Examples of com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionMarginSecurityDefinition.toDerivative()

com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionMarginSecurityDefinition.toDerivative()
{@inheritDoc} @deprecated Use the method that does not take yield curve names

  /**
   * Tests the price for very deep out-of-the-money options.
   */
  public void priceDeepOTM() {
    final InterestRateFutureOptionMarginSecurityDefinition callDefinition = new InterestRateFutureOptionMarginSecurityDefinition(ERH3_DEFINITION, OPT_EXP_MAR13, 1.25, true);
    final InterestRateFutureOptionMarginSecurity call = callDefinition.toDerivative(REFERENCE_DATE);
    final double priceCallDeep = METHOD_OPT_SEC.price(call, HW_MULTICURVES);
    assertEquals("InterestRateFutureOptionMarginSecurityHullWhiteMethod: price", 0.0, priceCallDeep, TOLERANCE_PRICE);
    final InterestRateFutureOptionMarginSecurityDefinition putDefinition = new InterestRateFutureOptionMarginSecurityDefinition(ERH3_DEFINITION, OPT_EXP_MAR13, 0.75, false);
    final InterestRateFutureOptionMarginSecurity put = putDefinition.toDerivative(REFERENCE_DATE);
    final double pricePutDeep = METHOD_OPT_SEC.price(put, HW_MULTICURVES);

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    final InterestRateFutureOptionMarginSecurityDefinition callDefinition = new InterestRateFutureOptionMarginSecurityDefinition(ERH3_DEFINITION, OPT_EXP_MAR13, 1.25, true);
    final InterestRateFutureOptionMarginSecurity call = callDefinition.toDerivative(REFERENCE_DATE);
    final double priceCallDeep = METHOD_OPT_SEC.price(call, HW_MULTICURVES);
    assertEquals("InterestRateFutureOptionMarginSecurityHullWhiteMethod: price", 0.0, priceCallDeep, TOLERANCE_PRICE);
    final InterestRateFutureOptionMarginSecurityDefinition putDefinition = new InterestRateFutureOptionMarginSecurityDefinition(ERH3_DEFINITION, OPT_EXP_MAR13, 0.75, false);
    final InterestRateFutureOptionMarginSecurity put = putDefinition.toDerivative(REFERENCE_DATE);
    final double pricePutDeep = METHOD_OPT_SEC.price(put, HW_MULTICURVES);
    assertEquals("InterestRateFutureOptionMarginSecurityHullWhiteMethod: price", 0.0, pricePutDeep, TOLERANCE_PRICE);
  }


  @Test

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    final double maxStrike = 1.0100;
    final double nbStrikes = 20;
    for (int loopstrike = 0; loopstrike <= nbStrikes; loopstrike++) {
      final double strike = minStrike + loopstrike * (maxStrike - minStrike) / nbStrikes;
      final InterestRateFutureOptionMarginSecurityDefinition callDefinition = new InterestRateFutureOptionMarginSecurityDefinition(ERH3_DEFINITION, OPT_EXP_MAR13, strike, true);
      final InterestRateFutureOptionMarginSecurity call = callDefinition.toDerivative(REFERENCE_DATE);
      final double priceCall = METHOD_OPT_SEC.price(call, HW_MULTICURVES);
      assertTrue("InterestRateFutureOptionMarginSecurityHullWhiteMethod: price", priceCall > 0);
      final InterestRateFutureOptionMarginSecurityDefinition putDefinition = new InterestRateFutureOptionMarginSecurityDefinition(ERH3_DEFINITION, OPT_EXP_MAR13, strike, false);
      final InterestRateFutureOptionMarginSecurity put = putDefinition.toDerivative(REFERENCE_DATE);
      final double pricePut = METHOD_OPT_SEC.price(put, HW_MULTICURVES);

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      final InterestRateFutureOptionMarginSecurityDefinition callDefinition = new InterestRateFutureOptionMarginSecurityDefinition(ERH3_DEFINITION, OPT_EXP_MAR13, strike, true);
      final InterestRateFutureOptionMarginSecurity call = callDefinition.toDerivative(REFERENCE_DATE);
      final double priceCall = METHOD_OPT_SEC.price(call, HW_MULTICURVES);
      assertTrue("InterestRateFutureOptionMarginSecurityHullWhiteMethod: price", priceCall > 0);
      final InterestRateFutureOptionMarginSecurityDefinition putDefinition = new InterestRateFutureOptionMarginSecurityDefinition(ERH3_DEFINITION, OPT_EXP_MAR13, strike, false);
      final InterestRateFutureOptionMarginSecurity put = putDefinition.toDerivative(REFERENCE_DATE);
      final double pricePut = METHOD_OPT_SEC.price(put, HW_MULTICURVES);
      assertTrue("InterestRateFutureOptionMarginSecurityHullWhiteMethod: price", pricePut > 0);
    }
  }

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