Examples of withSkew()

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

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    assertEquals(BSM.getPricingFunction(CALL_100).evaluate(NORMAL_DATA), CORRADO_SU.getPricingFunction(CALL_100).evaluate(NORMAL_DATA), EPS);
    assertEquals(BSM.getPricingFunction(PUT_75).evaluate(NORMAL_DATA), CORRADO_SU.getPricingFunction(PUT_75).evaluate(NORMAL_DATA), EPS);
    final SkewKurtosisOptionDataBundle data = new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE, -0.2, 3);
    Function1D<SkewKurtosisOptionDataBundle, Double> f = CORRADO_SU.getPricingFunction(PUT_75);
    assertEquals(0.3103, f.evaluate(data), EPS);
    assertEquals(0.3186, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(0.3267, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(0.3347, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(0.3427, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(PUT_100);
    assertEquals(6.0422, f.evaluate(data), EPS);
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Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    assertEquals(BSM.getPricingFunction(PUT_75).evaluate(NORMAL_DATA), CORRADO_SU.getPricingFunction(PUT_75).evaluate(NORMAL_DATA), EPS);
    final SkewKurtosisOptionDataBundle data = new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE, -0.2, 3);
    Function1D<SkewKurtosisOptionDataBundle, Double> f = CORRADO_SU.getPricingFunction(PUT_75);
    assertEquals(0.3103, f.evaluate(data), EPS);
    assertEquals(0.3186, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(0.3267, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(0.3347, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(0.3427, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(PUT_100);
    assertEquals(6.0422, f.evaluate(data), EPS);
    assertEquals(5.9217, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
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Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    final SkewKurtosisOptionDataBundle data = new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE, -0.2, 3);
    Function1D<SkewKurtosisOptionDataBundle, Double> f = CORRADO_SU.getPricingFunction(PUT_75);
    assertEquals(0.3103, f.evaluate(data), EPS);
    assertEquals(0.3186, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(0.3267, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(0.3347, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(0.3427, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(PUT_100);
    assertEquals(6.0422, f.evaluate(data), EPS);
    assertEquals(5.9217, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(5.8015, 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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    Function1D<SkewKurtosisOptionDataBundle, Double> f = CORRADO_SU.getPricingFunction(PUT_75);
    assertEquals(0.3103, f.evaluate(data), EPS);
    assertEquals(0.3186, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(0.3267, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(0.3347, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(0.3427, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(PUT_100);
    assertEquals(6.0422, f.evaluate(data), EPS);
    assertEquals(5.9217, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(5.8015, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(5.6814, 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(0.3267, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(0.3347, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(0.3427, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(PUT_100);
    assertEquals(6.0422, f.evaluate(data), EPS);
    assertEquals(5.9217, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(5.8015, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(5.6814, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    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);
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Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    assertEquals(0.3347, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    assertEquals(0.3427, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(PUT_100);
    assertEquals(6.0422, f.evaluate(data), EPS);
    assertEquals(5.9217, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(5.8015, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(5.6814, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    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);
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Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    assertEquals(0.3427, f.evaluate(data.withSkew(0.2).withKurtosis(5.)), EPS);
    f = CORRADO_SU.getPricingFunction(PUT_100);
    assertEquals(6.0422, f.evaluate(data), EPS);
    assertEquals(5.9217, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(5.8015, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(5.6814, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    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);
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Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    f = CORRADO_SU.getPricingFunction(PUT_100);
    assertEquals(6.0422, f.evaluate(data), EPS);
    assertEquals(5.9217, f.evaluate(data.withSkew(-0.1).withKurtosis(3.5)), EPS);
    assertEquals(5.8015, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(5.6814, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    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);
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Examples of com.opengamma.analytics.financial.model.option.definition.SkewKurtosisOptionDataBundle.withSkew()

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    assertEquals(5.8015, f.evaluate(data.withSkew(0.).withKurtosis(4.)), EPS);
    assertEquals(5.6814, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    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);
View Full Code Here

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

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    assertEquals(5.6814, f.evaluate(data.withSkew(0.1).withKurtosis(4.5)), EPS);
    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);
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