Examples of OptionDefinition

com.opengamma.analytics.financial.model.option.definition.OptionDefinition
Contains the minimum information required to define an option. Descendant classes must define a payoff function, which gives the payoff given a particular spot value, and an exercise function, which calculates whether an option should be exercised.
de.innovationgate.wga.modules.options.OptionDefinition
Iterface for classes that define options for modules.
jena.schemagen.OptionDefinition

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

  }


  @Test
  public void test() {
    HullWhiteStochasticVolatilityModelDataBundle data = new HullWhiteStochasticVolatilityModelDataBundle(CURVE, B, SURFACE, SPOT, DATE, LAMBDA, SIGMA_LR, VOL_OF_VOL, -0.75);
    OptionDefinition definition = new EuropeanVanillaOptionDefinition(70, EXPIRY, false);
    assertModel(0.0904, definition, data);
    data = data.withCorrelation(-0.5);
    definition = new EuropeanVanillaOptionDefinition(80, EXPIRY, false);
    assertModel(0.4278, definition, data);
    data = data.withCorrelation(-0.25);

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

  @Test
  public void test() {
    double strike = 102;
    DoubleTimeSeries<?> shortTS = ImmutableInstantDoubleTimeSeries.of(new long[] {1}, new double[] {strike});
    StandardOptionWithSpotTimeSeriesDataBundle data = DATA.withSpotTimeSeries(shortTS).withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    OptionDefinition vanilla = new EuropeanVanillaOptionDefinition(strike, EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(CALL).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    data = data.withCostOfCarry(0);
    assertEquals(MODEL.getPricingFunction(CALL).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    strike = 95;
    shortTS = ImmutableInstantDoubleTimeSeries.of(new long[] {1}, new double[] {strike});

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


  @Test
  public void testEuropeanCallTree() {
    final ZonedDateTime date = DateUtils.getUTCDate(2009, 1, 1);
    final StandardOptionDataBundle data = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.06)), 0., new VolatilitySurface(ConstantDoublesSurface.from(0.)), 100., date);
    final OptionDefinition option = new EuropeanVanillaOptionDefinition(100, new Expiry(DateUtils.getDateOffsetWithYearFraction(date, 1)), true);
    final Function1D<StandardOptionDataBundle, RecombiningBinomialTree<DoublesPair>> f = BINOMIAL_THREE_STEPS.getTreeGeneratingFunction(option);
    final DoublesPair[][] result = f.evaluate(data).getNodes();
    final DoublesPair[][] expected = new DoublesPair[4][4];
    expected[0][0] = DoublesPair.of(100., 10.1457);
    expected[1][0] = DoublesPair.of(90.91, 3.2545);

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


  @Test
  public void testAmericanPutTree() {
    final ZonedDateTime date = DateUtils.getUTCDate(2009, 1, 1);
    final StandardOptionDataBundle data = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(0.06)), 0., new VolatilitySurface(ConstantDoublesSurface.from(0.)), 100., date);
    final OptionDefinition option = new AmericanVanillaOptionDefinition(100, new Expiry(DateUtils.getDateOffsetWithYearFraction(date, 1)), false);
    final Function1D<StandardOptionDataBundle, RecombiningBinomialTree<DoublesPair>> f = BINOMIAL_THREE_STEPS.getTreeGeneratingFunction(option);
    final DoublesPair[][] result = f.evaluate(data).getNodes();
    final DoublesPair[][] expected = new DoublesPair[4][4];
    expected[0][0] = DoublesPair.of(100., 4.6546);
    expected[1][0] = DoublesPair.of(90.91, 9.2356);

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

  @Test
  public void test() {
    double strike = SPOT;
    final StandardOptionDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    SimpleChooserOptionDefinition chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
    OptionDefinition vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);
    strike = SPOT / 2;
    chooser = new SimpleChooserOptionDefinition(new Expiry(DATE), strike, UNDERLYING_EXPIRY);
    vanilla = new EuropeanVanillaOptionDefinition(strike, UNDERLYING_EXPIRY, true);
    assertEquals(MODEL.getPricingFunction(chooser).evaluate(DATA), BSM.getPricingFunction(vanilla).evaluate(DATA), 1e-9);

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

    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY1, true)).evaluate((MertonJumpDiffusionModelDataBundle) null);
  }


  @Test
  public void test() {
    OptionDefinition call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    MertonJumpDiffusionModelDataBundle data = new MertonJumpDiffusionModelDataBundle(CURVE, B, SURFACE, SPOT, DATE, 1., 0.);
    assertEquals(BSM.getPricingFunction(call).evaluate(data), MODEL.getPricingFunction(call).evaluate(data), EPS2);
    call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    data = data.withLambda(1.).withGamma(0.25);
    assertEquals(20.67, MODEL.getPricingFunction(call).evaluate(data), EPS1);

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

    //double impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, FORWARD, YIELD_CURVE.getDiscountFactor(T), T, true);
    assertEquals(ATM_VOL, impVol, 1e-3);
    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);
      o = new EuropeanVanillaOption(strike, T, OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, DATA, assetPriceTree);
      impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(data, o, optionPriceTree.getNode(0, 0).getValue());
      //      impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, strike, YIELD_CURVE.getDiscountFactor(T), T, true);

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

    //    double impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, FORWARD, df, T, true);
    assertEquals(vol, impVol, 1e-3);
    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);
      o = new EuropeanVanillaOption(strike, T, OPTION.isCall());
      optionPriceTree = BUILDER.buildOptionPriceTree(option, DATA, assetPriceTree);
      impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(bfd, o, optionPriceTree.getNode(0, 0).getValue());
      //      impVol = BlackImpliedVolFormula.impliedVol(optionPriceTree.getNode(0, 0).getValue(), FORWARD, strike, df, T, true);

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

    final CEVFunctionData cfd = new CEVFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), SIGMA_BETA, BETA);


    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);
      o = new EuropeanVanillaOption(strike, T, true);
      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);
      final double impVol = BLACK_IMPLIED_VOL.getImpliedVolatility(new BlackFunctionData(FORWARD, YIELD_CURVE.getDiscountFactor(T), SIGMA_BETA), o, optionPriceTree.getNode(0, 0).getValue());

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

    MODEL.getPricingFunction(new EuropeanVanillaOptionDefinition(100, EXPIRY1, true)).evaluate((BatesGeneralizedJumpDiffusionModelDataBundle) null);
  }


  @Test
  public void test() {
    OptionDefinition call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    BatesGeneralizedJumpDiffusionModelDataBundle data = new BatesGeneralizedJumpDiffusionModelDataBundle(CURVE, B, SURFACE, SPOT, DATE, 0., -0.04, 0.);
    assertEquals(BSM.getPricingFunction(call).evaluate(data), MODEL.getPricingFunction(call).evaluate(data), EPS2);
    call = new EuropeanVanillaOptionDefinition(80, EXPIRY1, true);
    data = data.withLambda(1.).withDelta(0.1);
    assertEquals(20.67, MODEL.getPricingFunction(call).evaluate(data), EPS1);

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