}
@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);