/**
* 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.YieldCurve;
import com.opengamma.analytics.financial.model.option.Moneyness;
import com.opengamma.analytics.financial.model.option.definition.EuropeanVanillaOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.ForwardStartOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.OptionDefinition;
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.surface.ConstantDoublesSurface;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
/**
*
*/
public class ForwardStartOptionModelTest {
private static final ZonedDateTime DATE = DateUtils.getUTCDate(2010, 7, 1);
private static final double R = 0.08;
private static final YieldCurve CURVE = YieldCurve.from(ConstantDoublesCurve.from(R));
private static final VolatilitySurface SURFACE = new VolatilitySurface(ConstantDoublesSurface.from(0.3));
private static final double B = 0.04;
private static final double SPOT = 60;
private static final double PERCENT = 0.1;
private static final ZonedDateTime START = DateUtils.getDateOffsetWithYearFraction(DATE, 0.25);
private static final ZonedDateTime EXPIRY = DateUtils.getDateOffsetWithYearFraction(DATE, 1);
private static final StandardOptionDataBundle DATA = new StandardOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE);
private static final ForwardStartOptionDefinition FORWARD = new ForwardStartOptionDefinition(new Expiry(EXPIRY), true, new Expiry(START), PERCENT, Moneyness.OTM);
private static final ForwardStartOptionDefinition NOW = new ForwardStartOptionDefinition(new Expiry(EXPIRY), true, new Expiry(DATE), PERCENT, Moneyness.OTM);
private static final ForwardStartOptionDefinition END = new ForwardStartOptionDefinition(new Expiry(EXPIRY), true, new Expiry(EXPIRY), PERCENT, Moneyness.OTM);
private static final EuropeanVanillaOptionDefinition VANILLA = new EuropeanVanillaOptionDefinition(SPOT * (1 + PERCENT), new Expiry(EXPIRY), true);
private static final AnalyticOptionModel<ForwardStartOptionDefinition, StandardOptionDataBundle> MODEL = new ForwardStartOptionModel();
private static final AnalyticOptionModel<OptionDefinition, StandardOptionDataBundle> BSM = new BlackScholesMertonModel();
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDefinition() {
MODEL.getPricingFunction(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getPricingFunction(FORWARD).evaluate((StandardOptionDataBundle) null);
}
@Test
public void test() {
assertEquals(MODEL.getPricingFunction(END).evaluate(DATA), 0, 0);
assertEquals(MODEL.getPricingFunction(FORWARD).evaluate(DATA.withVolatilitySurface(new VolatilitySurface(ConstantDoublesSurface.from(1e-9)))), 0, 0);
assertEquals(MODEL.getPricingFunction(NOW).evaluate(DATA), BSM.getPricingFunction(VANILLA).evaluate(DATA), 1e-4);
assertEquals(MODEL.getPricingFunction(FORWARD).evaluate(DATA), 4.4064, 1e-4);
}
}