Examples of EuropeanVanillaOptionDefinition

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

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    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);
      final OptionDefinition option = new EuropeanVanillaOptionDefinition(strike, OPTION.getExpiry(), OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, data, assetPriceTree);
      final EuropeanVanillaOption o = new EuropeanVanillaOption(strike, T, true);
      final CEVFunctionData cfd = new CEVFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), SIGMA_BETA, BETA);
      final double cevPrice = CEV_PRICE.getPriceFunction(o).evaluate(cfd);
      final double cevVol = BLACK_IMPLIED_VOL.getImpliedVolatility(new BlackFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), SIGMA_BETA), o, cevPrice);
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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  private static final AnalyticOptionModel<OptionDefinition, StandardOptionDataBundle> MODEL = new BlackScholesMertonModel();
  private static final double EPS = 1e-4;

  @Test
  public void testInputs() {
    final OptionDefinition definition = new EuropeanVanillaOptionDefinition(1., EIGHT_DAYS, true);
    super.assertInputs(MODEL, definition);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    return collection;
  }

  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);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    assertPutCallParity(strike, expiry, r, b, sigma, spot);
  }

  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);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    assertResults(result, expected);
  }

  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();
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    return _model;
  }

  @Override
  protected OptionDefinition getOptionDefinition(final EquityOptionSecurity option) {
    return new EuropeanVanillaOptionDefinition(option.getStrike(), option.getExpiry(), option.getOptionType() == OptionType.CALL);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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          throw new OpenGammaRuntimeException("Unsupported option type: Bermudan");
        }

        @Override
        public OptionDefinition visitEuropeanExerciseType(final EuropeanExerciseType exerciseType) {
          return new EuropeanVanillaOptionDefinition(option.getStrike(), option.getExpiry(), option.getOptionType() == OptionType.CALL);
        }
      }
    );
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    return _model;
  }

  @Override
  protected OptionDefinition getOptionDefinition(final EquityOptionSecurity option) {
    return new EuropeanVanillaOptionDefinition(option.getStrike(), option.getExpiry(), option.getOptionType() == OptionType.CALL);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    return _model;
  }

  @Override
  protected OptionDefinition getOptionDefinition(final EquityOptionSecurity option) {
    return new EuropeanVanillaOptionDefinition(option.getStrike(), option.getExpiry(), option.getOptionType() == OptionType.CALL);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition

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    // Perform the calculation:
    final Expiry expiry = optionSec.getExpiry();
    final double years = DateUtils.getDifferenceInYears(today, expiry.getExpiry());
    final double b = discountCurve.getInterestRate(years); // TODO
    final OptionDefinition europeanVanillaOptionDefinition = new EuropeanVanillaOptionDefinition(optionSec.getStrike(), expiry, (optionSec.getOptionType() == OptionType.CALL));
    final Map<OptionDefinition, Double> prices = new HashMap<OptionDefinition, Double>();
    prices.put(europeanVanillaOptionDefinition, optionPrice);
    final VolatilitySurface volatilitySurface = _volatilitySurfaceModel.getSurface(prices, new StandardOptionDataBundle(discountCurve, b, null, underlyingPrice, today));

    //This is so cheap no need to check desired values
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