Examples of EuropeanStandardBarrierOptionDefinition

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

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        ConstantDoublesSurface.from(VOLATILITY)),
        SPOT, REFERENCE_DATE);
    final Expiry expiry = new Expiry(EXPIRY_DATE);

    final double priceDI1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierDI = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_DOWN_IN, REBATE);
    final double priceDI2 = model.getPricingFunction(optionBarrierDI).evaluate(data);
    assertEquals("Comparison Down In", priceDI2, priceDI1, 1.0E-10);

    final double priceDO1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierDO = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_DOWN_OUT, REBATE);
    final double priceDO2 = model.getPricingFunction(optionBarrierDO).evaluate(data);
    assertEquals("Comparison Down Out", priceDO2, priceDO1, 1.0E-10);

    final double priceUI1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierUI = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_UP_IN, REBATE);
    final double priceUI2 = model.getPricingFunction(optionBarrierUI).evaluate(data);
    assertEquals("Comparison Up In", priceUI2, priceUI1, 1.0E-10);

    final double priceUO1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
    final EuropeanStandardBarrierOptionDefinition optionBarrierUO = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_UP_OUT, REBATE);
    final double priceUO2 = model.getPricingFunction(optionBarrierUO).evaluate(data);
    assertEquals("Comparison Up Out", priceUO2, priceUO1, 1.0E-10);

    final double vol0 = 0.0;
    final double priceVol01 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, vol0);
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanStandardBarrierOptionDefinition

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    MODEL.getPricingFunction(null);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullData() {
    MODEL.getPricingFunction(new EuropeanStandardBarrierOptionDefinition(SPOT, EXPIRY, true, new Barrier(KnockType.IN, BarrierType.DOWN, ObservationType.CONTINUOUS, SPOT))).evaluate(
        (StandardOptionDataBundle) null);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanStandardBarrierOptionDefinition

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  @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);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), REBATE, 0);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanStandardBarrierOptionDefinition

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  @Test
  public void test() {
    final StandardOptionDataBundle data = new StandardOptionDataBundle(R, B, new VolatilitySurface(ConstantDoublesSurface.from(0.25)), SPOT, DATE);
    Barrier barrier = new Barrier(KnockType.OUT, BarrierType.DOWN, ObservationType.CONTINUOUS, 95);
    EuropeanStandardBarrierOptionDefinition option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, true, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 9.0246, EPS);
    barrier = new Barrier(KnockType.OUT, BarrierType.UP, ObservationType.CONTINUOUS, 105);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, true, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 2.6789, EPS);
    barrier = new Barrier(KnockType.OUT, BarrierType.DOWN, ObservationType.CONTINUOUS, 95);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, false, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 2.2798, EPS);
    barrier = new Barrier(KnockType.OUT, BarrierType.UP, ObservationType.CONTINUOUS, 105);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, false, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 3.7760, EPS);
    barrier = new Barrier(KnockType.IN, BarrierType.DOWN, ObservationType.CONTINUOUS, 95);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, true, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 7.7627, EPS);
    barrier = new Barrier(KnockType.IN, BarrierType.UP, ObservationType.CONTINUOUS, 105);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, true, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 14.1112, EPS);
    barrier = new Barrier(KnockType.IN, BarrierType.DOWN, ObservationType.CONTINUOUS, 95);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, false, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 2.9586, EPS);
    barrier = new Barrier(KnockType.IN, BarrierType.UP, ObservationType.CONTINUOUS, 105);
    option = new EuropeanStandardBarrierOptionDefinition(90, EXPIRY, false, barrier, REBATE);
    assertEquals(MODEL.getPricingFunction(option).evaluate(data), 1.4653, EPS);
  }
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