Examples of withCostOfCarry()

Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle.withCostOfCarry()

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    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});
    data = DATA.withSpotTimeSeries(shortTS).withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    vanilla = new EuropeanVanillaOptionDefinition(strike, EXPIRY, false);
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Examples of com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle.withCostOfCarry()

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    strike = 95;
    shortTS = ImmutableInstantDoubleTimeSeries.of(new long[] {1}, new double[] {strike});
    data = DATA.withSpotTimeSeries(shortTS).withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
    vanilla = new EuropeanVanillaOptionDefinition(strike, EXPIRY, false);
    assertEquals(MODEL.getPricingFunction(PUT).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    data = data.withCostOfCarry(0);
    assertEquals(MODEL.getPricingFunction(PUT).evaluate(data), BSM.getPricingFunction(vanilla).evaluate(data), 1e-9);
    assertEquals(MODEL.getPricingFunction(CALL).evaluate(DATA), 25.3533, 1e-4);
  }
}
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