/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.pricing.analytic;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.option.definition.CashOrNothingOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.surface.ConstantDoublesSurface;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
/**
*
*/
public class CashOrNothingOptionModelTest {
private static final double R = 0.06;
private static final YieldAndDiscountCurve CURVE = YieldCurve.from(ConstantDoublesCurve.from(R));
private static final double B = 0;
private static final VolatilitySurface SURFACE = new VolatilitySurface(ConstantDoublesSurface.from(0.35));
private static final double SPOT = 100;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 7, 1);
private static final double STRIKE = 80;
private static final double T = 0.75;
private static final Expiry EXPIRY = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, T));
private static final boolean IS_CALL = false;
private static final double PAYMENT = 10;
private static final CashOrNothingOptionDefinition PUT = new CashOrNothingOptionDefinition(STRIKE, EXPIRY, IS_CALL, PAYMENT);
private static final StandardOptionDataBundle DATA = new StandardOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE);
private static final AnalyticOptionModel<CashOrNothingOptionDefinition, StandardOptionDataBundle> MODEL = new CashOrNothingOptionModel();
private static final double EPS = 1e-12;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getPricingFunction(PUT).evaluate((StandardOptionDataBundle) null);
}
@Test
public void testZeroVol() {
final double delta = 20;
final StandardOptionDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
Function1D<StandardOptionDataBundle, Double> f = MODEL.getPricingFunction(PUT);
final double df = Math.exp(-R * T);
assertEquals(f.evaluate(data.withSpot(STRIKE - delta)), df * PAYMENT, EPS);
assertEquals(f.evaluate(data.withSpot(STRIKE + delta)), 0, EPS);
final CashOrNothingOptionDefinition call = new CashOrNothingOptionDefinition(STRIKE, EXPIRY, true, PAYMENT);
f = MODEL.getPricingFunction(call);
assertEquals(f.evaluate(data.withSpot(STRIKE + delta)), df * PAYMENT, EPS);
assertEquals(f.evaluate(data.withSpot(STRIKE - delta)), 0, EPS);
}
@Test
public void test() {
assertEquals(MODEL.getPricingFunction(PUT).evaluate(DATA), 2.6710, 1e-4);
}
}