/**
* 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.FadeInOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.OptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionWithSpotTimeSeriesDataBundle;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.analytics.math.surface.ConstantDoublesSurface;
import com.opengamma.timeseries.DoubleTimeSeries;
import com.opengamma.timeseries.precise.instant.ImmutableInstantDoubleTimeSeries;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
/**
*
*/
public class FadeInOptionModelTest {
private static final YieldAndDiscountCurve CURVE = YieldCurve.from(ConstantDoublesCurve.from(0.1));
private static final double B = 0;
private static final VolatilitySurface SURFACE = new VolatilitySurface(ConstantDoublesSurface.from(0.1));
private static final double SPOT = 100;
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 7, 1);
private static final Expiry EXPIRY = new Expiry(DateUtils.getDateOffsetWithYearFraction(DATE, 0.5));
private static final DoubleTimeSeries<?> TS;
private static final StandardOptionWithSpotTimeSeriesDataBundle DATA;
private static final AnalyticOptionModel<FadeInOptionDefinition, StandardOptionWithSpotTimeSeriesDataBundle> MODEL = new FadeInOptionModel();
private static final AnalyticOptionModel<OptionDefinition, StandardOptionDataBundle> BSM = new BlackScholesMertonModel();
private static final FadeInOptionDefinition DEFINITION = new FadeInOptionDefinition(SPOT, EXPIRY, true, 20, 180);
static {
final int n = 183;
final long[] t = new long[n];
final double[] s = new double[n];
for (int i = 0; i < n; i++) {
t[i] = i;
s[i] = Math.random() * SPOT;
}
TS = ImmutableInstantDoubleTimeSeries.of(t, s);
DATA = new StandardOptionWithSpotTimeSeriesDataBundle(CURVE, B, SURFACE, SPOT, DATE, TS);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getPricingFunction(DEFINITION).evaluate((StandardOptionWithSpotTimeSeriesDataBundle) null);
}
@Test
public void testAgainstBSM() {
final double eps = 1e-6;
FadeInOptionDefinition definition = new FadeInOptionDefinition(SPOT, EXPIRY, false, 20, 180);
final StandardOptionWithSpotTimeSeriesDataBundle data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0)));
assertEquals(BSM.getPricingFunction(definition).evaluate(data), MODEL.getPricingFunction(definition).evaluate(data), eps);
definition = new FadeInOptionDefinition(SPOT, EXPIRY, true, 95, 105);
assertEquals(BSM.getPricingFunction(definition).evaluate(data), MODEL.getPricingFunction(definition).evaluate(data), eps);
definition = new FadeInOptionDefinition(SPOT, EXPIRY, false, 95, 105);
assertEquals(BSM.getPricingFunction(definition).evaluate(data), MODEL.getPricingFunction(definition).evaluate(data), eps);
}
@Test
public void test() {
StandardOptionWithSpotTimeSeriesDataBundle data = DATA;
FadeInOptionDefinition definition = new FadeInOptionDefinition(SPOT, EXPIRY, true, 85, 115);
assertEquals(MODEL.getPricingFunction(definition).evaluate(data), 2.58, 1e-2);
data = DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(0.4)));
definition = new FadeInOptionDefinition(SPOT, EXPIRY, true, 95, 105);
assertEquals(MODEL.getPricingFunction(definition).evaluate(data), 2.036, 1e-3);
}
}