBATE);
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface

  • com.opengamma.analytics.financial.horizon.ConstantSpreadVolatilitySurfaceRolldownFunction
  • com.opengamma.analytics.financial.model.option.definition.BlackOptionDataBundleTest
  • com.opengamma.analytics.financial.model.option.definition.FXOptionDataBundleTest
  • com.opengamma.analytics.financial.model.option.definition.GeneralLogNormalOptionDataBundleTest
  • com.opengamma.analytics.financial.model.option.definition.GeneralNormalOptionDataBundleTest
  • com.opengamma.analytics.financial.model.option.definition.OptionDataBundleTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.AmericanAnalyticOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.AssetOrNothingOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.AsymmetricPowerOptionModelTest
  • com.opengamma.analytics.financial.model.option.pricing.analytic.BatesGeneralizedJumpDiffusionModel
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.