Examples of withCorrelation()

Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle.withCorrelation()

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    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.4793, eps);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 1.9736, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.1378, eps);
    data = data.withSecondVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.2)));
    data = data.withCorrelation(-0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1986, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.9881, eps);
    data = data.withCorrelation(0.);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0913, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.6496, eps);
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Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle.withCorrelation()

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    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.1378, eps);
    data = data.withSecondVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.2)));
    data = data.withCorrelation(-0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1986, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.9881, eps);
    data = data.withCorrelation(0.);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0913, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.6496, eps);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 1.9891, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.2306, eps);
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Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle.withCorrelation()

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    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1986, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.9881, eps);
    data = data.withCorrelation(0.);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0913, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.6496, eps);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 1.9891, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.2306, eps);
    data = data.withSecondVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.25)));
    data = data.withCorrelation(-0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.2827, eps);
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Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle.withCorrelation()

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    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.6496, eps);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 1.9891, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.2306, eps);
    data = data.withSecondVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.25)));
    data = data.withCorrelation(-0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.2827, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 3.2272, eps);
    data = data.withCorrelation(0.);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1520, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.8472, eps);
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Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle.withCorrelation()

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    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.2306, eps);
    data = data.withSecondVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.25)));
    data = data.withCorrelation(-0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.2827, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 3.2272, eps);
    data = data.withCorrelation(0.);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1520, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.8472, eps);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0189, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.3736, eps);
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Examples of com.opengamma.analytics.financial.model.option.definition.twoasset.StandardTwoAssetOptionDataBundle.withCorrelation()

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    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.2827, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 3.2272, eps);
    data = data.withCorrelation(0.);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.1520, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.8472, eps);
    data = data.withCorrelation(0.5);
    assertEquals(MODEL.getPricingFunction(OPTION1).evaluate(data), 2.0189, eps);
    assertEquals(MODEL.getPricingFunction(OPTION2).evaluate(data), 2.3736, eps);
  }
}
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