Examples of withSkew()

Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    assertEquals(5.5615, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(CALL_100);
    assertEquals(7.7770, f.evaluate(data), EPS);
    assertEquals(7.6565, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(7.5363, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(7.4162, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(7.2963, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(CALL_125);
    assertEquals(0.9567, f.evaluate(data), EPS);
    assertEquals(1.1173, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(1.2782, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
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Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    f = CORRADO_SU.getPricingFunction(CALL_100);
    assertEquals(7.7770, f.evaluate(data), EPS);
    assertEquals(7.6565, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(7.5363, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(7.4162, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(7.2963, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(CALL_125);
    assertEquals(0.9567, f.evaluate(data), EPS);
    assertEquals(1.1173, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(1.2782, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(1.4391, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
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Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    assertEquals(7.5363, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(7.4162, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(7.2963, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(CALL_125);
    assertEquals(0.9567, f.evaluate(data), EPS);
    assertEquals(1.1173, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(1.2782, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(1.4391, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(1.6000, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);

  }
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Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    assertEquals(7.4162, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(7.2963, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(CALL_125);
    assertEquals(0.9567, f.evaluate(data), EPS);
    assertEquals(1.1173, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(1.2782, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(1.4391, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(1.6000, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);

  }
}
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Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    assertEquals(7.2963, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(CALL_125);
    assertEquals(0.9567, f.evaluate(data), EPS);
    assertEquals(1.1173, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(1.2782, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(1.4391, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(1.6000, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);

  }
}
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Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    f = CORRADO_SU.getPricingFunction(CALL_125);
    assertEquals(0.9567, f.evaluate(data), EPS);
    assertEquals(1.1173, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(1.2782, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(1.4391, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(1.6000, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);

  }
}
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