Package com.opengamma.analytics.financial.model.option.pricing.analytic

Source Code of com.opengamma.analytics.financial.model.option.pricing.analytic.CashOrNothingOptionModelTest

/**
* 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);
  }
}
TOP

Related Classes of com.opengamma.analytics.financial.model.option.pricing.analytic.CashOrNothingOptionModelTest

TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.