MODEL.getPricingFunction(new RelativeOutperformanceOptionDefinition(0.1, EXPIRY, true)).evaluate((StandardTwoAssetOptionDataBundle) null);
}
@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);
}